<t>mizhael,this is something i had thought of a couple of months ago. i was excited about it then and was one of my "hot" ideas for a week, but i couldnt find workable applications for this. maybe this would help you.Max(S-K,0) = Lim{n->infy} (1/2n)*tan((atan(n*(S-K))+Pi/2)/2)ofcourse we are boundin...

google it!i found this public domain website. http://www.swap-rates.com/USSwap.htmlISDA should also have some public info on the daily fixings.

<t>first to go wins.assuming that either party doesnt make unforced errors, i.e. if for e.g. verticies are 1 to 6, say 1-2 and 1-3 are colored blue then red is forced to move 2-3. if red doesnt move 2-3 then lets call it unforced error.either player is trying to check mate the other. the easiest che...

<t>QuoteOriginally posted by: TeaMasterWhether HW model or LMM is not the issue here. As some of you pointed out, you can always calibrate to match swaption prices in the market.Now if, say 30 year forward swap rate is effectively slightly negative. We have a swaption value P traded in the market. H...

<t>you can interpolate which ever way you like. it depends on your purpose and how your market maker is making the market for you.but the popular method in my opinion is SABR, you will have to infer the SABRs from the observed prices, in your case since you are starting with BBG VCUB you have suffic...

accept i was wrong, thank you for pointing out.if it is a wager then it is possible that i might just be lucky, very very lucky!

<t>hope i got the algebra correct ...answer:p = 0.5^x, q = 0.5^yprobability of A winning = (1-q)(1-2pq)/q(1-pq)^2probability that A wins in 1st turn = p probability that B wins in 1st turn = q(1-p)probability that A wins in ith turn p_i= p(1-q_i-1) = p(1-q(1-p_i-1)) = p(1-q)+pq.p_i-1p_i - pq.p_i-1 =...

<t>in my opinion the probability that you picked the 2 headed coin is 1/10. reason: the observation HHH..H only means that you cannot eliminate the possibility that you picked the biased coin. HH...H can occur with the unbiased coin as well.if the question had been that, given x% confidence what is ...

<t>i do not know the math of this problem and also think it might not be worth considering the math.1. doubling cannot occur if both parties behave rationally is my thinking. if at any point P proposes doubling then it means that the probability of P winning is higher and therefore he proposed a dou...

<t>in my opinion both 7 and 5 are correct.7 is correct given the algorithm that was adopted.5 is correct given a different algorithm.the original question essentially had two parts ... part 1 identify the best algorithm, part 2 what is the minimum number of steps required in this most efficient algo...

<t>QuoteOriginally posted by: NicolasQuantYou can rewrite it as (log x - log y) log y = log x; (x,y) belonging to N²Then you express x and y as their integer factorization and play around with your sigmas and based on the facts the integer factorization is unique and log p / log q is not within Q if...

<t>VaR_1 = k.x1.v1 = 80, VaR_1 = k.x2.v2 = 20VaR_12 = k.(x1+x2).v_12v_12 = sqrt(w1^2.v1^2 + w2^2.v2^2+2.rho.w1.w2.v1.v2), w1 = x1/(x1+x2)Var_12 = sqrt( (k.x1.v1)^2 + (k.x2.v2)^2 + 2.rho.k.x1.v1.k.x2.v2) = sqrt(82^2+20^2+2.rho.80.20)rho=1, VaR12 = 100 = maxrho=-1, VaR12 = 60 = minis this reasonable? ...

<t>thanks for the clarification. one structure where in my opinion, forward vol might be observable is in cliquet options. if i were pricing such options then forget modeling forward vol etc. it is way too complicated. just establish the upper and lower bounds for the option price. upper bound = 2y ...

<t>could this really be an interview question? i am not super intelligent but it will take me atleast 30min to formulate the problem and solve it analytically. i doubt if there are people qho can solve this within the time frame of an interview. if any the purpose of this question would be to see ho...

<t>historically (say 2y back) in EUR when the basis was better behaved you could have implemented the method you describe. however, currently there is a substantial steepness / basis in most CCYs and therefore using the 1m euribor fixing in your 6m euribor curve would not give you the correct values...