Hi MF01 ..I am trying to calibrate two stochastics models jointly using MLE's ...did you have any success with your problem on using MLE for eastimating SDE's? Please let me know..Thanks

<t>I am trying to calibrate a pair of stochastic equations to market data and am in need of some MLE /alternative literature references to accomplish that. I d really appreciate some inputs on the issue: To elaborate: The 2 equations are:1. Dsigma_realized(t) = alpha*(sigma_longtermaverage - sigma_r...

<r>Hi SPAAGG,Did you find a solution to your question regarding the starting values to optimally calibrate the heston model to a given market volatility surface, I am doing something similar and it might help if we correspond offline, Here's my email: <EMAIL email="abhishekrajgarhia@yahoo.com">abhis...

<t>I have implemented the monte carlo method of pricing 1st to default CDS baskets using Gaussian copula and calculated break even spreads etc. from market prices.Is there an efficient method of backdrawing the implied correlation from market prices etc. using the same pricing algorithm that I have ...

<t>Thanks Mark..the paper is awesome!!!I had one question though valuation of the nth to default swaps assumes that marginal probability distributions are known, and in general we get the marginal probabilities by comparing the security issuer's bond prices with comparable govt. bonds. What if a sim...

<t>I am a new to credit risk , could anyone advise to me the classic papers I should refer to for the following:1. Obtaining default probabiliities/distributions and pricing of vanilla CDS2. Obtaining default probabiliities/distributions and pricing of n-th default CDSdefinition of nth to default CD...