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by StanleyC
February 16th, 2004, 2:50 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is the Black-Scholes equation?
Replies: 22
Views: 209699

What is the Black-Scholes equation?

I think Bjork's book 1998, chapeter 6th give a very good explanation about BS model.
by StanleyC
February 16th, 2004, 2:44 pm
Forum: Student Forum
Topic: Research Area of Interest Rate Models
Replies: 0
Views: 189414

Research Area of Interest Rate Models

Could someone tell me which is the most active research area of IR models?
by StanleyC
February 16th, 2004, 2:25 pm
Forum: Technical Forum
Topic: Interest rate, Term Structure Valuation
Replies: 7
Views: 190680

Interest rate, Term Structure Valuation

Bjork's book 1998
by StanleyC
February 16th, 2004, 2:23 pm
Forum: General Forum
Topic: Interest rate modeling from scratch
Replies: 6
Views: 190773

Interest rate modeling from scratch

I think Tomas Bjork 1998 Arbitrage Theory in Continuous Time is good for beginner.
by StanleyC
February 16th, 2004, 2:06 pm
Forum: Student Forum
Topic: Model Calibration
Replies: 4
Views: 190091

Model Calibration

Great explanation! Thanks!BTW, do you mean the 14 parameters should be calibrated one by one?
by StanleyC
February 16th, 2004, 2:30 am
Forum: Student Forum
Topic: What is calibration ?
Replies: 16
Views: 191642

What is calibration ?

Hi, Doghead:Hull J, (2002) Options, Futures, and Other Derivatives 5th Edition Text Page: 564. There are some clear descriptions about the calibration.
by StanleyC
February 16th, 2004, 2:20 am
Forum: The Quantitative Finance FAQs Project
Topic: What is calibration?
Replies: 12
Views: 205790

What is calibration?

In practice, there are at least two parameters (drift and diffusion term) one have to estimate in order to implement Interest rate models. Could provide some detail instruction about the calibration respectively. Such as, how to estimate the diffusion term and drift term?