<t>indeed the plans have been afoot for the last couple of years to do the second edition. I have (re)written a fair amount of stuff recently but neither Leif nor I have the capacity now, and in the foreseeable future, to really get going with it. So I would not hold my breath for at least a year, m...

We describe their valuation in our book, section 19.5 onwardsVladimir

Hiyes sorry having trouble with the web site provider. I attach the latest report. If you have types to report please pm meMany thanksVladimir

The three tomes by Andersen-Piterbarg are still highly recommended!Vladimir

<r>Peter Jaeckel has done a lot of work on efficient implied vol calculations. On his site you can find his reference implementationhttp://jaeckel.org/<URL url="http://www.pjaeckel.webspace.virginmedia.com/LetsBeRational.pdfhttp://www.pjaeckel.webspace.virginmedia.com/LetsBeRational.7z"><LINK_TEXT t...

<t>I don't think it is a dumb question. Basically you are saying what is the class of copulas that correspond to (X,Y), where X = Z1+Z2, Y=Z2+Z3, where Z1,Z2,Z3 are independent (these are your daily returns) and possible identically distributednot that I know everything written on copulas but I have...

<t>The process does not have a name but is widely used in some applications eg Oceanography. It is an example of a process whose trajectories are analytic a.s. so a full trajectory can be completely recovered by observations in an arbitrary small time interval. Here is a referenceБеляев Ю. К. Аналит...

one-year coupon as in 20.8. The numbers do look high and I dont quite remember why, but I think it is because the coupons were leveraged, probably with notional of 10 rather than 1. So that, combined with a funding (Libor) leg the value of the deal is approx 0. Vladimir

I think you are right and we meant caplet volatilities not cap volatilities herethank youVladimir

I sent you a PMVladimir

The currently-shipping third printing has all but about 5 reported typos fixed. There has not been any typo reports for the last 6 months. The errata for previous printings is available herehereVladimir

<t>Pricing Bermudans in one factor models is quite common, so I would not say that "it is not desirable". I (highly!) recoomend this book that has a lot of info on calibration strategies for Bermudans.some people use a shortcut and calibrate the model to the inverse diagonal of the swaption matrix (...

so why are you cutting pages then?

are you publishing it yourself?

<t>in b) your exercise decision at T is based on the realized values of future cashflows, i.e. the information that is not available at time T but will be revealed later. That's why the value is different (and wrong). You have to base your exercise decisions at T only on what you will know at T -- w...