recession vs depression?

Sorry PaperCut,The BAW implementation doesn't show up. I'll ask Dr. Haug.

Sorry PaperCut,The BAW implementation doesn't show up. I'll ask Dr. Haug.

79 views and no replies?Has no one tried to implement the BAW code and check against the equations in Haug?

<t>I took a look at the BAW implementation in Haug (2nd Ed. pg.101) and compared the Newton Raphson for the American call price with the equations in pg.98.The N(d1*Si) term does not make sense to me. You're multiplying a natural log ratio of spot to strike by the iterating spot? The code doesn't ha...

<t> I'm using a var-covar matrix for multidimensional correlated simulation.I've got a badly behaved (rank deficient) correlation matrix. Cholesky isn't an option. I tried SVD and the last few eigenvalues come out zero (or close to).Quick question:Given that I have an SVD of the form UDV', how do I ...

<t> I'm using a var-covar matrix for multidimensional correlated simulation.I've got a badly behaved (rank deficient) correlation matrix. Cholesky isn't an option. I tried SVD and the last few eigenvalues come out zero (or close to).Quick question:Given that I have an SVD of the form UDV', how to I ...

I'm looking for some info on how to get electricity swaption prices for the Australian market.Are these broker quotes, or is there a centralized market for these?

I'm looking for some info on how to get electricity swaption prices for the Australian market.Are these broker quotes, or is there a centralized market for these?

<t>Where do you plan to do your Masters?You could come down to Australia and try the Quant Finance Masters here at UTS; the academics have decent connections with industry and if you do well, then I'm sure they'd help you set up.If you choose to go elsewhere, then my best guess is for you to talk to...

<t>I was once involved ina discussion on whether or not European swaptions were cheaper or more expensive than American swaptions and if they were equivalent under certain conditions. If we assume that the underlying is a commodity swap, then with no physical delivery of the underlying before the ex...

A lot of guys I know have some pretty decent quant skills.However, I think what sets it apart is the reporting side of things; not my cuppa tea.

A lot of guys I know have some pretty decent quant skills.However, I think what sets it apart is the reporting side of things; not my cuppa tea.

Mystery diner.

G++? Cmon. And what's your i/o. Text files?