QuoteOriginally posted by: TraderJoeJust glad this guy went to US and not London.hahhah

function for vanna

-------------------------------------z = x with probability \rhoz = y overwise(x, z) is the answer-------------------------------------Yeah, this is a best way.

<t>Sorry Traden4, think of the simplistic n=2 , k=4 case, there is only 1 way, but your formula gives 2 . The hole lies in that : If we define a 1-for-1-row 1-for-1 -column pattern a 'basis'(so, n filling in n^2 ), a final qualified arrangement ( k for n^2) a pattern, then certain pattern can possib...

Aaron, can you please elaborate a bit more on the tax difference between retained earnings and equity financing ? I'm a little lost here. Thanks~

stat which is a rich subject, monte carlo, numerical methods in c# / c++ , advanced stochastic ~~

is it cash flow coverage ratio ? just wanna be clear before I think further

<t>Delta can be viewed as an agent for the (risk neutral)prob the underlier will end ITM,. When it's currently OTM, vol increases the odds(coz more upside than downside), samely, when it's now ITM, vol decreases it. When its now ATM, vol(which means equally up and down) does not affect the winning p...

I would say, don't bother to look into Affine. Turn to HJM & LMM. But, FYI, I guess Shreve's book presents Affine explicitly.

<t>As for top Chinese students heading US way. I would disagree. Chinese students are smart. London by far is a bigger quant market. More complex OTC derivatives and FX options and correlation trading is done out of London than NY. Sure NY and London are both major financial centers but London has t...

pls forget about it. It turned out an alias for a specific barrier option. Thanks everyone

<t>I guess you are asking how to choose between Asian option and Average Price Forward in long term hedge.what a book will tell you: credit risk: forward-specific liquidity issue: your own liquidity issue. No margin for forward but yes for option.There are then certain practical issues to consider: ...

<t>Quote--------------------------------------------------------------------------------On my programme here at the LSE, while the largest group of students is Chinese (roughly 1/3 of the programme),...On our 'continuous time asset pricing' examination this year, the Chinese did quite poorly. Appare...

<t>The most general answer would be : Option, whichever it is and how extoic it might be, can always decompose its value into intrinsic and time value.And the most important rule is that the optimal execise time is once its time value is ehausted ( so option value equals its intrinsic) .American opt...

OTM delta is favored by vol whilst ITM delta is harmed by vol. ATM delta is better off being neutral. vol means bilateral movement which does not change the prob of ending up ITM if its ATM now.