SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ntruwant
June 9th, 2010, 7:21 am
Forum: Student Forum
Topic: calibration of LMM on current caps: simulated yield curves too high
Replies: 2
Views: 26918

calibration of LMM on current caps: simulated yield curves too high

<t>Hi,calibrating a LMM on caps (caplet) with underlying volatilities of 50% results in simulated yield curves attaigning levels of 30% interest rates, which is not realistic.Are there techniques to deduce more realistic underlying volatilities from the caps/caplets, that result in less extreme simu...
by ntruwant
May 9th, 2010, 4:35 pm
Forum: Student Forum
Topic: Source for Cap volatilities
Replies: 3
Views: 28932

Source for Cap volatilities

thanks a lot!!
by ntruwant
May 7th, 2010, 1:53 pm
Forum: Student Forum
Topic: Source for Cap volatilities
Replies: 3
Views: 28932

Source for Cap volatilities

I have found cap volatilities on BloomBerg page TTKL, but there are only very few prices available for long maturities.Does anyone know of other Bloomberg pages or other sources for cap volatilities?
by ntruwant
April 22nd, 2010, 10:49 am
Forum: Student Forum
Topic: transition risk neutral world to real world in LMM
Replies: 3
Views: 28674

transition risk neutral world to real world in LMM

thanks mj!But in an Asset&Liability Model (ALM) I need both: isn't there a way to switch between the two worlds with a market price of risk or something else?
by ntruwant
April 21st, 2010, 12:41 pm
Forum: Student Forum
Topic: transition risk neutral world to real world in LMM
Replies: 3
Views: 28674

transition risk neutral world to real world in LMM

HiIs there a good reference or can anyone comment on the transition from the risk neutral world to the real world in a standard Libor Market Model ?
by ntruwant
April 20th, 2010, 10:18 am
Forum: Book And Research Paper Forum
Topic: New Book - Fourier Transform Methods in Finance
Replies: 4
Views: 40608

New Book - Fourier Transform Methods in Finance

hasn't anyone read this book?
by ntruwant
March 29th, 2010, 10:02 am
Forum: Book And Research Paper Forum
Topic: New Book - Fourier Transform Methods in Finance
Replies: 4
Views: 40608

New Book - Fourier Transform Methods in Finance

content looks really promising:- is it?- does it also contain the computer code?
by ntruwant
March 11th, 2010, 8:22 pm
Forum: Student Forum
Topic: How do I know that my Heston implementation is ok?
Replies: 3
Views: 29792

How do I know that my Heston implementation is ok?

Thanks a lot Alan!!
by ntruwant
March 11th, 2010, 2:56 pm
Forum: Student Forum
Topic: How do I know that my Heston implementation is ok?
Replies: 3
Views: 29792

How do I know that my Heston implementation is ok?

hi,I have implemented (Carr Madan FFT) the Heston model for equity options and I have found implementations on the net (Gauss Legendre integration) that give +- the same prices.But how can you be certain that your implementation is ok? Our there benchmarks, ...?
by ntruwant
June 25th, 2009, 8:51 am
Forum: Book And Research Paper Forum
Topic: RiskMinds in Geneve
Replies: 4
Views: 38306

RiskMinds in Geneve

<t>I must say I have always been very disappointed after "quantitative" conferences: only 1% of what they present has added value (this is of course my personal point of view!).I have learned much much more out of books, my 2 favourites are:- Quantitative Risk Management (Embrechts, McNeil, Frey)- P...
by ntruwant
June 24th, 2009, 10:13 am
Forum: Book And Research Paper Forum
Topic: RiskMinds in Geneve
Replies: 4
Views: 38306

RiskMinds in Geneve

not really for the pure quant, somethimes they touch mathematics but hardly in a very technical way. more for people in risk management
by ntruwant
June 12th, 2009, 9:19 pm
Forum: Student Forum
Topic: Proxy for Corporate Bonds Asset Class
Replies: 1
Views: 38543

Proxy for Corporate Bonds Asset Class

depends if you want just the credit risk or all risks: but there are the iboxx and itrax indices you can use from bloomberg
by ntruwant
June 12th, 2009, 9:06 pm
Forum: Technical Forum
Topic: How to quantify the liquidity of a bond?
Replies: 11
Views: 40940

How to quantify the liquidity of a bond?

under current market conditions its very appropriate to price the illiquidity component in the bond price. Is this your question?
by ntruwant
April 2nd, 2009, 10:18 am
Forum: Student Forum
Topic: Scores
Replies: 3
Views: 40849

Scores

with data mining techniques: logistic regression, neural networks, trees, ...
by ntruwant
March 17th, 2009, 8:44 am
Forum: General Forum
Topic: setting risk limits
Replies: 4
Views: 42531

setting risk limits

anybody an idea?
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