SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 3 matches

by elviszhang
September 20th, 2008, 12:16 pm
Forum: Careers Forum
Topic: Don't do MFE/MSc Math fin
Replies: 100
Views: 63372

Don't do MFE/MSc Math fin

Is there any suggestion for those who are currently doing a PhD in Quantitative Finance in the early state?
by elviszhang
August 18th, 2007, 10:31 am
Forum: Student Forum
Topic: Help: Implied copula approach
Replies: 0
Views: 66350

Help: Implied copula approach

Has anyone tried the implied copula approach by Hull and White (2006)? I have a problem in fitting the iTraxx tranche quotes within the bid-ask spread. When I use linear programming in Excel solver, it always can not find a proper solution. Thank you.
by elviszhang
June 22nd, 2007, 7:27 pm
Forum: Student Forum
Topic: Pricing exotic partial barrier option on FX rate
Replies: 0
Views: 69848

Pricing exotic partial barrier option on FX rate

<t>###############################################################################The option is an exotic partial barrier option written on an FX rate. The current value of the underlying FX rate S0 = 1.5.The option matures in one year.The option knocks out if the FX ratei) is greater than an upper ...
GZIP: On