<r>There's a good book now available about brazilian derivativesThe amazon link is belowhttp://<URL url="http://www.amazon.com/Brazilian-Derivatives-Securities-Management-Interest-Rate/dp/1137477261Kindle"><LINK_TEXT text="www.amazon.com/Brazilian-Derivatives-Se ... 7261Kindle">www.amazon.com/Brazil...

<t>I think you are wrong, quants are interested in helping trading desk to show a price to a client, but the new trade that enters the portfolio will affect his capital charges and the ROE for the desk which the trader (and his boss) are looking at. So the only way you know a trade is good for the b...

Sorry I meant SLR instead of SLA

Hi, does anyone know a good reference for studying RWA, SLA and capital charges for computing break even PV capital wise for a bank?Thks

Hi Piterbarg, perhaps you could give me a hand with the question on the thread "A question on fx fwds collateral ccy". The question is based on your paper Cooking with collateral.Many thks

<t>Hi,i've been reading "Cooking with Collateral" risk magazine article from Piterbarg. He mentions that there's no reason why the FX FWD strike for a trade collateralized in domestic or foreign ccy to match values. But it's market practice that fx fwds are quoted without regard for the collateral a...

Hi,does anyone have a copy of the article of Piterbarg in risk magazine "Cooking with collateral"?Thks

Seems like you never heard of an OIS swap. The reationale is the same, so I would say that developed mkts are now mirroing Brazil

<t>Hi, I am looking at eq 3.7.3 of Shreve's Stochastic for Finance II book, which seems to have the density of the first passage time of a Brownian motion.On my original problem, I have a rate following a Brownian Motion process scaled by its normal volatility (arithmetic brownian motion with zero d...

It's 1 factorThks

<t>Hi,if I have a brownian motion, what's the expected first passage time for it to cross a level m? The application I am trying to do is for a rate process following a normal or lognormal distribution currently at 10%, what;'s the expected time for it to cross X bps from 10% given a normal vol or l...

The var swap has a delta different than zero if your implied vol interpolation is a function of spot level.In that case the delta shows up because of the chain rule derivative.Cheers,

Hi,I haven't tried to check the SV X LV price difference for lookback options. But for most of the exotic options there would be a price difference because both models imply different smile dynamics, even though the vanilla prices are the same as in your case.Cheers,

I think Rebonato's idea is to use the SABR/LMM model because it generates more realistic dynamics which would give more realistic exotic prices.