hi bluffbody, Could you share me the paper: Closed Form Pricing of FX Options under Stochastic Rates and VolatilityTks

have you got this article and could you share it with me?

<t>Dear Darry,Thanks for the information,but...If i simulate the short rate as you say, how could i ensure the current term structure is reflected in my model?Shoud i include the theta(t) function if i want to keep the term structure?How do you deal with the negative rates generated from the model?K...

<t>QuoteOriginally posted by: DavidJNYour equation is for the present value of the fixed leg of the swap. There are two legs to a vanilla interest rate swap, one fixed and the other floating. The other side, the floating leg, can also be shown to have a present value value of 1, or par.The Net Prese...

<t>Forget about the toolbox, some function in the toolbox are so poorly written that it is so dangerrous to use them directly without checking. These codes in the financial toolbox seems coming out from some engineers with less financial markets knowledge. However, it offers a good reference. As to ...

Dear Keuss,Areyou stilling working on this topic.I am working on my master thesis on the short rate models. As to the black karasinki model, i still did not have clear idea, could you share me your codes or recommends some good paper on it?Thanks Yu

<t>Dear MrIsaksen,Maybe, we could keep in touch because i am also working on these interest rate models!!! QuoteOriginally posted by: MrIsaksenHi!I am sharing my Matlab-implementation of a one-factor Hull-White term structure model. (I also posted it on quantcode, but thought you guys would like to ...

<t>Dear MrIsaksen,Thank you so much for sharing.I found two problems in your code:the first one and the fatal one : in the 'HWmodelMC_short.m' file, in line 149 :echo offfor i=1:nsteps, % Random vector dz (slow, but requires less memory) dz=randn(npaths,1)*sqrt(dt); % 1: Calculate increments dr=(the...

QuoteOriginally posted by: katastrofaI'm sorry, I'm just an idealistic old fart. In my times a PhD stood for something. Sigh.Also, in my heart, A PHD means a lot to me and that is why i would like to apply

<t>QuoteOriginally posted by: iliketopologyQuoteOriginally posted by: cooldonhoI have been offered admission at Swiss Institute of Finance at Zurich. Is it a good place to pursue the degree?If you post this to the career forum, more people might answer.could i ask a stupid question? How could i make...

<t>Similar situation with Seigniorage.So, also post my stituation here. And ask admission possibility directly to phd in mathematical finance, or master in applied mathematics (with full financial support from school)? Hi, All,I would like to apply for phd in mathematical finance.Background :bachelo...

<t>PHD in math finance positions or applied mathematics ? Admission possibility? Any information?Hi, All,I would like to apply for phd in mathematical finance.Background :bachelor in mathemtics, GPA:82.2/100 (one common 211 uni in Beijing, the score is not appealing, did well in mathematical anylysi...

<t>Dear Clopinette,Thanks for your explanation, may i ask you some more questions?Now, i am trying to calculate the exposure of the swaps(many swaps), and i want to price these swaps now and also estimate their potenial exposure(some swaps started several years ago and some are forward swaps). The s...

i think on the mathworks website, a simple example of calibrating the hull white 1 factor model by caps has been given out.