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by qhedge
May 19th, 2008, 6:35 am
Forum: Student Forum
Topic: Risk-Neutral PD and CDS Spreads
Replies: 1
Views: 55214

Risk-Neutral PD and CDS Spreads

<t>Take your CDS pricing model to iterate for the PD that gives your CDS zero value with the quoted spread (=premium leg equal to the protection leg) at the first term point. Then redo this to bootstrap the PDs for the other term points. Thus you get a term structure of PDs (or ideally hazard rates)...
by qhedge
May 19th, 2008, 6:24 am
Forum: General Forum
Topic: CCDS Contingent CDS
Replies: 2
Views: 59469

CCDS Contingent CDS

Brigo has got a paper on these. Check his website (www.damianobrigo.it).
by qhedge
May 7th, 2008, 7:31 am
Forum: General Forum
Topic: how do quants access university library journals
Replies: 17
Views: 56699

how do quants access university library journals

<t>QuoteOriginally posted by: KackToodlesQuoteOriginally posted by: KDanbribe their former university colleagues still in academia to provide them copies - in exchange for an occasional bottle of expensive red wine? this is really unfair to them because it takes a few minutes of secretarial work to ...
by qhedge
May 6th, 2008, 7:09 am
Forum: General Forum
Topic: how do quants access university library journals
Replies: 17
Views: 56699

how do quants access university library journals

bribe their former university colleagues still in academia to provide them copies - in exchange for an occasional bottle of expensive red wine?
by qhedge
April 9th, 2008, 8:10 am
Forum: General Forum
Topic: CDSwaption on iTraxx
Replies: 0
Views: 56287

CDSwaption on iTraxx

I am looking for an example term-sheet for a CDSwaption on iTraxx. Would anybody be able to PM this?Thanks, Dan
by qhedge
March 11th, 2008, 7:43 am
Forum: General Forum
Topic: Implementing interest rate models - books / papers
Replies: 6
Views: 58915

Implementing interest rate models - books / papers

QuoteOriginally posted by: YuraInterest Rate Models - Theory and Practice: With Smile, Inflation and Credit by Damiano Brigo, Fabio Mercurio This is my favorite book. It's always on the night stand next to my bed.Call it a bible in some respect.
by qhedge
March 11th, 2008, 7:41 am
Forum: General Forum
Topic: Senior Quantitative Analyst Role
Replies: 5
Views: 59341

Senior Quantitative Analyst Role

QuoteOriginally posted by: mjthat's bit unfair -- Fitch hired Brigo recently for a reputedly huge packageI'd presume they got him in to increase their reputation.
by qhedge
February 20th, 2008, 11:57 am
Forum: General Forum
Topic: How to get in touch with a member (pierrelefou)?
Replies: 12
Views: 60033

How to get in touch with a member (pierrelefou)?

Possibly a former SG employee?
by qhedge
February 20th, 2008, 7:48 am
Forum: General Forum
Topic: Compounding swaps
Replies: 1
Views: 61357

Compounding swaps

Calculate appropriate forward rates from an AUD libor/swap curve (assuming your floating leg pays LIBOR) for all your future reset dates. You can then evaluate your payments using these forward rates as projections.
by qhedge
January 24th, 2008, 2:56 pm
Forum: Trading Forum
Topic: Societe Generale
Replies: 15
Views: 64004

Societe Generale

I know .To all those out there pursuing the PRM, better hurry on exam IV, otherwise you'll have some additional material to study.
by qhedge
January 24th, 2008, 9:50 am
Forum: Trading Forum
Topic: Societe Generale
Replies: 15
Views: 64004

Societe Generale

[dbl post]
by qhedge
January 24th, 2008, 9:49 am
Forum: Trading Forum
Topic: Societe Generale
Replies: 15
Views: 64004

Societe Generale

a new one for all these case study collectors.
by qhedge
October 31st, 2007, 10:34 am
Forum: General Forum
Topic: FX forward volatility agreement
Replies: 11
Views: 163790

FX forward volatility agreement

<t>How would you construct a hedge for such a contract. I've been referred to Derman's Variance Swap paper in another thread here, however it seems costly to hedge with a whole option range.I also read about using forward starting ATM straddles (Zhang)?Any insights on how this is done in practice? <...
by qhedge
August 22nd, 2007, 9:59 am
Forum: General Forum
Topic: Market CDS quotes technical question
Replies: 4
Views: 67141

Market CDS quotes technical question

d
by qhedge
July 12th, 2007, 6:15 am
Forum: General Forum
Topic: FVA replication/hedge
Replies: 6
Views: 69672

FVA replication/hedge

Thanks for the link, papercut. Does this reasoning also apply if we trade on future implied volatility instead of realized one?
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