<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: JeansQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: JeansHaha, anything Cont, Tankov has written I'd be happy to see too, their book is great...Let me know if you get anything /JEver heard of Google??Wow, thanks... n...

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: JeansHaha, anything Cont, Tankov has written I'd be happy to see too, their book is great...Let me know if you get anything /JEver heard of Google??Wow, thanks... no never... alas, your best friend google isn't the best for lecture n...

Haha, anything Cont, Tankov has written I'd be happy to see too, their book is great...Let me know if you get anything /J

<t>(CDS Spread Now - CDS Spread Before ) = (CDS Spread After - CDS Spread Before) * (Probability of deal)This is basically what you need since the uncertainties are so large in the terms I don't think there's any use of getting the other terms right (roll down the curve, maturity of CDS as time of d...

For Lévy processes however there are lots of general solutions...If interested have a look at e.g. Financial Modelling with Jump Processes by Cont & Tankov

<t>I don't see why the hedging of contracts priced under a Stoch. Vol. model should be any more difficult than hedging under a constant vol model. We can still calculate greeks (numerically, which should be robust if we have 'fairly' stable parameters) and hedge accordingly and shouldn't be worse of...

<t>Under the risk neutral probability, which is the one under which you will (most likely) be pricing your derivativesmodel number 2 is correct, because model number 1 is not a martingale. since you are working under the risk neutral probability your drift (mu) should be equal to the risk free inter...

oh by the way, if you want to read more about it you should have a look at the JPMorgan Credit Derivatives Handbook, it's a well written guide that will give lots of info without the time investment of a proper cred. deriv. book from academia.hope this helps

<t>Okay, so the CDS is a contract where UNTIL default (or whatever the contract holds as a credit event) of the reference entity you pay a fixed spread in return for getting back the loss in event of default (the par - recovery)For no arbitrage to exist you have the relation[Spread] * [Expected dura...

<t>If you don't find anything else look at papers/books discussing the simulation of random variables w. copula functions as dependency structure and then do monte carlo simulations to evaluate the expected value...A good book is quantitative risk management by McNeil, Frey and Embrechts where chap....

<t>I think you have to be a bit more specific.When you do a MC simulation you take a random variable and propagate it through time, you do this because you might not know the distribution function for the final state (or value or whatever) i.e. your cash flows,however, in order to do a MC sim, you s...

<t>Get loads of price quotes on the options you want, calculate the implied vol for all of them, do smoothed splines on the volatility surface in matlab and then differentiate the splines at the point of interest, when you do the smoothed splines, pull together a weeks worth of option data or someth...

sounds interesting though, couldn't find the article. URL?

<t>You're correct, it's not the vega and not really related to it either. The vega is your expected P&L as explained by the derivative of your option price model w.r.t. to the volatilityIn quoting financial options, implied volatility is used as a measure of price. So looking at the difference b...

<t>If u assume that the spot rate follows a geometric brownian motion, lognormality. you should estimate the spot volatility for your timeframe and use that. your contract will pay the difference between the future spot and the strike so the volatility of the spot over the lifetime of the contract i...