<t>Hi No, we cannot avoid the correlation. In this specific problem I think that we have to run a simultaneous simulation for the two term structures. But there is a correlation parameter between the co-movement of the two curves that has to be modelled. We could add more complexity to these problem...

mpsingh and benchy Sorry for the late response. I have my thesis written in Portuguese. I can send you if you both want and we can pass through the text quickly and I can explain you the main ideas, problems and the final results. What do you prefer?RegardsLeonardo

<t>Vegetable Another method you could add to your list is a Monte Carlo simulation. It´s not easy I know that but it´s a more elegant way to handle this problem.You could simultaneously run a simulation for the two curves: the risk free government yield curve and a credit spread yield curve. Of cour...

<t>Well, let´s discuss some points:1. It´s never optimal to exercise calls on a non-dividend paying stock. There are some reasons for that. The first is very intuitive and is related with time value of the money. For example, if you have a deep-in-the money option, would you prefer to exercise early...

<t>mpsingh My Master´s thesis is a Hull-White analysis and implementation for the Brazilian Interest Rate Derivatives Market. After then, I wrote an article based on this theses, which I copied the abstract below in the end of the email. I think here in Brazil and may other emerging markets there ar...

<t>Hi I understand your point and agree with you. I´m almost sure that John Hull´s Options, Futures 5th edition has a solutions manual. It´s not a fully devoted interest rate model book but there are some chapters about IR models with exercises which may be done and checked with solutions manual.Reg...

<t>Hi I understand your point and agree with you. I´m almost sure that John Hull´s Options, Futures 5th edition has a solutions manual. It´s not a fully devoted interest rate model book but there are some chapters about IR models with exercises which may be done and checked with solutions manual.Reg...

<t>A very good book about Monte Carlo is published by RiskBooks. I copied the Table of Contents from the book. I think it´ll help you in your decision.RegardsMonte CarloMethodologies and Applications for Pricing and Risk Management---------------------------------------------------------------------...

<t>HiI´m very interested in Fixed Income reasearch and modelling and I´m searching for any material (papers, worksheets, etc) related to the implementation of Fixed Income Quantitative Strategies. After then, I hope to start a discussion regarding the application of some strategies to Emerging Marke...

<t>Hi I´m very interested in Fixed Income reasearch and modelling and I´m searching for any material (papers, worksheets, etc) related to the implementation of Fixed Income Quantitative Strategies. After then, I hope to start a discussion regarding the application of some strategies to Emerging Mark...