<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...

thanks a lot!!

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?

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?

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 ?

hasn't anyone read this book?

content looks really promising:- is it?- does it also contain the computer code?

Thanks a lot Alan!!

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, ...?

<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...

not really for the pure quant, somethimes they touch mathematics but hardly in a very technical way. more for people in risk management

depends if you want just the credit risk or all risks: but there are the iboxx and itrax indices you can use from bloomberg

under current market conditions its very appropriate to price the illiquidity component in the bond price. Is this your question?

with data mining techniques: logistic regression, neural networks, trees, ...

anybody an idea?