http://appel.rz.hu-berlin.de/Zope/ise_s ... lefsen.pdf

which model framework is adequate for path-dependent exotics on precious metals?

>Eric Reiner, "The Characteristic Curve Approach to Arbitrage-Free Time Interpolation of Volatility", ICBI >Global Derivatives Conference, 2004does anyone have this presentation?

you can pull the implied correlation out of quanto forwards if you plug in spot, quoted forward and fx and underlying volatility:F=S*exp((r_foreign-divyield-sigma_udl*sigma_fx*corr_fx_udl)*T)

Hi,does anyone have the paper"An Analysis of Pricing Methods for Basket Options"? It was in Wilmott May 2004.Thanxpschwen

there is a chapter in a book of jandash about this topic

The VIX time series from CBOE looks like upward jumps in volatility (e.g. on 9/11) might be the main risk driver for caps on variance. Do you agree?

there is a similar thread:http://www.wilmott.com/messageview.cfm? ... adid=32278

Thanks a lot for all comments!

QuoteDoes anybody know of a vendor or public system that:- does pricing, risk, position keeping and trading- has a solid and reliable back-end- open and flexible, especially for pricing models, data feeds, database etc...- works well with Excel and COMImagine Software

Hi Pabo,Quoteare you using FX spot vs Equity spot or FX forward vs Equity forward to get the correlation?why do you think the FX forward and Equity Forward times series would be a reasonable choice for the computation of correlation?Best Regardspschwen

<t>@pabo:Quoteare you using FX spot vs Equity spot or FX forward vs Equity forward to get the correlation?are you asking about the way we computed historical correlation?We used daily spot fx rates and .N225 closing time series and computed the correlation of the series of log returns.A possible pro...

<t>you won't use expiry (fixed date) but maturity (fixed time period)for fx, use (maturity, delta)for equity it depends on the timescale and on your "stickyness" assumption. for longer timescales, use (maturity, forward-moneyness=strike/forward). for intraday data you could use (maturity, strike). <...

there is an earlier version on the web:http://www.itwm.fraunhofer.de/zentral/d ... icht53.pdf

our impression is that this "skew" seems to be a special feature of the Nikkei quantoed into EUR and USD. For other underlyings, e.g. STOXX50E quanto USD, we don't see such a large spread between implied and historical correlation.