Recent content by Gabe

Sabr

Trying to create an excel SS that will run the SABR volatility formula. However i can`t seem to get it to work. i think i`m 95% there i just can`t find the error in my formula. Anyone who has done this or is just a wiz on excel, i would much appreciate your help. The formula is correct it`s...

Trying to create an excel SS that will run tje SABR volatility formula. However i can`t seem to get it to work. i think i`m 95% there i just can`t find the error in my formula. Anyone who has done this or is just a wiz on excel, i would much appreciate your help. The foormula is correct it`s...

Skew Thanks guys, i`ll get a look at those websites now grant, cheers. Rob, good advice i`m going to start having a look for what software is out there. It`s just that up to know i`ve produced all my own pricing models which allows me to manipulate and "re-jig" because i know how they work so...

Fixed or Floating Skew. I need some advice. I`m setting myself up to trade Eurostoxx options. Having difficulty getting a working and practical skew. Any advice or pointers. Looking at using a cubic spline function and thus restricing myself to a fixed skew scenario. If anyone has quick...