Ok I see what's wrong. Thanks a lot!

<t>Hello World, I have a driftless log-normal process [$]dS_{t} = \sigma S_{t} dB^{\mathbb{Q}}_{t} [$] . As it is driftless, Hull (Option/Futures/Other Derivatives) explains that in that case, the process behaves as a martingale : [$]\mathbb{E}_{\mathbb{Q}} \left [ S_{T} | \mathcal{F}_{t} \right ] =...

I'm afraid that the vendor will try to sell me that everything can be used with QRM and by posting on this forum, I'm expecting neutral or vendor-free answers

Exactly! The purpose is to choose the best language to implement the model I have now on paper, that will be later integrated into QRM. Thanks for replying

<t>Hello, Question : what is the best language to use for extending the QRM framework with new risk models that the framework is still missing? I've never used QRM software applications in my life, but I'm developing a lot of models in R, C++, SAS ... so knowing that QRM has been widely used for a w...

<t>Thanks Bearish for your reply. Indeed the initial LS computes interest rate options. I should have reformulated my question into : "Which classes of underlying are not compatible with a LSMC approach when it comes to pricing their American Options?" ... if you have information about that it would...

Hello World, Have you ever used the Least-Square Monte-Carlo technique for pricing american-style options on interest rates? If yes : - What where the disadvantages of using such a method?else : - Why it doesn't work?Thanks in advance for your answers

I'd recommend the Hull's book "Risk Management and Financial Institutions" even if it's not a true bible like his first book on derivatives.

<t>If you suppose some candidate distribution for [$]f(x,y) [$] like a normal distribution, you set some initial values for [$]\sigma_{x}, \sigma_{y}, \mu_{x}, \mu_{y}, \rho [$] and "calibrate" these parameters until you find a good matching with your expectation, function of [$]K [$] ... I would tr...

Intuitively, risk free rate with the same maturity (10 y treasury) as every bond within your index should be compared to it in order to get a measure of your default risk. To be confirmed.

<t>Hello guys, Simple question for Friday : the corrolary in Mercurio-Brigo about the fitting of the observed term structure of discount factor, is proven based on the assumption that the for each maturity [$] T \leq T^{*}[$] the discount factor [$] P(0,T) [$] produced by the model G2++ coincides wi...