Can anyone please give me some research, information and guidance on how you build a model for managing the risk on a basic form of CPPI. What are the mechanics involved, etc...Your help would be appreciated.ThanksEqDeriv

Here is a discussion paper on the Valuation of Barrier Options in a Black-Scholes Setup with Jump Risk:

<t>[1] DV01 is the impact of a one-basis point parallel shift in the zero curve. For trading purpopes I will look at the change in delta both up and down, because I need to see what happens to the portfolio if rates move a certain distance. For risk management purposes - we take it as +1bp shift.[2]...

A € M_n(K) => { I, A, A^2, A^3,....., A^n, A^n+1,.....} is a subspace with dim <= nHow do you prove that these vectors generate a sub-space with dim <= n

lambda -----> Af(lambda) ------> f(A)How do you prove thatlamda^3 + 2lambda^2 - lambda + 7 ------> A^3 + 2A^2 - A + I

<t>If I have a strip of CAP vols (quoted out of spot) then what is the mathematics to calculate the volatility for any CAP starting at any time. For example, if I have the following vols from ICAP's page for a 3.0% and 3.5% CAP on 6m EURBIOR:1y 25.2% 25.9%2y 26.5% 25.4%3y 25.6% 23.6%4y 24.9% 22.4%5y...

<t>I am trying to answer some questions relating to the Merton Model with Multiple Debt Classes. For the following, assume we are in the et-up fo the Merton model (and its assumptions apply). Let V = $100, sigma = 0.30, r = 0.05.[QUESTION 1] If the firm's only liability is a 5-year zero coupon bond ...

You can probably find papers at the SSRN web-site: SSRN

<t>Current trades doing well as Structured Product Solutions for equity derivatives (which are simple to explain to the retail investor) are:[1] Lookback (on Min) Cliquet - Capital Protected product where the payout is equal to the greater of 1.0% or 11.5% plus the lowest of the 12 Monthly Index Ret...

I have quite a few resources on Barrier Options, other exotic options and swaps/swaptions (I think). If you give me your e-mail address by secure message then I can forward them to you.

thanks dook

Can anyone give me more information relating to pricing and hedging Himalaya and Altiplano Options?Are there any papers or models available for these structures?I think I saw a thread about Himalayas which Paul responded to, but it was locked.ThanksEqDeriv

<t>There isn't a particular rule you can follow, other than by finding out from info around the market. Bonds go special when someone is either trying to squeeze the market, or are looking to trade out of the issue they are holding to buy the Benchmark issue !! The bond can also become special if it...

<t>My experience of adjusting models for illiquid markets is to use Leland Volatility measurements, which will take into account your hedging frequency and bid/offer spreads. The formula is:sigma+=(sigma^2 + k . (2/pi)^1/2 . sigma . deltat^-1/2)^1/2sigma is the volatilityk is the bid/ask spread of t...

<t>Also agree wtih you anthis Anthis, but most investment banks employ quants/financial engineers to build the models and trader to trade the risk. Some of our traders are very good traders at managing highly exotic risk, but could not neccesarily build the models that run this risk. Their skills ly...