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by rot13
August 24th, 2011, 8:14 pm
Forum: Student Forum
Topic: Asymptotic expansion
Replies: 114
Views: 24143

Asymptotic expansion

<r>Hi,So I leave you few days and it's up to 4 pages <E>:-)</E> So much for the asymptotic expansion!Thanks Paul for the book reference.Thanks Alan for the slides.I'm actually going through the Andersen & Piterbarg at the moment, and trying to figure out where the formulas in CEV/SABR (and all t...
by rot13
August 21st, 2011, 12:43 pm
Forum: Student Forum
Topic: Asymptotic expansion
Replies: 114
Views: 24143

Asymptotic expansion

Hi,I come from a probability background and I have a slight difficulty understanding the whole asymptotic expansion method (in CEV or SABR framework). Would anyone have any pointer to useful articles or books?Thanks.
by rot13
March 3rd, 2011, 9:56 pm
Forum: Careers Forum
Topic: PhD offer advice
Replies: 4
Views: 21373

PhD offer advice

If you want to work in Finance, why do a PhD in physics? Sure you could find a job in Finance afterwards, but what is really motivating you?
by rot13
December 20th, 2010, 9:09 pm
Forum: General Forum
Topic: CMS replication
Replies: 16
Views: 29102

CMS replication

Can't you use a strip of forward 10Y swaps directly?
by rot13
November 7th, 2010, 5:43 pm
Forum: General Forum
Topic: Amortizing Cross Currency Rate Swap
Replies: 4
Views: 27932

Amortizing Cross Currency Rate Swap

I guess it depends how you structure the deal, but if you have front and back exchanges of notional, it would make sense to have interim exchanges as well.
by rot13
October 16th, 2010, 1:39 pm
Forum: Book And Research Paper Forum
Topic: Stochastic Differential Equations and Diffusion Processes / N. Ikeda, S. Watanabe
Replies: 3
Views: 29340

Stochastic Differential Equations and Diffusion Processes / N. Ikeda, S. Watanabe

There are a couple of result to prove that the CIR diffusion process is positive. p211 if my reference is correct. So looking to find a similar result in some other book.Thanks,
by rot13
October 11th, 2010, 6:02 pm
Forum: Book And Research Paper Forum
Topic: Stochastic Differential Equations and Diffusion Processes / N. Ikeda, S. Watanabe
Replies: 3
Views: 29340

Stochastic Differential Equations and Diffusion Processes / N. Ikeda, S. Watanabe

<t>Hi,A while back I used to refer myself to the following book: Ikeda, N. / Watanabe, S., Stochastic Differential Equations and Diffusion Processes. North-Holland Mathematical.Not having access to that book anymore I wanted to know if people knows where to find it, or if there is another equivalent...
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