Good suggestion!

The data you need is CDS spread data or CDS options data ?Actually options on CDS are traded at OTC so that they are not easily accessible.

Hello,unfortunately free CDS data are not easily accessible,I have tried hard to search for it but in vain.But I need to know how much data you require. I think I can try to give you some helps.

Hi,does any body has proficiency in weather derivatives ?Can you suggest a reasonable distribution for rainfalls ?

I have never seen journal paper that is within 5 pages......

Hi HPBarone, I can compute the default probabilities very fast,since they are just implied by the quoted CDS spread.I have not finished my thesis yet. I'll be very willing to share you once I finish it.

Hi Oleq.Yes, it is possible to do that in the formula of my model.But I didn't do that since that is not my main point of my thesis.

How about this.Here is my model which calculates default probabilities from CDS spreads.The default probabilities are also affected by recovery rate and interest rate.

<t>ak2000, can you explain explicitly why hedge funds need salespersons, to promote their portfolio? Or to raise money from the wealthy?From my point of view a sales person has a more unlimited career oppurtunities than a trader does in terms of long term prospects because a trader has a great value...

Both the two is true, but i don't know how to give a proof of (2).

Does anybody know why F(Wt/sqrt(T-t)) is a martingale? where F(.) is the standard normal CDF, and T is fixed.

<t>Could somebody help me to give a proof or a hint to the following two questions ?(1) If X(t) is AR(2), i.e, there exist a1, a2 such that X(t) = a1X(t-1) + a2X(t-2) + e(t) (where e(t) ~ N(0,1)),then prove that Y(t) = (X(t), X(t+1)) is Markovian.(2) If B(t) is a Brownian motion, then the process F(...

<t>Could somebody help me to give a proof or a hint to the following two questions ?(1) If X(t) is AR(2), i.e, there exist a1, a2 such that X(t) = a1X(t-1) + a2X(t-2) + e(t) (where e(t) ~ N(0,1)),then prove that Y(t) = (X(t), X(t+1)) is Markovian.(2) If B(t) is a Brownian motion, then the process F(...

<t>Is there anyone willing to suggest a good way to estimate the jump parameters in the Merton jump model ?The parameters include jump rate, jump size mean and jump size volatility.I know there are people using EM to estimate those parameters.Any reply and suggestion about the estimation method are ...

Or does anyone know papers about estimation of jump parameters ?