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by Samsaveel
November 15th, 2009, 5:20 pm
Forum: Student Forum
Topic: margin hedging
Replies: 3
Views: 32759

margin hedging

yes,how do you hedge variational margin for equity futures?
by Samsaveel
November 13th, 2009, 1:08 pm
Forum: General Forum
Topic: closing Price for MtM Purposes.
Replies: 3
Views: 32573

closing Price for MtM Purposes.

Many Thanks ,could you please let me know the factors you refer to?
by Samsaveel
November 11th, 2009, 4:53 pm
Forum: General Forum
Topic: closing Price for MtM Purposes.
Replies: 3
Views: 32573

closing Price for MtM Purposes.

<t>Masters,forgive me for my basic question,wich price do Banks use to mark a cash equity book and a vanilla options book,is it the last closing price of the asset as reported by the Index ,or the last traded price for that asset.also is it possible to have a negative gamma ,does it depend on the po...
by Samsaveel
November 7th, 2009, 11:32 am
Forum: Careers Forum
Topic: Top MFEs in UK ?
Replies: 52
Views: 40099

Top MFEs in UK ?

Masters of the Universe,Any Information on the quality of the mathematics Department and the Msc In Financial Mathematics Program at Heriot Watt university Edinburgh.Thanks for the feed back.Samsaveel.
by Samsaveel
July 28th, 2009, 10:16 am
Forum: General Forum
Topic: Double Barrier
Replies: 2
Views: 36153

Double Barrier

thank you.....
by Samsaveel
July 27th, 2009, 1:27 pm
Forum: General Forum
Topic: Double Barrier
Replies: 2
Views: 36153

Double Barrier

<t>Gentlemen,what is the best way to decompose the following trade for pricing ?underlying:GBP/USDterm of trade:3-Month'sUpper barrier: 1.59lower barrier: 1.43spot:1.511start:11/05/2009end : 13/08/2009notional=1000000;payoff(1)= 0.5% if (rate is grater than upper ,or less than lower)payoff(2) =3.5% ...
by Samsaveel
July 9th, 2009, 4:12 am
Forum: Programming and Software Forum
Topic: VBA Course in London
Replies: 29
Views: 85390

VBA Course in London

Cuchulainn,yes ,it is .
by Samsaveel
July 8th, 2009, 5:52 pm
Forum: Programming and Software Forum
Topic: VBA Course in London
Replies: 29
Views: 85390

VBA Course in London

any courses in Introduction to c++ programming for Financial engineers in London after august?
by Samsaveel
July 7th, 2009, 6:37 am
Forum: Numerical Methods Forum
Topic: Probability Distribution with 4 Parameters?
Replies: 3
Views: 38323

Probability Distribution with 4 Parameters?

<t>you can apply alpha-stable laws to govern the stocahstic dynamics of the creature you want to simulate.there is MatLab code for an author by the name of Nolan search google for alpha stable Laws.fit your location,scale,skew and kurt parameters and playwith the index of stability to fit the dynami...
by Samsaveel
June 26th, 2009, 6:19 am
Forum: Student Forum
Topic: Discount factor curves
Replies: 14
Views: 40002

Discount factor curves

<t>"I didn't find any paper about the adaptation of the interest rate curves to the periodicity of the cash flows"in order to have the curve adapt to the periodicity of the cash flows,you need to construct your curve first,extended the curve beyond the last maturity date of the last swap you use(app...
by Samsaveel
June 25th, 2009, 3:32 pm
Forum: Student Forum
Topic: Discount factor curves
Replies: 14
Views: 40002

Discount factor curves

Hi ,it is a good idea to read a paper on yield curve construction.I suggest using this forum and doing a search on "Yield Curve Construction".the underlying fundamental dynamics of constructing a yield curve and deriving the discount curve follows uniform methadologies.
by Samsaveel
May 29th, 2009, 9:18 am
Forum: Student Forum
Topic: dv = d(lnV) = (- ½ s^2) dt + s dz
Replies: 35
Views: 71360

dv = d(lnV) = (- ½ s^2) dt + s dz

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