Hi Gmike2000,thanks replying,I think,If we price option duration based model like Schaefer & Schwartz (1987) model you're right,I mean using Black-76 model,can we use same approach ,any paper about this?

<t>Hi ,I have the following practical questions about Bond Option Historical VaR;1-If we use Historical VaR model ,how can we generate historical bond price,like if we have a bond and bond issued two weeks ago but I haven't 252 historical spot bond price to generate forward price,so how can I genera...

<t>Hi minvosky;If you are simulating stocks or index brownian motion multi path case ,you have to use correlation matrix for uncorrelated yiled change.On the other hand,you can use cholesky matrix for single path simulation.If you have uncorrelated yield change ,covariance and correlation matrix,you...

Hi,Does anyone who know Levy skew alpha-stable distribution PDF ,CDF or CDF ınverse functions or formulas?Thanks.Best Regards.

Hi;Which Mapping Model does Riskmetrics use on VaR models?Does anyone know about this?Because Riskmetrics 1996 and 2001 methods are not practicable for some Cash Flow Mappings.Does anywho who know other Mapping models (Rates,,Elementary ,Duration based etc..)Thanks .Best Regards.

Hi;Can we determine any parameter for shocks or behavioral situation in Brownian Motion or Mean Reversion models like a jump?Can we use this model any underlying currency or have to specified?Any idea for behavioral Stochastic Models?Thanks.

Hi;Can we determine any parameter for shocks or behavioral situation in Brownian Motion or Mean Reversion models like a jump?Can we use this model any underlying currency or have to specified?Any idea for behavioral Stochastic Models?Thanks.

Hi;How does Ladder Option and Ladder Periodic Cap works?Thanks.

If you calculated 1-day V@R,formula works everytime well.Just control your last V@R values.Only take 1-Day V@R*sqrt(10 or any Holding Period)You Can read Implementing Value at Risk Philip Best or Paul Wilmott Quantitative Finance books.

Hi,Can anyone who know Hyperbolic Secant Distribution CDF form?Any Distribution program that generating or fitting this distribution?Thanks.

Hi,Is there anybody who knows quanto options(fx linked quanto options) methodolgy in pricing especially which underlying asset is Energy Index on Foreign Currency(EUR).Which quanto models has to be used for pricing?Monte Carlo based metodology or another approaches?why?Thanks.

Which Mapping Type is more used in V@R calculations?There are many Mapping Types in world.Riskmetrics methods are general but Anyone who know that methods or other are used in V@R calculation?Elementary MappingRates MappingSchallers Mapping

<t>Thanks Alan;First of all dW draws independent and identically distributed I am ok.In continuous time process simulation any process you mean that Jump process has to be transform for other distribution inverse(iid),ok.S*Exp((mu-sigma^2)*t+vol*sqr(t)*normınv(0,1)-------I say this distribution can ...

Hi;I wonder that Can we use different Probability distributions in GBM for dW term?Just only using for Normal Distribution or using another distribuiton for Currency simulation?Thanks all..

<r>I think you have to read Nelson-Siegel model link below.If you want to calculate model in excel you need optimization constant for parameters.In excel firstly you have modelling Nelson Siegel like in PDF.And you have to parametrizing the model parameters in a Optimization server I think because e...