<t>Hi all,Was just wondering if there are any assumptions we have to make when using copula functions, for example Gaussian copula approach... Read some papers that uses copula functions to value the credit derivatives, all of them use hazard rate in the simulation of default times and assumed that ...

Hi, anyone can recommend other related GOOD Msc Financial Mathematics programs offered by other universities, other than Univ of Chicago?

<t>Hi babolat,For 2) Map back the Y's to to ti's the default time of the ith issuer. using tj = Fj^(-1)[N(Yj)]with Fj being the cdf of an exponential distribution with parameter h ie. F(x)= 1- e^(-hx).Then the default time tj = -1/h ln (1- N(Yj))Doubts:1) Are u assuming that the hazard rate is const...

Hi!Can i have a copy of the matlab program too??.... currently, working on a topic related to CDOs too!hippeyzn@hellokitty.comThanks!

<t>Tested out using gaussian copula approach: (Modelling Default Correlations - With Counterparty Default Risk - Table 4)Y = payoffC = paymentsT = life of CDSPHI= risk neutral probability of NO default by counterparty or reference entity during life of swaptheta(t) = probability of default by refere...

<t>Hi, hope that someone can clear my doubts.....I wrote a program for the valuation of credit default swap spread according to the formula below:Some problems:--------------------------------------------------------------------------------------------------------------------------------------------...

Thanks for your advice....

<t>------------------------------------------------------------------------------------------------------------John Hull & Alan White : Valuing Credit Default Swaps (II) paper I am still trying to get the big picture about CDs valuation with counterparty default risk (Plain vanilla CDS for the t...

<t>How to use bootstrapping method to calculate the T zero curve from a given set of data of government bills of different maturities?If i am not wrong, bootstrapping method allows us to find the zero-coupon discount rates for bonds of all maturities?What is the difference between bootstrapping &...

<t>Hi, thanks for your reply.....I have been trying to solve the CDS spread over a few weeks already, but still unable to obtain the correct answer of 0.01944 as stated in the textbook....Valuing Credit default swap 1: No Counterparty Default Risk(Also in John Hull's textbook: Chapter 27: Credit Ris...

<t>Hi thanks for your reply..I am trying to replicate the results obtained by the authors in the calculation of credit default swap spreads (counterparty default risk) using Monte Carlo simulation (control variate approach & antithetic sampling) as seen in Table 4 of the paper..So I was wonderin...

<t>Hi, i am reading the paper by Hull & White: Valuing Credit Default Swaps II: Modelling Default Correlations"In this paper, the authors used Monte Carlo simluation to solve the credit default swap spread. I have no idea on how the authors used MCS to solve this part... and how they generate th...

Desparately seeking for assistance.....How do I use Monte Carlo simulation to calcuate the credit default swap spread (CDS spread) ?Or anyone can refer me to some articles so I can have some idea to get started with the Monte Carlo approach?Thanks....

<t>Hi, the equation below is for CDS spread (from John Hull's paper)I have difficulties solving the definite integral part.... I tried to use SImpson's rule, but failed to obtain the correct answer.Can anyone advise me on the correct method to solve the definite integral from t=0 to t=T ?Thanks... <...