SERVING THE QUANTITATIVE FINANCE COMMUNITY

## Search found 81 matches

June 13th, 2003, 11:57 pm
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

<t>Folks,I have just uploaded my free book "Monte Carlo Simuylation with Java and C++" on my websitehttp://martingale.berlios.de/Martingale.html (follow the links to Download, the files are MCBook.pdf.gz, MCBook.ps.gz).I have written up a possible approach to tree modelling of the Libor market model...
June 13th, 2003, 11:52 pm
Forum: Book And Research Paper Forum
Topic: Free book
Replies: 14
Views: 196265

### Free book

<r>Folks,I have a free book on my website entitled "Monte Carlo Simulation with Java and C++".It is the file "MCBook.pdf.gz" or "MCBook.ps.gz" in the downolad section.Just follow the links from <URL url="http://martingale.berlios.de/Martingale.html.Please">http://martingale.berlios.de/Martingale.htm...
June 5th, 2003, 11:30 am
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

<t>TREES:In the driftless model it is extremely easy to implement a recombining tree for the model.To do this we have to drop the number of factors.Suppose we decide that 4 factors are good enough.This means that four of the state variables determine all the others as deterministic functions of thes...
May 30th, 2003, 9:45 am
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

<t>I used a correlation similar to what a paper by Shoenmakers and Coffee suggested.I also have an implementation of the correlation structure from PJ's book.I'll try it with that one and see what happens. It'll take a couple of minutes.I suspect that there should nearly always be problems but I wil...
May 30th, 2003, 9:38 am
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

<t>If you have some time please compute a caplet price by Monte Carloin the terminal martingale measure and compare this with the analytic price.Use n=80 periods (Libors) and with n=80 time steps of size dt=0.25.Choose the caplet on the interval [T_i,T_{i+1}] with i=n/3 and caplet vols of about 33%....
May 30th, 2003, 8:15 am
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

<t>MJ,I am simulating in the terminal martingale measure.There is always the possibility that my implementation is not correct.I am coding all this now in C++ and will make the code freely availableas soon as it is in a nice form.Regarding your paper: how do I get the Wilmott magazine?Do I have to b...
May 30th, 2003, 7:52 am
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

May 30th, 2003, 7:21 am
Forum: Technical Forum
Topic: Closed-form formula for the swaption price.
Replies: 31
Views: 191439

### Closed-form formula for the swaption price.

<r>The link:<URL url="http://martingale.berlios.de/Martingale.htmlshould">http://martingale.berlios.de/Martingale.htmlshould</URL> get you to a page with a large Mozilla icon. Click on "Download" to the left which should take you tothe ftp server, you would see several files "martingale-date" and so...
May 30th, 2003, 2:10 am
Forum: Technical Forum
Topic: Bermudan swaption replicated with european swaptions
Replies: 15
Views: 195990

### Bermudan swaption replicated with european swaptions

<r>I am speaking purely theoretically.I have an implementation of a Libor market model and two exercise strategies for Bermudan swaptions.The payoff of these strategies is a lower bound for the price of the Bermudan swaption.One of the strategies is due to PJ and was shown to be close to optimal by ...
May 29th, 2003, 10:38 pm
Forum: Technical Forum
Topic: Closed-form formula for the swaption price.
Replies: 31
Views: 191439

### Closed-form formula for the swaption price.

<r>Greetings,Please obtain the file FastLibors.pdf from the download link on my website <URL url="http://martingale.berlios.de/Martingale.html.It">http://martingale.berlios.de/Martingale.html.It</URL> describes a Libor model without drift term. It also obtains approximate analytic formulas for swapt...
May 29th, 2003, 10:32 pm
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

<r>Folks,I am the only one left on the continent who works tirelessly for the continued happiness of the Anglosphere.Please obtain the file FastLibors.pdf from the download link on my website <URL url="http://martingale.berlios.de/Martingale.html.It">http://martingale.berlios.de/Martingale.html.It</...
May 28th, 2003, 2:16 pm
Forum: Technical Forum
Topic: Bermudan swaption replicated with european swaptions
Replies: 15
Views: 195990

### Bermudan swaption replicated with european swaptions

No - and the difference can be substantial (on the order of 40%) for long dated swaps.
May 12th, 2003, 7:25 pm
Forum: Technical Forum
Topic: Implementation of BGM/Libor market model
Replies: 21
Views: 194865

### Implementation of BGM/Libor market model

<t>Libor modellers,As we all know the drift term in the dynamics of forward Libors is the bane of our happiness for a variety of reasons:1. It is state dependent leading to a process with unknown distribution even if Libor volatilities are deterministic.2. It necessitates approximation in the simula...
May 7th, 2003, 7:00 pm
Forum: Technical Forum
Topic: LIBOR MM with Jumps
Replies: 4
Views: 189610

### LIBOR MM with Jumps

Has anyone seen the paper by Jamshidian"Libor market model with semimartingales"?All references to this paper which I found state that it is in the Handbook of Mathematical Finance,Option Pricing, Interest Rates and Risk Management, 2001, ISBN 0521792371.I checked a copy and it is not in it.
March 19th, 2003, 7:14 am
Forum: Programming and Software Forum
Topic: C & C++
Replies: 57
Views: 193302

### C & C++

<t>Java is matter of fact delivery of functionality.Java books are paperback with ears and stains, something you might want to buy used.They reside where needed, possibly on the floor.C++ on the other hand is a temple.C++ books are hardback. They don't have any ears or stains.You don't buy these use...

GZIP: On