I would love to get a copy also!! Please send it to agenaro@ime.usp.brThanks in advance.

QuoteOriginally posted by: mossinAnyone that can help me????Did u get implement it ? If so, could you send it to me?TnxAlan

<r>QuoteOriginally posted by: cedrik3Beru,I can help you with the MATLAB coding, as my final thesis is related to Credit Derivatives coded in Matlab.send me the paper at <EMAIL email="e013010@escp-eap.net">e013010@escp-eap.net</EMAIL> if u r still interestedDear Colleague, Scanning on Wilmott forum ...

Dear Colleague,I read at Wilmott Forum that your task of calibrating a HW model with time dependent parameters was successfully reached. Could you kindly send your spreadsheet to me?Thanks in advance

As I told you, CIR Models doesnt match empirical Spot Rate Curve

If I got your point, I don´t have a good news to you. CIR models are not able to match empirical Term Structure. To do that you need use HJM framework, try for instance, HO & Lee or Hull & WHite

<t>Alan,Thank you for your valuable suggestions. By the way, some months ago, when I was a graduate student, you kindly sent a Xerox form a book of yours. This one helped me to finish a chapter, once again, many thanks. Besides have been studying swap volatility I wrote a paper based on my master th...

Let me organize my ideas,If my aim is calculate the fixed leg of volatility swap I have to compute two quantities1)Numerically integrate the expression (I), 2)Divide the above result by for sqrt(T) Am I right?

<t>Exactly I solved numerically expression (I) to get swaps rate belowUsing my matlab code and BCC parameters I got the following values. Just to remember that T is measured in year, so T =1 implies swap maturity time occurs after 1 yearT = 1 Swap Rate = 0.18324473019382T= 10 Swap Rate = 0.677525513...

<t>Alan,I read your reply again, but I am not able to answer your question. To me, as T became larger the fixed leg should converge to 0.04 (the long run variance).Using Numerical integration to calculate the expression (I) at pdf file I got the “exact” value to fixed leg and the constant C doesn’t ...

<t>Alan,Now It´s ok. I got itStraight to your point, I used the a analitical expression to represent the fixed leg of a volatility swap as contained at attached file (sorry I dont Know use Latex editor)RegarsQuoteOriginally posted by: alandgdAlan,Sorry, I didn’t understand your question, the express...

<t>Alan,Now It´s ok. I got itStraight to your point, I used the a analitical expression to represent the fixed leg of a volatility swap as contained at attached file (sorry I dont Know use Latex editor)RegarsQuoteOriginally posted by: alandgdAlan,Sorry, I didn’t understand your question, the express...

Alan,Sorry, I didn’t understand your question, the expression is unformatted and I am not able to read it. Could you type it again?REgards,Alan

<t>Dear Colleagues I am trying to calculate the fixed leg of volatility swap using Laplace transform of total variance of the Heston Model, see Valuation of Volatility Derivatives, available at Valuation of Volatility Derivatives,.Unfortunately when a use longer maturity times ( more than 1 y) my ca...

<t>QuoteOriginally posted by: schawla2Thanks, that does answer my question - the answer is no. I did find out that the ones traded on the IPE *are* marked to market in the futures sense.I will divide my answer in two parts. The first one, regarding aspect of pricing of a new product and another comm...