See this link.

<t>It is a very interesting observation that your process is generated by an operator related to Heun's equation. This is, however, only one of the two degrees of freedom (the other being ), and I don't understand how the one-dimensional backward Kolmogorov equation associated with can be of relevan...

<t>There is actually a good deal of empirical evidence that Bartlett's delta is appropriate: market vol moves correlate significantly with vol moves consistent with SABR (formula (12) in Bartlett's paper).Additionally, Bartlett proposes a scenario to calculate the option vega in a way that is consis...

QuoteOriginally posted by: CuchulainnI reckon the BCS become a bit easier.BCS works only if the splitting is algebraically plurisubharmonic over Gal(VFu2)...

Do you mean any model or only one of the fancy ones?

QuoteOriginally posted by: DavidJNThe question makes me think of Godels Incompleteness Theorem.I bet the thought is: we will never know the answer to this question...

You got the facts wrong again. Except for Opus Dei. Amen.

newton, for once I agree with you!

Scooter for N

<t>QuoteOriginally posted by: mji did some tests last year on the LS method. I found that it was decent but not great. The price tended to be quite affected by the choice of regression functions. I'd recommend using European swaptions. Also, how good it looks varies a lot with hwo complicated the ma...

<t>How large are your drift adjustments? Under typical market (USD) conditions they don't exceed 40bp. Check whether your implementation of predictor-corrector is not getting in the way (unless you work with lognormal vols, it's not easy to implement). I still suspect that you might have a problem w...

<t>The results should be close, depending on how noisy is your MC engine, how many paths you are using, etc. From what you've said I suspect that you forgot to express the cash flows in the units of the relevant numeraire (even though you may have done the suitable adjustments to the drift terms). A...

energydude, pls send me a pm.

<t>QuoteOriginally posted by: DariuszSo, I would state the opposite - ONLY full yield models as BGM or HJM can correctly price stuff like callable CMS spread options: 'callable' means you have to calibrate to co-terminal swaptions, if you have CMS spread between 10Y and 2Y rates, you must calibrate ...

<t>QuoteOriginally posted by: Dariusz but also a commercial product.The model is not a commercial product. An implementation may be, if stated so.Quote I know one BGM implementation (not mine!) with 70 factors and reasonable time of calculations.A seventy factor term structure model is, of course, a...