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by unkpath
June 28th, 2008, 1:01 am
Forum: Technical Forum
Topic: IR futures options
Replies: 6
Views: 52719

IR futures options

<t>i think he is interested in futures options and not just futures. gmike2000, you need to make the distinction between an option on an underlying and the underlying itself. please refer to any textbook on market finance if you are confusedabout this fundamental point. now it is true that there exi...
by unkpath
June 18th, 2008, 12:05 am
Forum: General Forum
Topic: calculating stable vega in LMM
Replies: 3
Views: 53099

calculating stable vega in LMM

check your PM
by unkpath
June 10th, 2008, 1:04 am
Forum: General Forum
Topic: Curves to use when pricing basis swaps
Replies: 2
Views: 53217

Curves to use when pricing basis swaps

<t>hi, once you have the curves, then you should use the 6M Libor curve to imply 6M forwards and the 3M Libor curve to imply 3M forwards. In the absence of a separate discount curve, then use the 3M Libor curve to do your discounting for all cashfows.In the US, that has been the standard up to "now"...
by unkpath
May 23rd, 2008, 11:18 am
Forum: General Forum
Topic: Black-Scholes: What basis used for time to expiration?
Replies: 14
Views: 57461

Black-Scholes: What basis used for time to expiration?

this question and thread are irrelevant. the only thing that counts is that we all agree on the standard deviation or variance from the date the deal is struck to the date the option expires. so, yes it absolutely depends on the time basis that was used to compute the volatility.
by unkpath
May 23rd, 2008, 1:03 am
Forum: Book And Research Paper Forum
Topic: The Swaps & Financial Derivatives Library: Products, Pricing, Applications and Risk Management, 3rd Edition Revised
Replies: 2
Views: 54495

The Swaps & Financial Derivatives Library: Products, Pricing, Applications and Risk Management, 3rd Edition Revised

<t>QuoteOriginally posted by: JThe Swaps & Financial Derivatives Library: Products, Pricing, Applications and Risk Management, 3rd Edition Revised by Satyajit DasHow is it?Does it come with CD-ROM?nope, I don't think there is a CD ROM in that series. it seems kind of OK. I am not sure who would ...
by unkpath
May 22nd, 2008, 1:35 am
Forum: Book And Research Paper Forum
Topic: C++ for Mathematicians: An Introduction for Students and Professionals (Paperback) by Edward Scheinerman
Replies: 1
Views: 54158

C++ for Mathematicians: An Introduction for Students and Professionals (Paperback) by Edward Scheinerman

<r>QuoteOriginally posted by: JHow is this one?I don't know, I am pretty sure it's not worth it. If you want a really advanced C++, somewhat obsolete now unfortunately, check out this:<AMAZON id="0201533936" url="http://www.amazon.com/Scientific-Engineering-C%2B%2B-Introduction-Techniques/dp/0201533...
by unkpath
April 16th, 2008, 1:36 am
Forum: Programming and Software Forum
Topic: Trouble with Steve Dalton's Excel/C++ Book Example
Replies: 14
Views: 149100

Trouble with Steve Dalton's Excel/C++ Book Example

<t>QuoteOriginally posted by: arthetalish1QuoteI've just started working throught the book (and find it helpful). The example get_system_time_C works fine. Though when I try to modfy the code, I'm having problems getting Excel 2007 to load my .dll?After nearly a day of this tedium, decided XLW is th...
by unkpath
April 4th, 2008, 2:49 am
Forum: Book And Research Paper Forum
Topic: financial modeling - fabozzi series books
Replies: 6
Views: 57215

financial modeling - fabozzi series books

<t>hello, I am more a fixed income guy, but I believe that number 1 is actually really quite good. number two is also quite good. number three, forget it, that's no good. as to the question which one to buy. don't buy any of them. QuoteOriginally posted by: BullBearDoes anyone knows the following bo...
by unkpath
March 31st, 2008, 12:03 am
Forum: General Forum
Topic: Prof. El Karoui says quants not to blame for subprime meltdown
Replies: 85
Views: 69956

Prof. El Karoui says quants not to blame for subprime meltdown

<t>oh yeah? and how does she know this? do you honestly believe that someone who has been working in academia for the last 40 years and teaches a subject with rigorous mathematical foundations that is loosely related to the subject of interest to practitioners of finance, would have any insight as t...
by unkpath
March 5th, 2008, 2:42 am
Forum: Technical Forum
Topic: Mid curve options
Replies: 5
Views: 70467

Mid curve options

<t>1) Midcurve options are serial options according to rebonato's nomenclature. I was never intending to refer to options on serial eurodollar futures. There shouldn't be any confusion though. I apologize for this if there is.But remember eurodollar midcurve options = serial options (in rebonato's s...
by unkpath
March 5th, 2008, 2:08 am
Forum: Technical Forum
Topic: CMS Spread Range Accrual with Payment in fine
Replies: 7
Views: 60220

CMS Spread Range Accrual with Payment in fine

<t>that depends what modeling assumption you make about the underlying(s) your payoff is on. btw, this is always the case for any derivative. people very often ask, "how do you price this?" or "is there an analytic solution?". These questions are meaningless. the question should read: "assuming this...
by unkpath
March 5th, 2008, 1:25 am
Forum: Book And Research Paper Forum
Topic: An article by Jamshidian needed
Replies: 6
Views: 60867

An article by Jamshidian needed

<t>QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: Y0daOk, finally managed to get a hold of the article through an acquaintanceat MIT. It's a nice thing that good libraries exist out there in the world.Yeah, so why don't you use them? Or buy it online.yeah I agree, but at the same tim...
by unkpath
March 4th, 2008, 2:40 am
Forum: Technical Forum
Topic: Mid curve options
Replies: 5
Views: 70467

Mid curve options

<t>hi, exactly it's none of the above. you can look at it this way. the cme introduced these things, sometimes called serial options (as in rebonato) in order to give investors a chance to express views on volatility profile of the underlying. see? before that, there were only full-life options, but...
by unkpath
March 4th, 2008, 2:00 am
Forum: Technical Forum
Topic: CMS Spread Range Accrual with Payment in fine
Replies: 7
Views: 60220

CMS Spread Range Accrual with Payment in fine

<t>MC simulation is best avoided for this kind of payoff. If the option is american/bermudan, then you need a term structure model. it is best to price this in a pde or a tree. if you just want to price the straight payoff, i.e. it is not american/bermudan, then with suitable assumptions on your CMS...
by unkpath
February 29th, 2008, 1:47 am
Forum: General Forum
Topic: CMS Spread Options
Replies: 5
Views: 60530

CMS Spread Options

<t>market standard is to do an integral of the payoff over a bivariate lognormal distribution. other than that you can do anything you like. check out some of the paper available on the web.QuoteOriginally posted by: JakanDoes anybody know what types of models are used in PRACTISE to value and hedge...
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