<t>I wonder are there any good books or papers talking about calibrating various models such as short rates, forward rates, equity volatility, yield volatility, ... and copula models.How industry people estimate parameters? Do they really write down the MLE optimization problems? Do they really impl...

<r>QuoteOriginally posted by: mji've listed a detailed program of self study on <URL url="http://www.markjoshi.comOh">www.markjoshi.comOh</URL>, are you the author of a book talking about c++ design pattern and derivatives pricing. That's a wonderful work. By the way, I found most books never connec...

<t>I am not sure why you only plug vega into the portfolio change value model. One thing I have done in a course project is use Beta Gamma (which is from BS formula) and may be Vega as well to approximate the portfolio change, the underlying changes are modeled by correlated student t. The correlati...

<t>QuoteOriginally posted by: exotiqThe Cholesky method is probably the most literally correct, and assumes you have a correct correlation matrix. Problem in reality is the correlation matrices give you far more parameters than you can ever hope to estimate with any fair degree of reliability and st...

<t>1. correlation and dependence are different. Correlation only captures the linear dependence, or the first order dependence. Dependence can be described by joint distribution and all cross moments (1 to infinite)2. two way to generate correlated samples based solely on marginal distributions and ...

<r>I borrowed this book from our library. However the "access code" to visit the online materials of this books was missing. So could anybody here share the access code to me? Or, if you have downloaded these files, could you please share them with me? I would like to share my e-books in quantitativ...

this is a test. sorry, how to delete it? thanks