numerical integration...not so good and fast and accurate...ok, thanks!

<r>I have a question about this paper <URL url="http://www.rotman.utoronto.ca/~hull/downloadablepublications/HullWhiteCDOPaper.pdfIn"><LINK_TEXT text="http://www.rotman.utoronto.ca/~hull/dow ... aper.pdfIn">http://www.rotman.utoronto.ca/~hull/downloadablepublications/HullWhiteCDOPaper.pdfIn</LINK_TE...

http://www.math.ust.hk/~maykwok/courses ... ndbook.pdf

<t>I am in a need of model that relates leverage (debt/equity) and volatility of hazard rate (CDS spreads).I do not exited about standard Merton model (or Gredit Grades) since non of them produce realistic term structure of spreads.I'd preffer bootstrapping hazard rates from CDS market and after tha...

Google on the Newey-West estimator for covariance.I believe, that's what shoud be used for the estimatior of covariance (matrix) when you have overlapping data.

QuoteI believe it is less obvious that two GBMs on S > 0, but with differing volatilities, are not equivalent. Could you please elaborate on this?

Did you roll the window for weekly correlations?If so, did you use Newey-West estimator for covariance?

<t>QuoteOriginally posted by: badjriouHI ,i need to price a compound option : max( f(ST)-K, ST) with f(ST) = a* (put (ST) - call (ST))Do you have any idea ? except a tree I don't see anything. Regards.Geske considered option on option in Geske,R: "The valuation of compound option", Journal of Financ...

<r>QuoteOriginally posted by: MiesjeDo you have a reference to work by Trigeorgis on convergence of binomial tree models? Some titles maybe? Then I can possibly look it up. I'd be interested. I'm working on some related convergence problem.Trigeorgis L.(1991), "A log-transformed binomial numerical a...

<t>QuoteOriginally posted by: amletoSorry for asking such a naive question.I am reading Hull; in section 1 of chapter 15, he explains in detail the binomial tree model as developed by Cox, Ross and Rubinstein.Basically, in a time step, the stock can move up from S to Su>S with probabilty p, or down ...

QuoteOriginally posted by: quantieIts actually from 1871 and I was wrong it is not daily You have monthly at best hereThanks, it's a good start for me!

<r>QuoteOriginally posted by: quantieI saw the S&P timeseries from 1890 somewhere on Bob Shiller's page.I am looking at that page right now and I cannot find a thing...QuoteOriginally posted by: enginkurutry <URL url="http://www.cboe.comLearning">www.cboe.comLearning</URL> center -> Resource Cen...

<t>QuoteOriginally posted by: apinenot sure the s&p was around that long, but you could contact s&p. "The S&P 500 index was created in 1957, although it has been extrapolated backwards to several decades earlier for performance comparison purposes" I hoped to find some data that I don't ...

Where can I find historical data for S&P 500 and 3-month LIBOR (or other money market rate for $US) from 1900 to 2000? I am interested in monthly, weekly and, if possible, daily data. Thanks.

<t>QuoteOriginally posted by: pusherHi,I'm a bit confused about the Ito's lemma...What would a partial derivative of one stochastic variable wrt a non-stochastic variable (like time) do? I mean, why how do people do it normally for f(t,B_t)?For example which is right? --- pd of S wrt t... {where S =...