<t>I'm no expert but.... I think that you need to use either individual credit spreads for the names which make up CDX to infer individual default intensities or an index swap spread to infer an average default intensity.... once you've done that you can use tranche quotes to infer the base correlat...

Can anybody recommend a paper/book to explain this?Thanks,j

Thanks erstwhile, I'll try that.

<t>I'm looking for an efficient algorithm for finding a root of a function which can only be evaluated using Monte Carlo.The function is monotone and has exactly one root in the interval [0, 1].I think there must be clever ways for doing this, eg. some sort of a search algorithm which increases the ...

Can anyone recommend a paper/book which explains the Large Pool Gaussian Copula model, besides Schoenbucher? I asked this in the student forum and got no answers, so I thought I'd try my luck in the technical forum.Thanks in advance...

Can anyone recommend a paper/book which explains the Large Pool Gaussian Copula model, besides Schoenbucher?

<t>Hi everybody,I've been using Excel and VBA for various tasks for the past couple of months. Many of the macros I have written use data from a variety of workbooks. I have always changed from one open workbook to another- lets say the other is AnotherWorkbook.xls- by using Workbooks("AnotherWorkbo...

<t>I know that Paris 6 is considered the top quant finance DEA... but are recruiters in London aware of the difference between it and say Paris 7?All other things being equal, will a Paris 6 graduate find it much easier to get a good job than someone from Paris 7?Do students of these courses tend to...

Quick question about Ensae:If I apply as a graduate of a four-year mathematics degree, with very little knowledge of economics, will I have to spend 3 years at Ensae or can I do it in 2 years like most of the engineers seem to do?

A bit of a longshot:Does anyone have VBA code for generating Sobol' numbers?

<t>Most of the popular models for VaR calculations seem to assume a multivariate normal distribution for the risk factors. This seems quite unrealistic to me. Some alternatives have been put forward in the research literature. Does anyone use them?Or is the state of the art to use quadratically appr...

<t>Another excel-related question...I have been developing a pricing application using Excel and VBA. I'm starting to get on to more complex products now and the computation time is going up correspondingly. Now I'm wishing I could write my pricers in C++ or Java instead... My question: is there any...

The LU decomposition is definitely working. I got the lower boundary condition by setting delta=gamma=0 in the BS eqn; this leads to the condition:> V(x_min, t) = exp(-r*dt)*V(x_min, t + dt)t + dt because I'm moving backwards in time across the mesh.I just set dS = (x_max - x_min)/N

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<t>Have tried it with various choices of parameters. I just wanted to price a European call, so the initial condition was V = Max(0, S-K). I used the change of variable x = log(S/S_0). The upper and lower boundaries of the mesh were x= -2, x= 2 with boundary conditionsV(x_max, t) = S_max - K*exp(-rt...