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by BLOBY
July 12th, 2004, 7:46 am
Forum: Technical Forum
Topic: Negative Correlation for CDOs / FTD pricing
Replies: 7
Views: 183298

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.
by BLOBY
July 9th, 2004, 12:13 pm
Forum: Technical Forum
Topic: First To Default of EDS
Replies: 11
Views: 183875

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.....
by BLOBY
July 9th, 2004, 10:03 am
Forum: Technical Forum
Topic: Exercise Probability from option pricing
Replies: 5
Views: 183651

Exercise Probability from option pricing

ok thank you, I think it's a question of numeraire....
by BLOBY
July 9th, 2004, 9:43 am
Forum: Technical Forum
Topic: Exercise Probability from option pricing
Replies: 5
Views: 183651

Exercise Probability from option pricing

I want to infer the probability that the option expire in the money....
by BLOBY
July 9th, 2004, 8:54 am
Forum: Technical Forum
Topic: Exercise Probability from option pricing
Replies: 5
Views: 183651

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 ?
by BLOBY
July 8th, 2004, 2:10 pm
Forum: Technical Forum
Topic: First To Default of EDS
Replies: 11
Views: 183875

First To Default of EDS

like an equity structured product indexed on a basket ...?
by BLOBY
July 8th, 2004, 1:09 pm
Forum: Technical Forum
Topic: First To Default of EDS
Replies: 11
Views: 183875

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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