<t>1. I like the E that changes discretely2. Negative E must be quite common, what is the convention for PE ratios then?3. Modeling E is easy. (Diffusion, jumps, whatever.) Enough data for that. (But don't forget that we can't easily hedge the E risk.) And the model should be more stable than a stoc...

<t>I am told (and I read this in a respectable UK newspaper) that the guy who planted the WTC bomb in '93 was promised1. a place in heaven2. places in heaven for 70 relatives of his choosing3. the services of 72 virgins.I don't remember anything about his portfolio of put options paying off! But wha...

Thanks, H, but how about if we burn all this religious nonsense, stop hijacking planes, and just do some math? P

<t>No one (least of all me) knows what KMV do. And there's bugger all info on their website. But my experience of other black-box concepts tells me that it's probably pretty basic stuff. To be honest, I have more faith in the imagination and technical skills of members of our Forum than I do in mess...

From a modelling point of view it's a great product. It depends on both the market's valuation of something (the P, which could be way off) and something more real and measurable (the E). P

Anyone heard of an option on a PE ratio? My pal Lenny Jordan came up with the concept a short while ago. P

reza, you've made my day!P

"There's nothing new under the sun" they say, but I'd certainly like to see some examples.P

<t>This is what's known as a Parisian option, God knows why though! As C says, it's strongly path dependent. While this doesn't rule out closed-form solution it certainly makes it harder to find. The only published works I know of are1. Chesney et al Risk Magazine 1997 (not sure which issue). That's...

<r>Risk Waters Group's Financial Technology Congress'Windows on the World', 106th Floor, North Tower, World Trade CenterTuesday 11th - Wednesday 12th September 2001 London: 8pm 17th September 2001: The company continues to work tirelessly to establish who was present in 'Windows on the World' at the...

<r>Risk Waters Group's Financial Technology Congress'Windows on the World', 106th Floor, North Tower, World Trade CenterTuesday 11th - Wednesday 12th September 2001 London: Midnight 14th September 2001: As of midnight this evening - some 80 hours after the attack - Risk Waters Group has had no conta...

<r>News Update from Risk Waters Group Thursday evening:RE: Risk Waters Group's Financial Technology Congress 'Windows on the World', 106th Floor, North Tower, World Trade Center Tuesday 11th - Wednesday 12th September 2001London: 8 p.m. 13th September 2001:The company continues to work round the clo...

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<t>In the UK we could expect the authorities to take years to arrest the wrong people and have them imprisoned, then even longer for the innocent to be released. But I accept your point. Catching these people is irrelevant since they are easily replaced and presumably in it for the martyrdom/guarant...

<r>News update from Risk Waters Group Ltd.RE: Risk Waters Group's Financial Technology Congress 'Windows on the World', 106th Floor, North Tower, World Trade Center Tuesday 11th - Wednesday 12th September 2001 London: 13th September 2001: On the morning of Tuesday 11th September UK-based Risk Waters...