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by tontonkum
June 18th, 2008, 3:34 pm
Forum: General Forum
Topic: Delta of Convertible Bonds using Binomial Pricing
Replies: 8
Views: 55539

Delta of Convertible Bonds using Binomial Pricing

the reset of the CB is conditioned to an event. If the event occurred in your tree , you just have to exercise the reset (changing the strike) in your tree in the very same way it has been defined in your termsheet.Hope this is clear.
by tontonkum
June 2nd, 2008, 8:14 am
Forum: Student Forum
Topic: mean reverting geometric brownian motion with jumps
Replies: 1
Views: 53939

mean reverting geometric brownian motion with jumps

<t>QuoteOriginally posted by: robby812Does anyone have the source code or know how I can code a mean reverting geometric brownian motion with jumps inmathematica? How would I go about calibrating the parameters ?What do you mean by "coding" ?About the calibration : it depends on what you want to do ...
by tontonkum
May 29th, 2008, 7:22 am
Forum: Technical Forum
Topic: What variance reduction technique to choose?
Replies: 23
Views: 63586

What variance reduction technique to choose?

<t>QuoteOriginally posted by: DostoevskyMersenne twister is just another random number generator. It gives a Monte Carlo convergence rate 1/sqrt(N), N is the number of sampled points or paths ).Sobol' sequence is the best ( in practice ) low-discrepancy sequence. It provides a rate of convergence 1/...
by tontonkum
May 29th, 2008, 7:07 am
Forum: Trading Forum
Topic: VIX Futures Liquidity
Replies: 21
Views: 62278

VIX Futures Liquidity

Hi everyone, does anybody know of the liquidity of the VIX Futures market ? And the VIX Options ?I could not find useful information on that.Thx.
by tontonkum
March 6th, 2008, 8:20 am
Forum: Technical Forum
Topic: “Heston Vega” vs. BS-Vega
Replies: 19
Views: 64051

“Heston Vega” vs. BS-Vega

Furtehrmore, if youset the entry point of your bumped calibration at the value of your result point of your original calibration, it should not be that long.
by tontonkum
March 6th, 2008, 8:13 am
Forum: Technical Forum
Topic: “Heston Vega” vs. BS-Vega
Replies: 19
Views: 64051

“Heston Vega” vs. BS-Vega

<t>QuoteOriginally posted by: KhoshtipI am wondering if anybody knows a good article/way to calculate the vega when one uses the Heston pricing model.In BS model can calculate the vega by just adding a small constant value to the volatility surface calculate the new prices and divide the price diffe...
by tontonkum
February 28th, 2008, 10:35 am
Forum: Student Forum
Topic: Infinitey activity vs Jump diffusion models
Replies: 1
Views: 57967

Infinitey activity vs Jump diffusion models

"Merton model is only suitable for assets which are skewed to the right as the distribution is right skewed"I thought it could be left skewed if the jump size mean of your normal jumps was negative ?
by tontonkum
February 27th, 2008, 2:24 pm
Forum: Technical Forum
Topic: Justifications of fancy models in Finance
Replies: 18
Views: 60582

Justifications of fancy models in Finance

QuoteOriginally posted by: umvueWhy are JD and SV models fancy? They can be described in two lines of algebra. Not complicated at all.Lol. And the word 'World' can be written in one word. It should be very simple then ?
by tontonkum
January 31st, 2008, 4:35 pm
Forum: Trading Forum
Topic: Trading vs statistical arbitrage
Replies: 15
Views: 64947

Trading vs statistical arbitrage

QuoteOriginally posted by: g000RRRejust thinking : when someone earns money with a derivative contract, his counterpart lose the same amountWell, you should maybe stop thinking.
by tontonkum
January 28th, 2008, 2:48 pm
Forum: Numerical Methods Forum
Topic: Tricubic Interpolation on scattered data
Replies: 5
Views: 61280

Tricubic Interpolation on scattered data

Thanks for the answers.msperlin: I'll look into your solution, but are you dealing with scattered data ?bhamadicharef: Interesting theory, I wasn't aware of that kind of things, I'll go into that.
by tontonkum
January 23rd, 2008, 1:50 pm
Forum: Numerical Methods Forum
Topic: Tricubic Interpolation on scattered data
Replies: 5
Views: 61280

Tricubic Interpolation on scattered data

By the way, has anyone already dealt with that kind of stuff ? Did it work properly ? That would save me some time... Thx
by tontonkum
January 23rd, 2008, 1:13 pm
Forum: Numerical Methods Forum
Topic: Variance reduction for Dupire + Rates model
Replies: 4
Views: 60789

Variance reduction for Dupire + Rates model

<t>Since you have 360 normal draws to use, you must be using a Sobol sequence of dimension 360.For such dimensions (> 20-30 - say), the convergence is not better than for a classic Uniform Generator, for example Mersenne-Twister. Well, in my experience... Do you confirm the convergence is better wit...
by tontonkum
January 22nd, 2008, 5:05 pm
Forum: Technical Forum
Topic: Need help on convertible bond pricing
Replies: 5
Views: 60225

Need help on convertible bond pricing

Ok! I did not know, there could be a wide use of -say- local vol. Thanks
by tontonkum
January 22nd, 2008, 4:19 pm
Forum: Trading Forum
Topic: Variance swaps
Replies: 12
Views: 62875

Variance swaps

<t>QuoteOriginally posted by: sepparQuoteOriginally posted by: tontonkumPricing and hedging are obtained via a static replication with calls and puts of differents strikes. There is no need for any model in the most general case. See Carr and Madan for further explanations.To see the failure of your...
by tontonkum
January 22nd, 2008, 4:07 pm
Forum: Technical Forum
Topic: Need help on convertible bond pricing
Replies: 5
Views: 60225

Need help on convertible bond pricing

What do you mean "you need a lot more than BS" ? You mean you need another model of diffusion ?Numerical Analysis knowledge ?
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