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July 12th, 2004, 7:46 am
Forum: Technical Forum
Topic: Negative Correlation for CDOs / FTD pricing
Replies: 7
Views: 183333

### Negative Correlation for CDOs / FTD pricing

Hi everybody, I would like to know how do you do, for CDOs / FTD pricing, when an equity correlation is NEGATIVE, because Cholesky decomposition does not work .....How do you adjust this paiwise equity correlation ?Thanks a lot.
July 9th, 2004, 12:13 pm
Forum: Technical Forum
Topic: First To Default of EDS
Replies: 11
Views: 183927

### First To Default of EDS

Thank you very much for these explanations ;Last question : would you say that EDS implied correlation should be equal to CDOs or FTD implied correlation ?Because equity correlation is often higher than default (or spreads) correlation.....
July 9th, 2004, 10:03 am
Forum: Technical Forum
Topic: Exercise Probability from option pricing
Replies: 5
Views: 183678

### Exercise Probability from option pricing

ok thank you, I think it's a question of numeraire....
July 9th, 2004, 9:43 am
Forum: Technical Forum
Topic: Exercise Probability from option pricing
Replies: 5
Views: 183678

### Exercise Probability from option pricing

I want to infer the probability that the option expire in the money....
July 9th, 2004, 8:54 am
Forum: Technical Forum
Topic: Exercise Probability from option pricing
Replies: 5
Views: 183678

### Exercise Probability from option pricing

Hi, does somebody know how to infer exercice probability from black-scholes formula ??Is it N(d1) or N(d2) or something else ?
July 8th, 2004, 2:10 pm
Forum: Technical Forum
Topic: First To Default of EDS
Replies: 11
Views: 183927

### First To Default of EDS

like an equity structured product indexed on a basket ...?
July 8th, 2004, 1:09 pm
Forum: Technical Forum
Topic: First To Default of EDS
Replies: 11
Views: 183927

### First To Default of EDS

Hi, does somebody got an idea of how it would be possible to price a First To Default on 5 Equity Default Swaps ??I guess it's not the same calculation of trigger probability as CDOs, because EDS are OTM puts....Any suggestions ?
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