pricing

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    Quant Reference for Pricing Models

    I am looking for some reference books for pricing models. Something which technologists and junior quants can use to code pricers in Equity and Fixed Income space. thanks!
  2. D

    Monte Carlo Caps

    Hi there, Would like to know how the time value of a cap is handle in a MC Simul? I have created a Matlab function for this but my simulation seems to match only the fair/instrinsic value of the pay off. Should have something to do with the distribution profile of the simulation. Thanks,
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    CDS credit spread sensitivities

    Hi guys, Thank you for your time: From pag. 27, Table 6: http://www.opengamma.com/sites/default/files/pricing-and-risk-management-credit-default-swaps-opengamma.pdf Why do sensitivities of CDS are slightly negative before the maturity of the CDS? I do not get the intuition: if I am long a 5y...
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