Toranaga, Please try a bit to answer the problems yourself. I'll help you reason when you get stucked.

<r>Hi,I work in Front Office in a structured desk. I develop payoffs and generally try to make Murex value our options in a correct way.Are there other Murex users out there? I need some help/discussion with a lot of issues, right now my most pressing is options on commodity futrures.There is some a...

I want it too...email: ffyring@kth.se

<t>I want to create the minimum variance* tracking portfolio given that I can use N assets.I don't think the efficient frontier ansatz is the way to go. *minimum variance in the sense that if S is a time-series (an M x L matris, where the M rows are daily performances and the L columns are the asset...

<t>I am not native English either, but I must say that this whining and pressing of rights get on my nerves. If you choose (well, the children hasn't actually choosed...) to live in a country you must face how that is without complaining, and try to earn respect from the original inhabitants so they...

<t>This should not be that hard, but I can't find any good references.Suppose that I have a lot of data for a fund or an index. In the case of the fund I know the universe of the assets it contains, but not the actual weights for the assets in their portfolio. For an index I know both asset universe...

<t>1. Buy a zero-coupon that matures in five years. With 4.3% in interest that costs approx. 82£. This will be our money-back guarantee.2. You now have 18£ that you use to buy ATM call options. If you scale FTSE to 100 and ATM volatility is 12.2% and div. yield is 3% that option cost 12£ for one uni...

terrorbyte and outrun - Thanks for your help and insights. It really helped me a lot.

<t>Say that you have a physical asset like a powerplant. You want to maximise the value of the plant and therefore try to look at it like an option.For e.g next month you can sell power if the mkt price is more than your production cost. You can therefore view the problem as if you have a call optio...

Hello Tim,I am very interested! I use both Interactive Brokers and Matlab, though I do not "connect them" in any way. If you are willing to share your code I would be happy.//Fredrik

<t>An idea is something like the following. The code plots the spread between to values.SZ = 1000;z = cumsum(randn(SZ,2)*chol([1 0.7;0.7 1]));t = 300;subplot(2,1,1)plot(1:t,z(1:t,1),1:t,z(1:t,2));subplot(2,1,2);hold onplot(z(1:t,1),z(1:t,2))point = plot(z(t,1),z(t,2));while(1) if t> SZ, break, end t...

I am also interested in this subject. Are you looking at swing options for specific products? I know that swing options are used in the Nordic electricity market and have been for many years./Fredrik

<t>QuoteOriginally posted by: exotiqQuoteOriginally posted by: ffyringFor most quants I guess that dual processor computers cost more than it tastes. The software used seldom uses both processors. Fast disks and lots of RAM is better spent money./FredrikI don't know what you mean by "most", but the ...

<t>QuoteOriginally posted by: NDual Opteron 248s with phase change cooling, 3.7 GHz clock, 64 bit Linux, Symmetrix Disk Array (EMC)BTW, Sun is now using AMD CPUs.This is a dream right now. I think that the fastest Opteron 248 is clocked at Opteron 248 is 2.0GHz. Still, it's hard to beat by any compu...

<t>Perhaps you know the fact that the value of a option is v_t = exp(-r(T-t))*E[f(S_T) | S_t] where E denotes the expectation, f(x) = max(x,0) for a european call and S_t is the security. Arbitrage theory says that the expectation is under the "risk-neutral" meausure Q, where the dynamics for S_t is...