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by Peniel
May 28th, 2007, 8:36 pm
Forum: Student Forum
Topic: Incomplete Data - Vol ATM
Replies: 4
Views: 71267

Incomplete Data - Vol ATM

<t>Hi,I have a problem that I can't figure out.I have a matrix of swaptions' vols ATM (say 1->10/&->10 years) and I want to extrapolate this matrix for longer maturities and tenors (20/30 years...).Would you have any clue for that problem? -> linear/cubic extrapolation?? Is something better?-P- ...
by Peniel
January 16th, 2007, 5:10 pm
Forum: Brainteaser Forum
Topic: Markov property
Replies: 10
Views: 84227

Markov property

Hi iwanttobelieve,Your answer is clear and works, mine was...stupid...one more question: what is tower property ?
by Peniel
January 16th, 2007, 11:33 am
Forum: Brainteaser Forum
Topic: Markov property
Replies: 10
Views: 84227

Markov property

Let Then ...I have the feeling that there is something missing... By symetry do you mean that:Let B=-W then B is a BM and we have: expectation is equal to a similar expection with B instead of W, and then expectation=-expectation=0. ??
by Peniel
January 11th, 2007, 4:26 pm
Forum: Brainteaser Forum
Topic: 2x2 matrix
Replies: 17
Views: 84461

2x2 matrix

I read you quickly mhughesYou're right : it doesn't necessarily mean AB-BA = 0 but (AB-BA)^2 = 0
by Peniel
January 11th, 2007, 2:56 pm
Forum: Brainteaser Forum
Topic: 2x2 matrix
Replies: 17
Views: 84461

2x2 matrix

I don't think I'm wrong.... The matrix IS diagonalisable (in C if you want) because l1 and l2 are different (or =0 i.e. AB=BA).I think it is what you write in a different way iwantobelieve.
by Peniel
January 10th, 2007, 3:30 pm
Forum: Brainteaser Forum
Topic: 2x2 matrix
Replies: 17
Views: 84461

2x2 matrix

I think the degree is a good point to choose (idea->writing in base degree).I'm looking for the secon point
by Peniel
January 10th, 2007, 1:31 pm
Forum: Brainteaser Forum
Topic: 2x2 matrix
Replies: 17
Views: 84461

2x2 matrix

I didn't write that M is scalar.M is similar to a diagonal matrix, then M^2 is similar to a scalar matrix which implies that M^2 is scalar.
by Peniel
January 10th, 2007, 12:39 pm
Forum: Brainteaser Forum
Topic: 2x2 matrix
Replies: 17
Views: 84461

2x2 matrix

Let M=AB-BA and l1, l2 the eigen-values of M.Since M is squared matrix of size 2, we have l1+l2=Trace(M)=0 (because Trace(AB)=Trace(BA))Then l1=-l2.Then M^2 is a scalar matrix with lambda=l1^2=l2^2.Right ? Smart ?
by Peniel
December 20th, 2006, 7:53 am
Forum: Student Forum
Topic: Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
Replies: 4
Views: 84419

Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation

<r>Hi tarunmakhija,Use a numerical integration : Gauss-Hermite with 20 points is suitable.(see-><URL url="http://www.efunda.com/math/num_integration/findgausshermite.cfm"><LINK_TEXT text="http://www.efunda.com/math/num_integrat ... ermite.cfm">http://www.efunda.com/math/num_integration/findgaussherm...
by Peniel
December 8th, 2006, 1:05 pm
Forum: Student Forum
Topic: Proof
Replies: 12
Views: 86572

Proof

...
by Peniel
December 8th, 2006, 1:03 pm
Forum: Student Forum
Topic: Proof
Replies: 12
Views: 86572

Proof

EquationImages/4301_43552_8_12082006.gif[/EIM]right ?
by Peniel
December 7th, 2006, 7:32 pm
Forum: Student Forum
Topic: Proof
Replies: 12
Views: 86572

Proof

Ooops sorryI apologize
by Peniel
December 7th, 2006, 1:53 pm
Forum: Student Forum
Topic: Proof
Replies: 12
Views: 86572

Proof

with N_i standard independant gaussians, etc...
by Peniel
October 19th, 2006, 2:23 pm
Forum: Technical Forum
Topic: looking for paper " I will survive"
Replies: 33
Views: 149244

looking for paper " I will survive"

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