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by Papero
September 20th, 2020, 11:38 am
Forum: Numerical Methods Forum
Topic: Monte Carlo simulation of SABR model
Replies: 7
Views: 3832

Monte Carlo simulation of SABR model

Dear members,
I am looking for any paper comparing the SABR approximated formulas against a MC simulation. 
I found a couple of papers by OOsterlee et al. but, in my opinion, they are too complex to start with, I am looking something basic.
Thank you in advance for any suggestion!
by Papero
November 18th, 2017, 10:41 am
Forum: Technical Forum
Topic: Risk optimization
Replies: 2
Views: 1641

Re: Risk optimization

I mean something like this recent paper on MVA optimization, but focused on risk measures instead
by Papero
November 16th, 2017, 12:39 am
Forum: Technical Forum
Topic: Risk optimization
Replies: 2
Views: 1641

Risk optimization

I am looking for some bibliographical references talking about risk optimization, e.g. value at risk, using optimization heuristics, e.g. genetic algorithms, simulated annealing, particle swarm, etc.

Does any one know about any reference, or people that worked on the subject ?
by Papero
April 4th, 2015, 10:09 am
Forum: Book And Research Paper Forum
Topic: LaTeX template for Wilmott Magazine
Replies: 2
Views: 4551

LaTeX template for Wilmott Magazine

Dears,I am looking how to format a LaTeX article to be submitted to Wilmott Magazine. Bibliography and citations in particular.Any suggestion ? Any LaTeX template ?herehttp://onlinelibrary.wiley.com/journal/10.1002/(ISSN)1541-8286/homepage/ForAuthors.htmlI see nothing very useful.
by Papero
November 7th, 2012, 11:44 pm
Forum: Careers Forum
Topic: Surveys for quant salary
Replies: 31
Views: 20928

Surveys for quant salary

<t>Hi people, thanks for the discussion. But my request was not to start another survey. I need existing surveys. QuantJob is one of them. Nothing else ?I remember a survey by Paul and Dominic, more or less one year ago, but I can't find it. Is anyone aware of it ? Would you please post the link ? o...
by Papero
November 2nd, 2012, 2:06 pm
Forum: Careers Forum
Topic: Surveys for quant salary
Replies: 31
Views: 20928

Surveys for quant salary

<r>Thanks Hansi, this <URL url="http://2.bp.blogspot.com/-eSYGXmotrXw/TuIzHjdpRzI/AAAAAAAAAHA/hp-rYeAkZV4/s1600/RiskRank.jpg"><LINK_TEXT text="http://2.bp.blogspot.com/-eSYGXmotrXw/T ... skRank.jpg">http://2.bp.blogspot.com/-eSYGXmotrXw/TuIzHjdpRzI/AAAAAAAAAHA/hp-rYeAkZV4/s1600/RiskRank.jpg</LINK_TE...
by Papero
November 1st, 2012, 11:05 pm
Forum: Careers Forum
Topic: Surveys for quant salary
Replies: 31
Views: 20928

Surveys for quant salary

<t>I am fighting with my human resources and I need some quantitative data to support my requests.A recent survey reporting average salaries for quant people in different areas (front office, risk management, etc.) and countries would be very helpful.Anyone does know such a report ?Even a simple thi...
by Papero
September 9th, 2012, 7:17 pm
Forum: General Forum
Topic: Bianchetti's Formulas - Are they actually used?
Replies: 17
Views: 15580

Bianchetti's Formulas - Are they actually used?

QuoteOriginally posted by: mathmarcWhat a pity, I was still hoping to get a precise reference and a copy of one of those elusive early paper.yes, me too...
by Papero
September 5th, 2012, 4:24 pm
Forum: General Forum
Topic: Bianchetti's Formulas - Are they actually used?
Replies: 17
Views: 15580

Bianchetti's Formulas - Are they actually used?

<r>"Bianchetti's formulas" are not actually used explicitely, simply because (later became clear that) the market quotes already reflect the Libor expectation under the discounting measure (eq. 25 in his paper). So, when you bootstrap multiple Libor curves and price IR derivatives using consistently...
by Papero
September 5th, 2012, 3:45 pm
Forum: General Forum
Topic: Bianchetti's Formulas - Are they actually used?
Replies: 17
Views: 15580

Bianchetti's Formulas - Are they actually used?

<r>In Bianchetti (2008) (<URL url="http://ssrn.com/abstract=1334356">http://ssrn.com/abstract=1334356</URL>) it is written"Notice that market segmentation was already present (and well understood) before the credit crunch (see e.g. ref. [5]), but not effective due to negligible basis spreads."where ...
by Papero
March 22nd, 2011, 8:45 pm
Forum: Technical Forum
Topic: OIS bootstraping
Replies: 19
Views: 33641

OIS bootstraping

Does anyone know about a survey or research on OIS discounting from PriceWaterhouseCoopers ?Does anyone know about a survey or research on OIS discounting from anyone else ?many thanks in advance
by Papero
March 21st, 2011, 11:34 pm
Forum: Technical Forum
Topic: Conventions for IR Basis Swaps (ICAP quote)
Replies: 14
Views: 56447

Conventions for IR Basis Swaps (ICAP quote)

QuoteOriginally posted by: MartinghoulFor basis swaps, your summary looks correct...No, the standard quotation for EUR basis swap on the ICAP page is "as two swaps", thus the basis swap rate quoted is the difference between the swap rate of two standard swaps fixed vs floating.Best regards
by Papero
October 10th, 2010, 5:20 pm
Forum: Trading Forum
Topic: Pricing of Overnight index swap
Replies: 10
Views: 70367

Pricing of Overnight index swap

<t>mmm...the Credit Suisse doc does not clarify how to compute exactly the rate to be payed on the floating leg...it should be a geometric average, but of what, exactly ? I do not find an exact formula around...Let's define the basic quantities:- := OIS floating leg payment dates - = i-th floating l...
by Papero
March 31st, 2010, 6:58 am
Forum: Technical Forum
Topic: Curve Construction in todays market
Replies: 132
Views: 75439

Curve Construction in todays market

read "solving the puzzle in the interest rate market" by Massimo Morini
by Papero
January 14th, 2010, 11:08 pm
Forum: Technical Forum
Topic: IR Basis Swap Pricing (re-loaded)
Replies: 23
Views: 60171

IR Basis Swap Pricing (re-loaded)

Quoteit takes times before accountants methods adapt to realitymmm...P&L is accounted daily, do you mean that traders discount intraday with OIS and close of business is done using standard discounting...???this means P&L jumps everyday...not very nice.