So, I am accepting the defeat I was totally looking from an academician point of view. I did not check the group of the question. Sorry.. All the best..

Forget about learning C++, enjoy java. Everything related with java is free just like air Of course you should learn it first of all but I think much more better investment than learning C++.

<t> Our learning starts by copying other's sayings without even understanding what they mean as a child Then, we start to judge the meanings but as one of our friend suggest one by one and whenever we come accross with them. One day comes and we are one of those guys who are supposed to know everyth...

Hi all, Can anybody send me the paper of Kiesel, Perraudin and Taylor 2003, named The structure of credit risk: spread volatility and ratingstransitions. I could not find it anywhere. Please send it to h.sak@iku.edu.tr. Thanks in advance.

May I have the paper as well. Please email it to h.sak@iku.edu.tr..All the best

Thanks a lot Heitor for your direction. I love this group not just for technical support but for the generosity of people in sharing their expertise.. All the best..

Thanks pi, I will definitely do it.. All the best..

Thanks Pat, I looked over the paper and seems to be exactly what I am looking for. All the best..

Cuchulainn, I have not used LR for pricing any option which have non-smooth payoff function. So have not faced with the problem you mentioned. All the best..

<t>Hi Muis, As it is explained in Wallner and Wystup, up probability is p(d_) and formulas for u and d is given. So you have everything you need. Starting from a base stock price you can construct a stock price tree. And, finally by just using the probabilities, take the discounted expectation of pa...

Thanks Mutley, for your reply. Indeed, what I want to do is to estimate the term structure of goverment securities. So that I can use these risk neutral rates in pricing and other stuff.. All the best

Hi all! I want to model yield curves. I need an expertise suggestion for papers to read. Thanks in advance..

I have realized how much I am wrong in my view after communicating with Mr. Dockner. This kind of approach can only be applied for options that are only dependent on interest rates... All the best..

<t> I have found a paper which exactly does what I thought. It is "E.J. Dockner and H. Moritsch, 1999. Pricing Constant Maturity Floaters with Embedded Options Using Monte Carlo Simulation". What I will do is; a) starting from first node of HW trinomial tree generate a uniform random variate to deci...

<t> What I am trying to do is to use Monte Carlo simulation on Hull-White tree. That is first of all construct a HW short rate tree based on term structure and yield volatility. Then I want to use Monte Carlo simulation to produce paths for different assets on the HW tree. There maybe some correlati...