Thanks.

<t>Experts -As I understand, the BGM model is fundamentally defined under the terminal measure, and therefore to price a contingent claim using a monte carlo framework, we have to transform the payoffs to their terminal values before averaging over the various simulations (ie whatever the opposite o...

<t>Someone suggested "what are the most popular stochastic volatility models" but I'd really like to see, more generally "what are the most popular stochastic processes" (ie things you might simulate in a Monte Carlo model).Presumably the list would include:Geometric brownian motionLIBOR market mode...

Sorry, I realise the first paragraph of my previous post is nonsense since the relationship is obvious. That was the step I was missing - thanks again meteor.

<t>Thanks, meteor. I guess what you're telling me is that there's no substitute for hacking through the algebra myself to see how rho_i is related to the X covariance matrix. But thanks for the Cholesky pointer - I'll work my way through at some point.And the derivation of P(ti|V) involves partial d...

<t>New to this forum & hope someone can point me in the right direction.I think I understand various different copula structures & their uses in correlation modeling. So, in the case of credit modeling where t1, t2,... are default times for different names we have that the probability P(t1,t...