Thanks!Michael

<t>We are trying to produce partial vega using our BGM model. Even though the total/parallel vega is correct, the partial vega numbers (e.g. vega for each swaption vol cube bucket) do not make sense due to the vol surface interpolation and re-calibration when the buckets are bumped. I am looking som...

<t>I am trying to estimate MBS IO/PO durations using the price data. Because the high convexity of IO/POs - the relationship between between price and rates in very unlinear. Does it make sense to use linear regression (e.g. regresssing price differences on swap rate differencies) to estimate empiri...

<t>Hi, I am looking for some literature on the Hull and White 2 Factor calibration that would discuss in detail the questions like the following:- how mean reversion parameter affects the price of a Bermudan? (e.g. the higher the mean reversion - the higher is the value of the option)- how going fro...

Hi, I am looking for some literature on calculating mortgage current coupon - empirical estimation and modelling. Can you help?Thanks, Michael

Hi,I am looking for the references on the methods on how to calculate the duration of a digital (binary) option numerically (e.g. on a tree) and with regard to the Fixed Income digital (binary) options in general.Thanks, Michael

<t>I have a tree that I use for valuing a Bermudian callable bond. I am satisfied with the accuracy of the prices (which is within 1 cent per $100 of notional). But the accuracy of the duration is not adequate (about .50 a year). Are there any "tricks" to increase the accuracy of the duration estima...

<t>I am looking for references on how to use the Real World Measure statistics in the Risk Neutral Measure valuation approaches. For example, in case of MBS we use the Real World Measure statistics on prepayments (e.g. historical probabilities/survivals of refinancing) in combination with the intere...

<t>Hi All, I am trying to estimate empirical durations and partial durations (or sens with respect to a single swap rate) for the MBS securities. Are there are any standard approaches to do that? E.g. how to solve the multicollinearity problem accross the swap rates (e.g PCA), what time window is st...

Hi Caroe:Thanks a lot! Let me digest this. We are trying to implement an "option pricing" model for mbs which includes some parameters (to be calibrated using a prepayment model) to account for the inefficiency of the refinancing decisions. Michael

Hi, Can anybody recommend literature on applying the option pricing methods (e.g. Bermudian option to represent refinancing decisions) to modeling mortgages? Thanks, Michael

Hi, Can somebody recommend literature on Monte Carlo pricing (using exercise boundary) of Bermudian options?Thanks, Michael

Hi Pat:Thanks! This is very useful. Are your papers (esp. on the external adjusters) available?Michael

I am looking for some information on the Old On-The-Run Treasury spread (e.g. spread between OOTR and OTR US Treasuries). E.g. historical levels, volatility, etc. Can somebody recommend an article on this topic?

<t> The SABR Greeks do not show the distribution of the risk along the strike dimension. Therefore, the presentation of the risk using a Vega Cube containing a strike dimension is desirable. The direct calculation of the Vega Risk Cube for exotics however is impossible because the bumps of individua...