Dear Colleagues
>
> I havn't heard anything else about this, so I am sure that I don't
have
> the whole picture. I would be grateful for any corrections,
therefore!
> However, it's worth pointing out that FX options (of the ordinary or
> 'plain vanilla' type) are not at all difficult to calculate and do not
> require any simulation. There are a few more rare FX option types
which
> do require simulation or more complex techniques, but from what I can
> make out from the two posts, it seems they are inventing a new method
to
> do something which was not difficult in the first place! It only
> requires a calculator to price most FX options. Of course, if the
> circuit generates interesting self-similar distributions, that could
> well be of use in FX modelling techniques.
>
> Jessica
>
> ---
> Dr Jessica James
> Vice President
> Head of Research
> Strategic Risk Management Advisory
>
> Bank One
> 1, Triton Square
> London NW! 3FN
>
> Tel +44 (0)20 7903 4220
> Fax +44 (0)20 7309 0413
>
>
>
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