<t>Hi,I am trying to price options on global bond index. Problems are how to model this and what's the vol to use considering there is no option on this index.I create a synthetic bond and I am using a HW model to diffuse this one.Is a HW model is good enough to price these options (vanilla and ligh...

<t>I am 35. After a few years working as IR quant on the validation desk of a 2nd Tier bank, I had the opportunity to move to an Exotic EQD trading position.I am now considering to opportunity to move to the EQD flow desk (w/o franchise).I hesitate between pursuing my path in the exotic deriv or to ...

<t>Thank you for the reference of for the comments. I will give a look at the Hunt and Kennedy chapter.I would like to highligth the advantages of the LGM model wrt to the HW model. What are the advantages and the drawbacks?Secondly, I am interested by using this model (with 2 factors) to price berm...

<t>Hi All,This subject was probably already treated in previous posts but I didn't find any post.I am interested by the LGM models (1 upto 3 factors). Does anybody have some experience with these models? Apart the Hagan paper, I did'nt find any documentation about the implementation and calibration ...

<t>Hello Kooka,A model can be used in two situations: risk management and trading purposes. Regarding the RM purpose, I think that the HW1F is sufficient to evaluate the bermudan swaption.For a trading purpose, you need to estimate the risk. Therefore a more complex model would be used. I think to t...

Here you are...http://www.google.be/search?hl=fr&q=pow ... ives&meta=

I know the vanna and volga greeks, but what are the rega and the sega? Are you talking about the swaption market?

<t>It doesn't look very difficult.If you are long swap 20y and short swap 10y, you can summarize your position as- swap fwd 10y10y [CMS versus E3M + spread(swap20y)]- a string of cash-flows equal to [spread(swap20y) - spread(swap10y)].You then re-balance the NPV of of the 10y running [spread(swap20y...

Vlad,I meet some difficulties to transform the boundaries condition on the rate, to conditions on the x and y parameters.Can you help me? or do you have some reference to suggest regarding this question?Thanks in advance

Many thanks for the reference.Do you have some personnal experience regarding the implementation of the model in PDE?

<t>Hi,I am very interested by the HJM model in Cheyette style, because its low dimension and its HJM properties.I would like to implement such model in order to price multi-callable products.Does anybody have some experience regarding the implementation and the calibration of the Cheyette model? Any...

Thanks Mutley.I am sceptic with the outputs of the calibration as I don't know how to interpret the parameters. I am going to analyze more deeply the problem.Sorry but I do not have a closed-form formula for the swaption.NY.

<t>Hi there,I am looking for the following paper “Spline Trees: Binomial Lattices for Multi-Factor Processes”, December 2003 by Staley, Mark, Wicentowich, Cameron. It is referenced in a post and on Google but the links do not work anymore.Can anybody help me?Does anybody have some references about t...

<t>HI everybody, In order to evaluate structures on CMS spread, we implemented the HW2F model (see Hull 5th edition page 571) calibrated on the underlying swaptions. The calibration parameters I get, are very high: I would expect a 1st mean-rev around 3% and a second one around 70% but we get a vola...

You are right, I need "sigma_2 * (T1 - T0)" when the market gives me "sigma_2 * (T2 - T0)"What if I consider the Rebonato formula sigma_bs = sigma * (T2 - T0)? Supposing that sigma is constant and that (T2 - T1) = (T1 - T0), I could compute sigma * (T1 - T0) = (sigma_bs / 2), isn't it?