Could anyone elaborate on this?Usually for a variable, how to judge if the volatility skew will affect it? Any recommended materials to read.Thanks a lot!!

Hi,Could anyone recommend good books about FX and Emerging market?Many thanks!!

Thank you all for your valuable advices!

Does anybody have this paper, or point me to where I could download or even purchase it?Wolyniec, Krzysztof. “Storage Valuation Spread Options and Alternative Approaches.” Mirant Research Notes, 2002.Thank you very much!

I'm thinking of being a quant in commidity group in IB.Could anybody roughly rank the IBs? Or point me to a published ranking?Such as Goldman Sachs, Morgan Stanley, Lehman Brother and UBS?What about energy trading group?Many thanks.

ThanksI found his email in one of his recent papers but no reply yet.

<r>Hello, I'm looking for:Farshid Jamshidian (1991): Forward Induction and Constructon of Yield Curve Diffusion Models, Journal of Fixed Income 1, 62-74. If anyone has this paper or know the author's email, please send me an email to <EMAIL email="beatayun@hotmail.com">beatayun@hotmail.com</EMAIL> T...

Thank you, you are so nice.

<t>Thanks. Yes, equivalent is much better than equal. I will check the conditions.I'm trying to explore 2 to see why it's equivalent to 1, and counter this problem?Could anyone help see what's the variance of the following?\int_0^t W_( (1-exp(-2*a*s) ) / (2 * a) ) dsthat is\int_0^t [ \int_0^s exp(-a...

Thanks.Yes, these are quite special processes. So I feel quite not sure whether they could be equal.My final goal is to make sure that S_t = exp(X_t), where X_t follows 2 is a martingale.

Sorry, I don't quite understand what you mean.Yes, when a->0 these two processes are exactly the same.But what about nonzero a? The 2 still have the same solution

<t>Thanks for your reply. I think my case is more complicated than this.W_t is a standard B.M. The two process are:1. dX_t = -0.5* sig^2 *exp(-2*a*t) dt + sig * exp(- a*t) dW_t2. dX_t = a * [X_0 - sig^2 / (4 * a) * (1 + exp(-2 * a * t)) - X_t] dt + sig dW_tI checked many times, these two have the sa...

I constructed a mean-reverting process and a GBM process without drift,both have time dependent parameters.I constructed in a way that these two have the same solutionCan I say that these two SDE are equal?Thank you very much.

Hello,Could anyone help answer how to decompose future prices into a series of forward rate agreement?For example, a future option with maturity T,Partition [0,T] into T0,T1, T2, ... TNThe ith FRA goes from T(i-1) to Ti.Thank you very much.

Thank you so much. They are very helpful.