Recent content by gsjayaraman

Hi John, Sorry i did'nt frame the question properly. I figured out how to get the inequality. My question was how did you derive the value of the coefficient of the V x,t term i.e. how did you arrive at this : ((1-2(0.16+0.08\sin (t))\frac{\delta t}{(\delta x)^2})) Cheers. Sankar.

Hi John, It makes sense now but i've been trying to derive the inequality that you came up with to get the criterion but it just does'nt turn up like yours. Can you pls tell me how you derived that inequality?? Cheers. Sankar.

Thanks a bunch. I got exactly the same answer as you did for the given granularity. So in order to check it's convergence i 'll apply the rule you told me. Just curious to know though how did you arrive at that conclusion for ensuring convergence?? Thanks again. Sankar.

Hey guys, I'm trying to solve the below PDE using explicit finite difference method but it just never seems to converge. If i increase the timesteps and/or the spacesteps even by a little amount, the final value increases exponentially. I even tried solving it using separation of variables...

It's actually the one proposed in the paper by Spassimir H. Paskov called "New Methodologies for Valuing Derivatives"

Oops.... did i just have a DOH.... moment??

Thanks a bunch, mate. Now i feel a lot more relieved. I felt like i was shooting in the dark. Cheers. Sankar.

Hi All, I've been asked to value a CMO by this company as part of their interview process which i need to value using Monte Carlo simulation. Here are the terms of it: Mortgage Term : 360 months Monthly Payment: $2000 (P + I) Mortgage holder can prepay a portion of the principal at any time...

Hey Doug, Thanks a lot for the tip. I managed to work it out using binomial trees. CHeers. Sankar.

Hey guys, Having a bit of trouble with this question. Any help appreciated. Your favorite baseball team is playing against your uncle's favorite team in the World Series. At the beginning of each game, you and your uncle bet on the game's outcome. Your uncle, being wealthy and carefree...

Hi All, I'm left a bit baffled after i had a telephonic interview with a major IB in London. It was for a FO position as a quant developer in credit derivatives and i was expected to have knowledge of interest rate derivatives. So the interviewer asks me what an interest rate swap is which i...