Chukchi - what about books relating more to interest rate derivatives, and structured notes (products) based on these, any suggestions?

<t>Quick and dirty suggestion:- look at the graph of the actual CMS option payout as a function of the underlying swap rate- look at the graph of the value of a swaption on the underlying rate at that same date- calculate a portfolio of such swaptions that will best fit the CMS option payoutAt least...

<t>Paul, you have seen through my rather transparent motivation.. she was indeed very beautiful... i thought that a little tongue in cheek - cheekiness might elicit some more details... as Bill said, your bet should be tailored to your perceived edge, and talking directly would be indulging in some ...

<t>Apparently the attendants of the latest seminar talk presented by the very affable Bill Ziemba were being photographed. Unfortunately the prescriptions of my religion do not allow for my image to be transcribed. Would anyone know how I could contact the photographer at the event to determine whet...

<t>I would be interested in hearing how the diving is in and around the UK. I am sure that most of the divers out there restrict there submersion diversions to more amenable climates (e.g. Red Sea - gorgeous!!) but you do get the die-hards who love being under, even if the viz is one foot and the te...

Can anyone recommend any references to explain in a useful and efficient way, the various approaches, or a significant approach to specifying the family of solutions to a differential inequality e.g. df/dx > 1/fthank you

<t>on this point, I was having a chat with a friend of mine last night, and he is quite familiar with the pitches in SA - here is an interesting point:some of the pitches are *vary* sensitive to moisture and temperature. One of the semi-finals is being played at Kingsmead in Durban, and it is a day-...

<t>thanks for the responsesmj: you are right that implementation by MC would be a pain but it might be the only real option .. perhaps to use the Longstaff and Schwartz method for the callabilitybm: thanks for the business side view, i agree that they should be popular and i guess that the pricing d...

<t>It seems that there might be many ways to skin this cat - although I would guess that the two most favoured approaches would be a short-rate tree (probably parameterised to the vanilla range accruals) or else a stab at using the Libor market model. I would like to tackle this problem as efficient...

<t>Collector: it is possible to play various waveforms through Mathematica very easily if you would like to just mess around. It is also possible to save these waveforms in some acceptable sound file formats so that they can be read into other applications.James: Type-O-Negative ? ...I am guessing t...

Luigi - what are spread cancellable options: sounds like some sort of Bermudan callability on a yield curve spread option ? ... is that correct ?

<t>It seems that certain (once) exotic products such as convertible bonds, have proven to be extremely useful to issuers, speculators and arbitrageurs... other exotic products, however, might be mentioned frequently in mathematical texts, but have lacked practical staying power, and proved to be unp...

<t>I think your post summarises a theme that has been played with by many science fiction writers: along those lines the only diversion from the evolutionary path that you allude to is that there would more than likely be a more significant transition. I think that as extra-terrestrial travel become...

<t>AkimonAlthough it does seem logical to use a recursive syntax for many option pricing problems using a tree approach there is one caveat. Although the number of nodes grows as O(n^2) a recursive algorithm can make a simple valuation go as O(exp(n)) ... at which time your code will slow to a glaci...

<t>Withnail and I:A thought strikes him and he turns on Marwood, pointing accusingly. Withnail: Have you been at the controls? Marwood: What are you talking about? Withnail: The thermostats. What have you done to them? Marwood: I haven't touched them. Withnail: Then why has my head gone numb? [A cri...