<t>No, I did not want to have a closed formula, sorry if I am not clear with my problem. The y to be determined will depend on x and the unknown parameters.... and I don't know how to approach this optimization problem. I would somehow need an expression for y (obviously not analytic) and use it dur...

<t>Thank you so much for your answer. Could you please a little more specific. I really don't know, since the expressions B and A are also depending on my (not yet known) parameters of my 1-factor model, how to start And I cannot really resolve the above sum analytically. Sorry if I'm really a bit s...

<t>Hi all,I've a question about the theorem 4.2.3 in Brigo/Mercurio. They have a semi-analytic expression for the valuation of european swaptions within the one-factor model. It is a very lengthy expression, however, among others there is a paramter y(x) (x is the integration variable in the swaptio...

Hi,thanx a lot, I will have a look into the paper. Thank you very much indeed. I'm happy to hear also other suggestions.Kindest regardsAboodi

<t>Hello dear forum members,due to a program in quantitative finance I have to pick a topic for my master thesis. I wanted to do something with a SABR LMM or stochastic volatility Heston model or the like in the context of the new multicurve world. Can anybody recommend a question that it is worth t...