Thanks for answers,I have read Bank of Canada Working Paper and use spline to interpolation of zero curve. I try to find aforementioned paper because I'm interested in detail of Merryll Lynch approach.RegardsK.

Hi,Where could I find:Li, DeWetering, Lucas, Brenner and Shapiro (2001): "Merrill Lynch Exponential Spline Model", Merrill Lynch Working Paper ?Best wishesK.

Hi,Where could I find:Li, DeWetering, Lucas, Brenner and Shapiro (2001): "Merrill Lynch Exponential Spline Model", Merrill Lynch Working Paper ?Best wishesK.

Thank you for answer.K.

How does is quoted salary in job proposals ? Does it given usually as net or gross value?!K.

See:staff.polito.it/paolo.brandimarteK.

How does to calculate correctly Forward LIBOR rates from swap rate ?!K.

Mark, Thanks for answer, I'm just reading your "The concepts and practice of MF" .

<t>Do I correctly understand: in LIBOR Market Models we only need LIBOR rate L(t, T(i-1), T(i)) dynamic under different numeraire than P(t, T(i)) for pricing for example swaptions or exotic interest rate derivatives ?! Does exist case when we need such dynamic for pricing caps (caplets) ?!Kiejstutow...

See:1. http://finance.bi.no/~bernt/gcc_prog/ (free)2. C++ Design Patterns and Derivatives Pricing, by Mark Joshi (March 31, 2004)Kiejstutowicz

Apart from Stojanovic book I recommend:William Shaw "Modelling Financial Derivatives with Mathematica" Cambridge University PressKiejstutowicz

<t>Calibration of HW model is described for example in:Hull&White (1996),"Using Hull-White interest rate tree", Journal of Derivatives, Winter.Hull&White (2000)" The general Hull-White model and super calibration", Working Paper, J. L. Rotman School of Management, University of Toronto.Grant...

<r>For Matlab try to see: <URL url="http://www.mathtools.net/MATLAB/Optimization/index.htmlhttp://www.mgmt.purdue.edu/faculty/mcliff/There"><LINK_TEXT text="http://www.mathtools.net/MATLAB/Optimiz ... liff/There">http://www.mathtools.net/MATLAB/Optimization/index.htmlhttp://www.mgmt.purdue.edu/facul...

<r>Andrew Patton has wrote Ph.D. dissertation "Applications of Copula Theory in Financial Econometrics",Department of Economics, University of California, San Diego, and use MatLab. Try to contact with him: <URL url="http://fmg.lse.ac.uk/~patton">http://fmg.lse.ac.uk/~patton</URL> or <URL url="http:...

Maybe you should exchange Excel for MatLab or better C++.Kiejstutowicz