<t>Just a thought, I don't think most banks price the correlation smile in their equity ex products nor do they price it in their system.Has anyone heard of a paper that would deal with this issue ? I am more interesting to understand how to determine correlation smile on equity. guess we can come u...

<t>The main advantage of barrier shifting (or bending) is that it smoothes your delta / gamma / theta when you are close to the limit. So if small, your dirac manages by itself and you can concentrate on more important stuff. When you have digital of 20 mio usd you are happy to have modelised a call...

<t>Hi, does anyone have an idea of the equity structured product desk at BS ?Of course i know they are no SG, BNP, and JPM as they have developed this activity very recently.But I would like to have any inside of how committed and organised they are whether it is in Asia, Europe or NYC.Do they have ...