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by perturbed
December 14th, 2004, 3:24 pm
Forum: Technical Forum
Topic: LMM
Replies: 4
Views: 166819

LMM

My favorites:"Interest Rate Models: Theory and Practice" by Brigo and Mercurio"A Practitioner's Guide to Pricing and Hedging Callable Libor Exotics in Forward Libor Models" by Piterbarg
by perturbed
September 22nd, 2004, 7:55 pm
Forum: Student Forum
Topic: ATM caplet vols
Replies: 15
Views: 183413

ATM caplet vols

<t>thanks all for your replies. much appreciated.the reason i asked this question is that i want to calibrate LMM (nothing to take into account smile) to caplets and in the references I've seen (Jaeckel, Brigo & Mercurio) they calibrate to ATM caplets. However, they just list a series of ATM cap...
by perturbed
September 21st, 2004, 9:38 pm
Forum: Student Forum
Topic: ATM caplet vols
Replies: 15
Views: 183413

ATM caplet vols

Are ATM caplet vols quoted in the market? Can they be calculated from ATM cap vols? It's not clear to me how to do bootstrapping to calculate ATM caplet vols given a series of ATM cap vols. Thanks
by perturbed
July 22nd, 2004, 3:17 pm
Forum: Technical Forum
Topic: the use of 2 factor short rate models
Replies: 2
Views: 181492

the use of 2 factor short rate models

What type of instruments are best suited for 2 factor short rate models (two factors in a single currency)? Maybe something like a CMS swaption? Based on the type of instrument, how does one decide if 1 factor is ok or if more are needed? Thanks in advance for any comments or opinions.
by perturbed
June 22nd, 2004, 3:53 pm
Forum: Numerical Methods Forum
Topic: trinomial trees for two factor Hull-White
Replies: 3
Views: 187563

trinomial trees for two factor Hull-White

Val,Thanks for the suggestion, I'll take a look into it. What does ADI stand for?
by perturbed
June 22nd, 2004, 2:51 pm
Forum: Numerical Methods Forum
Topic: trinomial trees for two factor Hull-White
Replies: 3
Views: 187563

trinomial trees for two factor Hull-White

<t>Hello all,I was wondering if people would share their thoughts on implementing trinomial (or binomial) trees for the two factor Hull-White model. In particular, I'd like to know how people deal with negative probabilities. In practice, are people satisified with the simple adjustment method propo...
by perturbed
June 21st, 2004, 3:00 pm
Forum: Technical Forum
Topic: How do I price a cancellable range accrual?
Replies: 34
Views: 212261

How do I price a cancellable range accrual?

Val,Can you provide more info about these papers? title? journal? thanks
by perturbed
May 1st, 2004, 9:37 am
Forum: Technical Forum
Topic: asymptotic analysis to stochastic interest rate models
Replies: 6
Views: 190433

asymptotic analysis to stochastic interest rate models

I'd also like to know more about asymtotic applications. Pat, I PM'd you.