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by spv205
August 28th, 2012, 7:04 am
Forum: General Forum
Topic: Bianchetti's Formulas - Are they actually used?
Replies: 17
Views: 14117

Bianchetti's Formulas - Are they actually used?

<t>mathmarc as mtsm saidQuoteIf you were a USD based market maker in USD swaps, EUR swaps, as well as intra-currency basisswaps, this is almost a no-brainer. Just think how are you going to hedge your book? Imagine you have a book with a couple ten-thousand swaps that contain all sorts of light exot...
by spv205
August 27th, 2012, 3:14 pm
Forum: General Forum
Topic: Bianchetti's Formulas - Are they actually used?
Replies: 17
Views: 14117

Bianchetti's Formulas - Are they actually used?

<t>I would disagree with you mathmarc.... cross currency swaps have definitely used multi-curves for a long time... at one bank it was definitely 2002. Prior to that was not "theoretically consistent" but immaterial - libor curve would be built ( so same discounting and projection for intra ccy), th...
by spv205
August 24th, 2012, 1:00 pm
Forum: General Forum
Topic: Using FX heuristics in risk management ?
Replies: 3
Views: 11474

Using FX heuristics in risk management ?

what about sticky strike / delta in equities --- i would say there you have risk management heuristics ( eg you price everything in local vol and then say outside model that smile changes with delta...)
by spv205
August 23rd, 2012, 7:58 am
Forum: Numerical Methods Forum
Topic: Solving Steady State Fokker-Planck Equation in 2D
Replies: 16
Views: 14633

Solving Steady State Fokker-Planck Equation in 2D

sokrates85 I don't get your questionin matlab you certainly can provide statedependent coefficients (see assempde) and I am sure with all other systems too...that is after all the main point of numerical methods to solving pdes.
by spv205
August 22nd, 2012, 2:31 pm
Forum: Careers Forum
Topic: consulting in IBs and Funds
Replies: 15
Views: 13096

consulting in IBs and Funds

<t>frankly there is very little [financially relevant] that academics know more about than practitioners. practitioners are former academics who will typically keep up to date with relevant papers and give internal presentations etc ( it beats coding all day).perhaps stochastic calculus courses (ie ...
by spv205
August 21st, 2012, 8:26 pm
Forum: Careers Forum
Topic: Should i go to UK for a second degree?
Replies: 6
Views: 11859

Should i go to UK for a second degree?

<t>I wouldn't advise it. the IBs are downsizing. that degree will not be worth anything. you have no chance of getting in trading.... you could get in programming potentially...but then you are better off getting 3 years programming work experience in your country....and i doubt that's what you are ...
by spv205
August 21st, 2012, 11:59 am
Forum: Technical Forum
Topic: ZABR
Replies: 18
Views: 19064

ZABR

dup
by spv205
August 21st, 2012, 11:45 am
Forum: Technical Forum
Topic: ZABR
Replies: 18
Views: 19064

ZABR

<t>pcaspers - i agree z is both the volatility and the initial value z(0)! ( since we are looking at t->0 limit)...I think as part of their for the masses approach they decided to use the minimum symbols poss.so I have a different question the pde method apparently gives a model within some local va...
by spv205
August 14th, 2012, 4:41 pm
Forum: General Forum
Topic: Evolution in the expectation for an Ornstein-Uhlenbeck variable
Replies: 4
Views: 11506

Evolution in the expectation for an Ornstein-Uhlenbeck variable

[If I understand what you are after] you just have to apply itos formula to your formula for E[S_T] ( replacing S_0 by S-t etc)and of course its a martingale - you are calculating E[S_T|S_t] no?willsmith is answering a different question
by spv205
August 12th, 2012, 8:25 pm
Forum: Careers Forum
Topic: Head Hunter in Brazil
Replies: 7
Views: 12884

Head Hunter in Brazil

check with nuclearphynance forum
by spv205
August 12th, 2012, 8:23 pm
Forum: Student Forum
Topic: Heston's option price >(=) BS-price
Replies: 17
Views: 11845

Heston's option price >(=) BS-price

the underlying maths is jensen's inequality... ATM options have slightly negative convexity (wrt vol)ITM,OTM options have positive.so in answer to your question... you want to check the convexity wrt the parameter (as alan did for his example)
by spv205
August 9th, 2012, 10:49 pm
Forum: Technical Forum
Topic: Farshid Jamshidian - Interest rate model w/PCA
Replies: 12
Views: 13963

Farshid Jamshidian - Interest rate model w/PCA

<r>derdoktor can you explain what runofthe mill models you are referring to that are more sophisticatedBGM (for derivatives pricing eg bermudan swaptions)<URL url="http://en.wikipedia.org/wiki/LIBOR_market_model">http://en.wikipedia.org/wiki/LIBOR_market_model</URL> is commonly used with PCA to evol...
by spv205
August 9th, 2012, 9:03 am
Forum: Student Forum
Topic: Bates model calibration
Replies: 8
Views: 11450

Bates model calibration

<t>how does the visual fit/mse look like as you change mean reversion... does the calibration therefore make sense (or is there bug)have you read papers on calibrating bates....might be that the mean reversion overlaps too much with another parameter...you should check calibration on "Bates" generat...
by spv205
August 9th, 2012, 8:46 am
Forum: Numerical Methods Forum
Topic: Heston calibration ASA
Replies: 65
Views: 71259

Heston calibration ASA

<t>sounds like a good idea ( eg for getting all vega risk)....i wonder though whether for optimisation you are better off using closed form /asymptotic methods.haven't really thought through the asymptotic approach... I guess what i imagined was using, say LM algorithm with gradient calc'd by asympt...
by spv205
August 6th, 2012, 9:50 am
Forum: Careers Forum
Topic: Switching jobs + recommendation letter
Replies: 8
Views: 11939

Switching jobs + recommendation letter

<t>I really don't see that the recommendation letters will do you any good at all.the hiring person doesn't know those people and cannot be bothered to read them.so don't bother... you will look an idiot if you never manage to leave the company.a personal recommendation is certainly useful when you ...
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