SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 81 matches

by trc
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...
by trc
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...
by trc
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...
by trc
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...
by trc
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%....
by trc
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...
by trc
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

Yes, there is a pdf version in the download section.The link to downloading is to the left of the big Mozilla icon.
by trc
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...
by trc
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 ...
by trc
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...
by trc
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</...
by trc
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.
by trc
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...
by trc
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.
by trc
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