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by Pouillot
March 3rd, 2005, 11:54 am
Forum: Technical Forum
Topic: Bermudan swaption longstaff-schwartz
Replies: 8
Views: 192029

Bermudan swaption longstaff-schwartz

<t>QuoteOriginally posted by: elanThe LS pricing of Bermudan options is actually very good. Have not noticed any of these phenomena. I don't recommend using European swaptions. There is only one choice of regression functions that makes sense. Using the spot measure is convenient.Sorry Elan, could y...
by Pouillot
March 2nd, 2005, 7:47 pm
Forum: Technical Forum
Topic: Bermudan swaption longstaff-schwartz
Replies: 8
Views: 192029

Bermudan swaption longstaff-schwartz

<t>I have to price Bermudan Swaptions in the LM Model using MC (by Longstaff-Schwartz or Andersen) .When simulating the LM model, i can choose to simulate it under the spot measure or the terminal measure .What i'd like to known is : Is one choice of measure is preferable compared to the other &...
by Pouillot
February 22nd, 2005, 12:29 am
Forum: General Forum
Topic: Tsioveriotis & Fernandes Convertible bond model....help!
Replies: 25
Views: 202591

Tsioveriotis & Fernandes Convertible bond model....help!

<t>Could someone give me a link with the tiveriotis-fernandes paper (can't find on the net, suppose it's because it comes from journal of fixed income) . I 'm aware of the other new model(Ayache,...) but i would need the TF paper historical backround on the subject .Thanks in advance to the good men...
by Pouillot
April 15th, 2003, 9:36 am
Forum: Technical Forum
Topic: Finance and Complex Adaptive Systems
Replies: 50
Views: 192348

Finance and Complex Adaptive Systems

<t>Thank you Omar for your two contributions to this thread . I'm relieved to hear at last something that make sense . I'd like to say there's no point doing beautiful maths just for the beauty of it in a finance framework . But there's a point doing beautiful maths just for beautiful maths in a MAT...
by Pouillot
March 27th, 2003, 1:43 pm
Forum: Technical Forum
Topic: american option: optimal exercise frontier
Replies: 4
Views: 190339

american option: optimal exercise frontier

In terms of Monte Carlo for American Options, Longstaff-Schwartz method is really standard , it's simple and robust (and a little bit computing intensive u're right , but that's Monte Carlo) . And the exercise frontier you will get with it is pretty smooth .
by Pouillot
March 7th, 2003, 9:42 am
Forum: Technical Forum
Topic: Arbitrage between equity and credit derivatives
Replies: 107
Views: 199780

Arbitrage between equity and credit derivatives

<t>1)If i shock the stock price 1% , it will have an effect on the asset vol (Asset/Stock relation in structural model) , so i 'm not sure of what you mean by "with constant asset vol" .2)If i do what you say : Shock on stock and then take the ratio (%change on spread/% shock stock) ; what is the me...
by Pouillot
March 5th, 2003, 7:45 am
Forum: Technical Forum
Topic: Arbitrage between equity and credit derivatives
Replies: 107
Views: 199780

Arbitrage between equity and credit derivatives

I don't really see the best way to compute the delta in the credit grades model . Could someone give me any information about it .
by Pouillot
February 28th, 2003, 4:20 pm
Forum: Technical Forum
Topic: Merton Model (74)
Replies: 57
Views: 194098

Merton Model (74)

<t>Why isn't it good to use CreditGrades for converts . Perhaps it's not good for anything but why converts especially ? CreditGrades , like structural model do no make any assumptions of the underlying bond of the CDS ( i mean no specification of the bond is taken into account ) , so why not good f...
by Pouillot
February 27th, 2003, 1:29 pm
Forum: Programming and Software Forum
Topic: VBA Random number generation
Replies: 12
Views: 191169

VBA Random number generation

<t>Wanna use Monte Carlo in VB, so Starting from the basic stuff :I have a certain number of U[0,1] obtained by using Rnd() functions.Then box Muller method to generate N(0,1) (standard normal distrribution) If i calculate the empirical mean of these simulated variable , i should fin 0 (large number...
by Pouillot
February 25th, 2003, 1:28 pm
Forum: Technical Forum
Topic: calculating default probabilities
Replies: 25
Views: 191142

calculating default probabilities

Nassim Taleb, what a piece of shit gourou
by Pouillot
February 25th, 2003, 11:18 am
Forum: Technical Forum
Topic: calculating default probabilities
Replies: 25
Views: 191142

calculating default probabilities

Nassim Taleb, what a piece of shit gourou
by Pouillot
February 24th, 2003, 4:34 pm
Forum: Technical Forum
Topic: Markovian models
Replies: 4
Views: 189773

Markovian models

<t>Well, for swaptions in the BGM framework, there is some pretty good approximation available, you can find one in the original paper of Brace-Gatarek-Musiela, and there is also an approximation in a Jamshidian's paper i think . For american style option ( bermuda swaptions ), the dimension of the ...
by Pouillot
February 21st, 2003, 7:19 am
Forum: Technical Forum
Topic: calculating default probabilities
Replies: 25
Views: 191142

calculating default probabilities

When you value a CDS using a continuously coumpounded spread, how do you convert it to the market's convention : a annual spread (paid quarterly) ?
by Pouillot
February 20th, 2003, 9:46 am
Forum: Technical Forum
Topic: Merton versus Intensity
Replies: 21
Views: 190591

Merton versus Intensity

Hello?Is there somebody?
by Pouillot
February 19th, 2003, 4:12 pm
Forum: Technical Forum
Topic: Merton versus Intensity
Replies: 21
Views: 190591

Merton versus Intensity

If i have a continuously coumpounded spread cs, how to i convert it to the market's convention spread CS (a annualized spread payed quarterly) ?
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