<t>Thanks for replies, the job is better in birmingham but i dont want to go... Looks like I'l have to do the vendor thing for a while in London and see if I can get some more quanty interviews. What's worth getting clued up on? CVA? Commodity Derivatives, if so what apart from spread and swing opti...

<t>Hey Guys,I'm in London having just finished an MFE and am interning at a risk vendor which is due to finish shortly. I have the following options:1) Stay in the current company setting up a new client services desk - which means dealing with the middle office of banks/hedge funds/asset managers w...

<t>You can model either the short rate or the forward rate as there exist forumlas for bond prices in terms of either rate. Moving to the risk-neutral world depends on what your are modelling in the first place. Say you have an SDE for either the short or forward rate. The basic idea (in easy terms)...

What about L&S original paper? Has plenty of different examples for you to compare with: http://escholarship.org/uc/item/43n1k4jbDunno what you mean by "real", data generating examples

<t>If you have valued the option using a tree setting then I guess you have worked out the exercise strategy without realising it!Say you have m rights left then the price at time t is: max( immediate payoff of 1 right + discounted expected value of (m-1) rights at time t+1, discounted expected valu...