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by BLOBY
April 1st, 2005, 11:32 am
Forum: Numerical Methods Forum
Topic: C++ source code for generic binomial and trinomial tree based derivative pricing
Replies: 6
Views: 198283

C++ source code for generic binomial and trinomial tree based derivative pricing

Lucetios,I can not download your c++ code ;please could you send me the file to fred.girod@wanadoo.fr ?Thks a lot.
by BLOBY
March 15th, 2005, 2:12 pm
Forum: Technical Forum
Topic: Instruments to calibrate Hull-White to price CMS swaps
Replies: 30
Views: 168668

Instruments to calibrate Hull-White to price CMS swaps

Could you send me a copy of the paper as well ?My email adress is fred.girod@wanadoo.frThks a lot !!
by BLOBY
March 14th, 2005, 8:57 am
Forum: Technical Forum
Topic: Hedging Correlation in CMS Spread Option
Replies: 11
Views: 162842

Hedging Correlation in CMS Spread Option

Thanks a lot Money for your answer.
by BLOBY
March 14th, 2005, 8:52 am
Forum: Technical Forum
Topic: Hedging Correlation in CMS Spread Option
Replies: 11
Views: 162842

Hedging Correlation in CMS Spread Option

Thanks a lot Money for your answer.
by BLOBY
March 11th, 2005, 9:50 am
Forum: Technical Forum
Topic: Hedging Correlation in CMS Spread Option
Replies: 11
Views: 162842

Hedging Correlation in CMS Spread Option

More generaly, my question is related to structured products like 2 assets products, best of, or ratchet on multiple assets : for fixed income products, how do you hedge correlation risk between assets ?
by BLOBY
March 11th, 2005, 9:48 am
Forum: Technical Forum
Topic: Hedging Correlation in CMS Spread Option
Replies: 11
Views: 162842

Hedging Correlation in CMS Spread Option

More generaly, my question is related to structured products like 2 assets products, best of, or ratchet on multiple assets : for fixed income products, how do you hedge correlation risk between assets ?
by BLOBY
March 10th, 2005, 2:48 pm
Forum: Technical Forum
Topic: Hedging Correlation in CMS Spread Option
Replies: 11
Views: 162842

Hedging Correlation in CMS Spread Option

Hello, I would like to know how do you hedge correlation risk (if correlation is bearish) in CMS Spread Option structures ?Thanks a lot for your help.
by BLOBY
February 28th, 2005, 9:10 am
Forum: Technical Forum
Topic: CDOs and Copula Functions
Replies: 99
Views: 222243

CDOs and Copula Functions

Would you please send me also your matlap code? I will be very happy.My email: fred.girod@wanadoo.frThanks a lot
by BLOBY
February 3rd, 2005, 9:52 am
Forum: Technical Forum
Topic: Volatility ATM 10Yrs Cap historic
Replies: 4
Views: 161069

Volatility ATM 10Yrs Cap historic

by BLOBY
February 3rd, 2005, 6:52 am
Forum: Technical Forum
Topic: Volatility ATM 10Yrs Cap historic
Replies: 4
Views: 161069

Volatility ATM 10Yrs Cap historic

Bloom : "EUR" <help> => Currency => CAP Volatility => historic
by BLOBY
February 2nd, 2005, 8:46 am
Forum: Technical Forum
Topic: Callable range accrual
Replies: 21
Views: 167015

Callable range accrual

Hi Pat, I'm sorry but would you mind sending me the paper too? Thks in advance.fred.girod@wanadoo.fr
by BLOBY
August 13th, 2004, 5:24 am
Forum: Technical Forum
Topic: historical correlation vs implied corr for iTRAXX
Replies: 10
Views: 179630

historical correlation vs implied corr for iTRAXX

On how many years did you calculate historical equity correlation ?
by BLOBY
July 15th, 2004, 6:54 am
Forum: Technical Forum
Topic: Negative Correlation for CDOs / FTD pricing
Replies: 7
Views: 183321

Negative Correlation for CDOs / FTD pricing

<t>thanks Herbie, but when I want to price a simple FTD on 5 names, there is by definition 10 pairwise correlations to calculate ; so I take the ten 1y equity correlations, and I can have negative correlations....So how should I adjust these equity correlations in order to fit market implied correla...
by BLOBY
July 12th, 2004, 1:09 pm
Forum: Technical Forum
Topic: First To Default of EDS
Replies: 11
Views: 183906

First To Default of EDS

thank you Herbie, but how would you take in account the skew effect ???
by BLOBY
July 12th, 2004, 11:41 am
Forum: Technical Forum
Topic: Negative Correlation for CDOs / FTD pricing
Replies: 7
Views: 183321

Negative Correlation for CDOs / FTD pricing

Yes, but asset return correlation is often near equity return correlation .... so equity correlation is a good proxy.
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