<t>Hello,I am using the book "SABR/LMM" written by Rebonato.The correlation between forward rates : same approach as in a classical LMM model (ok)The correlation between forward rates and volatility : exogenously given by the market data (through the calibration)What about the correlation between th...

It's alright now ! It's computed.But I'd like to know the method that is used in practice (except MC or tree).Thanks

<t>HelloI'm trying to implement a code to price swaptions with cir2++ (for calibrating purpose).I found the g2++ pricing formula " straightforward " but with the Cir2++ I don't know where to start.Which approximative formula should I use ? I found a paper in which they use Gram-Charlier expansion (c...

<r>Hello everyone, A friend of mine is studying the behavior of individual investors in financial decision-making. Could you please answer this form? It?s only made up of closed questions, it won?t take you more than 10 minutes. Do not hesitate to share it in your network.I?m mainly interested in 3 ...