Hi,I whant to stripping yield curve using Future on Euribor3M do you know any methodology to extraction convexity -adjustment from those price using Market model Thanks

<t>Hi,il whant to use future on Euribor3M in stripping yield curve but i finded that i need to pricing Future contract using interest rate model (short) if you use Bloomberg you can see by making Eus <GO> that the model used is HWdo you know any method to find convexity_adjustment used to pricing Fu...

alpha=sigmaATM*forward^(1-beta) is just the approximation of SigmaATM when time to expiry is near to zero (for this to estimate this parameter i used swaption with short maturity)Thanks in advance

HiTo estimate beta parameter i used least square method for the equation log(sigmaATM)=log(alpha)-(1-beta)*log(Forward rate ) for swaption but i find somme values <0 and >1can you give me other method to estimate this parameter thanks in advance

Hisomme Banks calculate Bpvol=volyield*ATMstrike other Bpvol=volyield*sqr(strike*ATMstrike) and Bpvol=volyield*sqr(strike*ATMstrike) i can't find justifications for the seconde and the third methods

I used Marquart algorith to optimize in volofvol , correlation and alpha.but I can't estimate beta from sigmaATM and forward for swaption .i uesd for thise leaste square methodthanks in advance

Hi friends,I calibrated SABR model using options on future such as BOBL by using Nelder MEAD algorithm I find some problems : negative value of vol of vol more effect of Beta on correlation and vol of vol can someone give me the bounds of beta , volof vol thanks in advance

my first language is french!!!!Whay

I need to working and living in canada , someone have some informations about how to find a work or training work in Quantitative finance.

I'm a student in mathematics and finance program ,I have a 6 months of experiance in pricing and modeling interest rate swap and exotics options I want to work in quantitative finace

I'm a student in mathematics and finance program ,I have a 6 months of experiance in pricing and modeling interest rate swap and exotics options I want to work in quantitative finace