Suppose W1(t) and W2(t) are two independent standard Brownian motions. What is the probability that both processes are larger than 0.667 at t=1.0

Hi there, I am writing an academic paper on calibration of inflation vanilla options. Is there anywhere I can obtain some sample premium (or implied vol) quote data on inflation year-on-year and/or zero-coupon options? I've heard of ToTEM/Markit, and ICAP but they are 'live', and I just need some re...

I believe you won't be able to infer much, as sticky-delta versus sticky-strike is defined by the model and market-maker. And this pre-defined sticky-delta/strike is then complicated by the actual market-moves. Consider, I've calibrated my model to existing market-prices in terms of IV (implied vol...

thanks Alan. You mean, taking the idea of a touch option pricing, i.e. the probability of a stock (or variable) hitting a level L before expiry time, T-exp? I searched around and found this formula https://quant.stackexchange.com/questions/235/probability-of-touching : the probability p, against x =...

thanks all, for now (before using the mathematical interpretation), I have tried to use a brute force monte-carlo run technique. Basically, I just do X number of trials, with uniform prob. distribution against the volatilities. Then for each trial (Xi), I generate the normal gaussian * vol(given the...

we have a algorithm that pumps out trade recommendations. I am trying to infer probabilities per below. Assume we have set a particular order where it is trying to sell shares at a favourable price, placed with 1) X % (relative price points away from mid-price) 2) given algorithm signal is positive ...

@kiann, Well, the "risk-neutral black-scholes framework", unfortunately, means different things to different people. If you mean the framework discussed in Black and Scholes' seminal paper, then the pdf associated to that is a log-normal density. True volatility in that framework is a con...

thanks outrun, that does sound like a good idea. There is this observation in the markets (most asset types) that vols tend to be mean-reverting, or that short-dated vols are higher than longer-dated vols and volatility profiles tend to have a hump-shape. I would try that idea you just proposed. I w...

Hi experts, I am looking for advise and help in some volatility mapping I am trying to do. Ignoring the asset-class (FX, interest rate etc), I have a time-series of extremely short-dated (seconds) market-stream. These are converted into a series of rolling (instantaneous) volatility (e.g. stdev[A1:(...

Thanks DaveAngel.A slight discourse, if I assume 1) both the funding leg and the discount curve to be the same2) the reference asset to grow at the funding legWouldn't it mean the TRS is merely the equivalent of an interest rate swap of the specified tenor?

<t>Hi all, I am trying to set up the pricing of a total return swap with a specified funding leg, and a discounting leg (for CSA purposes).The papers I've read state the pricing of a TRS is straightforward for a non-dividend stock or asset. The forwards of the asset should grow merely at the funding...

<t>Hi, I am trying to understand the difference between bermudan itself and the bermudanality component (berm pv minus max. European).If I increase the mean reversion in a one factor tree-based the berm price increases BUT the bermudanality component decreases?If I increase the correlation between l...

Hi, not sure if this is the correct thread for pricing.But I am looking at pricing of accreting swaps and by extension, callable accreting swaps.Would anyone know any papers or books?Thanks

<t>Hi, questions on Non-Deliverable Forwards (NDFs) and on-shore/off-shore yields.Please correct me if my underlying assumptions are incorrect in the first place. 1) NDFs are used when the other CCY is protected and not freely available e.g. CNY/TRY....2) As I understand, there would be equivalent s...

<t>Hi, a simple convexity adj question on CMS swaps...Should the convexity adjustment for a swap rate by (analytical formula)= +0.5 * y^2 * vol^2 * T * (G''(y)/G'(y))Where for example a conv. Adj. on a 10yr swap rate; y is 10yr swap, vol is vol of 10yr swap rate and G'' and G' are the first and seco...