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by piterbarg
June 1st, 2015, 6:59 pm
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 150633

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

<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...
by piterbarg
March 29th, 2015, 1:19 pm
Forum: General Forum
Topic: Valuation of optionality in balance guaranteed swaps
Replies: 6
Views: 6119

Valuation of optionality in balance guaranteed swaps

We describe their valuation in our book, section 19.5 onwardsVladimir
by piterbarg
March 3rd, 2015, 12:19 pm
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 150633

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

Hiyes sorry having trouble with the web site provider. I attach the latest report. If you have types to report please pm meMany thanksVladimir
by piterbarg
February 11th, 2015, 12:29 pm
Forum: Book And Research Paper Forum
Topic: Multi-curve setup, IRD pricing, credit/equity hybrid modelling
Replies: 1
Views: 3819

Multi-curve setup, IRD pricing, credit/equity hybrid modelling

The three tomes by Andersen-Piterbarg are still highly recommended!Vladimir
by piterbarg
December 1st, 2014, 10:28 am
Forum: Book And Research Paper Forum
Topic: New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug
Replies: 211
Views: 163272

New 2nd Edition - The Complete Guide to Option Pricing Formulas + CD-ROM by Espen Gaarder Haug

<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...
by piterbarg
December 1st, 2014, 9:24 am
Forum: Technical Forum
Topic: Copula implied by overlapping returns
Replies: 7
Views: 4507

Copula implied by overlapping returns

<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...
by piterbarg
November 25th, 2014, 7:20 am
Forum: Technical Forum
Topic: Stochastic process with ACF [$]\exp(-s^2)[$]
Replies: 2
Views: 3801

Stochastic process with ACF [$]\exp(-s^2)[$]

<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...
by piterbarg
October 3rd, 2014, 3:50 pm
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 150633

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

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
by piterbarg
September 17th, 2014, 10:53 am
Forum: Book And Research Paper Forum
Topic: Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg
Replies: 244
Views: 150633

Book on Interest Rate Modelling by Leif Andersen and Vladimir Piterbarg

I think you are right and we meant caplet volatilities not cap volatilities herethank youVladimir
by piterbarg
May 19th, 2014, 7:20 pm
Forum: Book And Research Paper Forum
Topic: Rebonnato's Book
Replies: 6
Views: 5597

Rebonnato's Book

I sent you a PMVladimir
by piterbarg
May 19th, 2014, 2:42 pm
Forum: Book And Research Paper Forum
Topic: Rebonnato's Book
Replies: 6
Views: 5597

Rebonnato's Book

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
by piterbarg
May 8th, 2014, 1:50 pm
Forum: General Forum
Topic: Bermudan swaption pricing in one-factor LIBOR market model
Replies: 1
Views: 5045

Bermudan swaption pricing in one-factor LIBOR market model

<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 (...
by piterbarg
February 13th, 2014, 8:10 am
Forum: Book And Research Paper Forum
Topic: Option Valuation under Stochastic Volatility, Lewis
Replies: 91
Views: 212111

Option Valuation under Stochastic Volatility, Lewis

so why are you cutting pages then?
by piterbarg
February 12th, 2014, 11:02 am
Forum: Book And Research Paper Forum
Topic: Option Valuation under Stochastic Volatility, Lewis
Replies: 91
Views: 212111

Option Valuation under Stochastic Volatility, Lewis

are you publishing it yourself?
by piterbarg
February 3rd, 2014, 4:59 pm
Forum: Technical Forum
Topic: question about libor-market-model
Replies: 2
Views: 5843

question about libor-market-model

<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...
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