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.

<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 ...

<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/...

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.

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.

<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...

"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 ?

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 ?

QuoteOriginally posted by: g000RRRejust thinking : when someone earns money with a derivative contract, his counterpart lose the same amountWell, you should maybe stop thinking.

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 the way, has anyone already dealt with that kind of stuff ? Did it work properly ? That would save me some time... Thx

<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...

Ok! I did not know, there could be a wide use of -say- local vol. Thanks

<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...

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