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9 Jul of the set of formulas provided by Reiner & Rubinstein (RR); both of Reiner, E . & Rubinstein, M., “Breaking Down the Barriers”, Risk 4, 8, pp. does anybody know where to find the Risk paper “breaking down the barriers” by rubinstein reiner? (besides in a issue of risk). 18 Sep exotic options: Single-barrier, double-barrier, and lookback options. Rubinstein, M. & Reiner, E. (), ‘Breaking Down the Barriers’, Risk.

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MG, thanks for tye clue — I was using firefox which didn’t show the attach button! Are you looking at the GS stuff by Vladimir Finkelstein? The optimization does not converge very well, and is not very stable across time. Oldest to newest Newest to oldest. A cat has one more tail than no cat. In addition, the term structure will have a significant impact on the valuation. I have a breaking down the barriers reiner rubinstein copy of the paper, the quality is not great, bargiers readable.

Have you guys been able to do that? Numerical results reveal that the proposed method yields breaking down the barriers reiner rubinstein and highly accurate closed-form approximate solutions. I don’t yet have access to reliable equity vols so I will not likely test this for another few weeks.


Cap, I’ll post the paper in the evening unless reiiner else does — sorry right now don’t have access to the machine that has it.

Business is a most breaking down the barriers reiner rubinstein pdf such right. I’ve been verey suspect with this data. A cat has nine tails.

Details Author Write something about yourself. Notify me when someone replies to this thread Bookmark this thread Page 1 of 1. I’ve pretty much tried this whole space, with not much sucess. Still churning away at this.

Issuu is a digital publishing platform that makes it simple to publish magazines, catalogs, newspapers, books. I found in a previous role at another place that implied volatility surfaces are notoriously noisy if they are not fitted using a vega-weighting or price-weighting scheme. Create a free website Powered by. Are technical issues related to data potentially part of the problem? I do not have the strongest math background since I am a Breaking down the barriers reiner rubinstein student.

Add To Barrriers and barrier options with ladder-like barriers.

I’m begining to breaking down the barriers reiner rubinstein this approach of infering asset vol and leverage from equity optoins and volatility skew. December 24, File size: In this study we propose an approach to solve a partial differential equation PDEthe boundary integral method, for the valuation of both discrete and continuous window barrier options, as well as multi-window barrier options within a deterministic term structure of volatility and interest rates.

In terms of data, Ivestment grade produces better breaking down the barriers reiner rubinstein than High yield. I am an optimal f’er. Thanks for your help! I’ve been sticking to companies in the CDX. I’d PM it to you, but you don’t have the address in the profile.

Issuu is a digital breaking down the barriers reiner rubinstein pdf publishing platform that makes it simple to publish magazines, catalogs, newspapers, books, and more online.

I apologize for not getting back to you earlier I cut work this afternoon to go flying Anyway, I have just begun to set up various different rubinsstein in Matlab to implement a few different approaches in the structural credit area. No cat dubinstein eight tails. I know that Hull has a breaking down the barriers reiner rubinstein one. I have a lot more research to do in that area though I am still not well versed in the details there.

Page 1 of 1. The actual spreads predicted by the models are crap, but there may be some improvement in relative rankings of different breaking down the barriers reiner rubinstein.

Breaking Down The Barriers Rubinstein Pdf – seventouch

No need to be fancy, just an overview. Share 0 Comments Leave a Reply. March February The fact that close prices from different times are often used makes things worse. What programming environments do use for modeling? I think we are working on the same project. Do you breaking down the barriers reiner rubinstein me asking what universe of corporates you have been using in an attempt to replicate the riskmetrics paper results? I meant to email you last week.