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how about OIS ?

Getting a job in a Canadian bank is doable if you are in Toronto. I guess you and your friends are not in Toronto To the OP: getting a Msc or MBA, then a job in a bank sounds like a realistic plan. But, given the fact that most of the Canadian banks are commercial banks, the chance of getting...

No, it would not work. Yahoo does not provide historical option data. You have 2 solutions: -write a script to collect data from Yahoo or IB every day -buy historical data from someone else

I'm having the same problem. Sent an email to tech support already

Hoadley is inexpensive and has SABR. Fincad has Heston and local vol but expensive. Another alternative is the book "options pricing and volatility in VBA". I believe it has a chapter on Heston Good luck

Hi All, Let's say SPY is at 134 I want to place an order so that when the SPY hits 135, I will sell a put credit spread (Jun 134/135 put) SPY is now at 134 and I don't know what the price of the spread will look like when SPY hits 135. Hence I want to place an order to sell at the BID +...

There are some anomalies in the after hour trading. I can understand why put-call parity is often violated. But last Friday free lunch was way over my head. You're right, I should have taken it :-)

Hi All, Yesterday at 16:07 p.m. (EST) ES Jun traded at 1333.5-1333.75 May13 1345 Put option traded at 6.00-9.75 So I can buy the 1345 Put for 9.75, the UL for 1333.75 and then exercise. The profit will be 1.5 ES point, riskless Am I missing something here ?