Hi everyone,Do you have any idea if there exist derivatives market (on equities or indexes) in Africa ? If so, could you please give me the names of some of theses financial markets ?Thanks !

<t>Hi everyone,If i have a 18m vanilla swap, indexed on the euribor 3m with quaterly interest paiements, does that mean that i have sensitivity to the 18m interest rate?For me the answer is yes because, in absence of opportunity of arbitrage, the 18m interest rate is the weighted sum of the 3m spot ...

Hi guys,Do you know if I can use the Bloomberg Excel APIs to get the public holidays on different markets ?Thank you very much !

Hi everyone,I have seen in several papers the following computation for the delta of an option O when the volatility is stochastic :with O^BS the Black Scholes price of the option (when the vol. is constant).What's the justification of this formula ? I don't understand why we can't write : ??

Thank you everyone !With all theses books, I think I'll be busy for a while now

<t>Hi everyone,I'm looking for a good book of practical finance and macroeconomic, with topics such as : - monetary policies, key rates, ...- how money is produced with the explanation of inflation issues, ...- liquidity, liquidity holes, ...- derivatives and the issues related(with historical illus...

Ok I understand, for me nothing changes, only if I sell the bond and close the swap.

When you say that I will get 0.5% per annum, where does come from this profit ? Because, if I hold to maturity the bond, I will lose interests on the annual pay-offs of my asset swap, as the interest rates have dropped.

<t>Suppose I borrow (at the Euribor) 100M euros to buy a 5%-bond, maturity 12Y, price 100. I enter in a swap where I pay a 4,50% fixed rate and I receive the Euribor. The risk free interest rate is 4,40%.My asset swap position is then worth : 100M?*0,5%*sum(discount factors @ 4,40%, year : 1,...,12)...

As an actuary student, this is kind of ironic that I didn't think of this explanation :/Thank you D.JN and thank you Martinghoul for the pretty good references.

I don't know exactly, but I've often noticed yield curves like these :with a decreasing slope for the longest maturities.

<t>Hi everyone,I wanted to know why yields are a little bit lower for the long-term bonds than for the medium-term bonds. The only quantitative explanation I've found was "because the convexity of a bond increases as the square of the maturity". But I can't see how this explains the lower yield.Than...

Hi everyone,I am writing my CV in english but i am not sure of a couple of sentences (i'm French... doesn't help :/ ).Could someone help me (please send me a private message) ?

Thanks Borici for your answer !Do you know any way of dealing with sparse matrices in a linear optimization ? (maybe some algorithms or some papers ?)

<r>Hi all,I'm trying to implement a little software to optimize portfolios using different constraints : either minimizing CVaR with a constraint on the global expected return, or maximizing the expected return with constraints on CVaR.Currently, I'm solving the Linear Programming problem given in t...