Is there an analytical formulation for complex barrier option where from time zero to time 1 the barrier isknock-out on threshold 1, and from time 1 to time 2 the barrier is knock in?

Hi MarkI have your book, which section are you referring to.Thanks

Can you provide a proof?Even though these measures are not equivalent, there is a likelihood function that transforms the expectation in one measure to another one. Thus equivalency is not a requirement for measure change.

<t>Lets have two measures for the same process, please note different volatilitiesdS(t) = mu^P dt + sigma^P dW^PdS(t) = mu^Q dt + sigma^Q dW^QE^Q[S(1Y) ] = E^P[S(1Y) dQ/dP]where dQ/dP = sigma^P/sigma^Q [exp(-(w-mu^Q)^2/(2*(sigma^Q)^2)]/[exp(-(w-mu^P)^2/(2*(sigma^P)^2)]; ratio of two gaussian Prob de...

<r>I'm looking at this from a practitioner's point of view. The question is if the expectation hypothesis is used in the future evolution of the term structure, then the simulated scenarios will suggest that short term rates should go up (under a normal term structure condition)<URL url="http://en.w...

<t>Are there any interest rate models that do not imply some form of expectation hypothesis. Expectation hypothesis states the mean value of the rate that is going to be observed in the future for a specific period, is equal to the forward rate that is observed in today's term structure that matches...

I am looking for the following paper. On the estimation of credit exposures using regression-based Monte Carlo simulationRobert SchöftnerVolume 4 Number 4, Winter 2008/09I dont have subscription to that journal. Can anyone send it to me?Thanks

<t>bearish, let me explain my concern through an example. Let's assume state variables on the interest rate curve are simulating 2 , 8, and 10year zero coupon rates. And horizon is 2 years from now. Then at the horizon you know the 2y, 8y, 10y rates, lets assume my asset is 10year to maturity zero c...

<t>I have seen several papers on counterparty where an exposure in the horizon is calculated by simulating factors in real world measure and then the pricing at the horizon is done risk neutrally. Does the same concept apply to interest rate models? My concern is interest rate models imply forward r...

I am looking for Moody's Credit risk methodology paper;Modeling Credit Portfolios; RiskFrontier Methodology, 2009I cannot find it on google, but they refer it on their papers. Does anyone have it?Thanks

<t>I am investigating how to price a porftolio of assets in the risk neutral frame work for CVA calculation. The portfolio includes EUR swaptions, caplets, USD swaptions, some callable bonds, etc. We can do individual risk neutral pricing of the swaptions or caplets (LFM/LSM) in one currency, but ho...

<r>Yes Swiss Libor is officially negative. Since you can borrow risk free at 2 year node at negative 6bps, having 3M libor at negative 10bps is not surprising. <URL url="http://www.bloomberg.com/news/2011-08-18/swiss-2-year-yields-turn-negative-10-year-yield-down-the-most-since-1994.htmlOn"><LINK_TE...

I am wondering why we don't have a bond exchanges in US? Why people are happy to accept the trading with broker-dealers, instead of an exchange?

<t>QuoteOriginally posted by: gcQuoteI don't think there is good career progression for a good quant in a brokerage unless they head a deptAbsolutely true, and in fact it was the reason why I decided to leave after a few years thereQuoteand most quants tell me that they feel under appreciated.Yes, b...

Duration of an MBS depends a lot on the prepayment model assumptions, thus you could never get a correct hedge.