So far I know, there is a built-in forecast function available. Just dig through it.

I hope in such a large forum, somebody could give me an idea.

<t>I am getting confused. Is the bond price has to be calculated using the below formula?P(t,T)=A(t,T)*exp(-B(t,T)*r(t) where dr = (theta(t)-a*r)*dt+sig*dW by Monte Carlo.or simply P(0,T) = product( d(0,1)*d(1,2)*...*d(T-1,T)) where d(i,j) = 1/(1+r(i,j)*dt)basically, I can generate the r, but I dont...

I just wanted to know whether my approach is correct? could any one help me?

<t>I generated r according to dr= (theta(t)-a*r)dt+ sig*sqrt(dt)*ZThus r(i,j) is the interest developed according to HW at 'i'th time stepand 'j'th scenario. For discounting, I took discount factor as dt period discount i.e d(i,j) = 1/(1+r(i,j)*dt)Then I averaged it, I am not getting consistant resu...

AndreaClaudia, Could you be little clear. I meant VaR as a risk measure.If quantile is different from VaR, do they relate each other?If so what is the relation?

How is the job market for guys with M.S in financial mathematics like me?I am currently doing my internship related to options pricing. What are the entry level jobs in 'quant area'?I am mainly targeting UK or Europe.

Is "Quantile" same as "Value at Risk" (VaR)? otherwise how are they related?

I am going to complete my masters in financial mathematics by the end of this year.I have completely no idea, how to go about job hunting and preparing for interviewsrelated to quants or fin. analysts. I appreciate if somebody sheds light.

I know how to price a bond using HW Affine Term Structure Model using Formulas. But how do one could use Monte Carlo for the same? Any paper, link or idea is most welcome.I am trying to do it using Excel and VBA.

What is extreme value threory? how is it beneficial in risk management?

Is "Quantile" same as "Value at Risk" (VaR)?

<t>Well So for I understood,In a risk neutral world, solution of Geometric Brownian Motion dXt = r*X*dt+sig*X*dW1t, is Xt = X0*exp((r-sig^2/2)t+sig*W1t) where W1t is a Wiener process. 'r' the short rate follows HW Model, which is described by dr=(theta(t)-ar)*dt+sig_hw*dW2twhere W2t is also a Wiener...

Hello, I am running out of time figuring out the problem. Could anyone help me? Thanks in advance!

Hello Forum! No body has an idea? Come on! Give me some hints.