Oh... i'm still waiting.thanks to any reply.

<r> Hi, there, how r u? I'm facing now with a task received from my BOSS. He said to me, that i shall give idea about, how can we valuate the CPPI and long-/ short- strategy in (structured-) credit product- "scopeland", and thus try to construct a valuation-model for both of them. Hence, i have 2 Qu...

Thanks a lot Arlequant. I'll try it using deterministic/constant recovery rate/ intensity/ correlation as u suggested. A kindly answer from anybody else will be also appreciated.

<t> Hi, long time no see. How's doing, every WILMOTTer? I'm facing now a problem about constructing a Excel-Prototype for Valuation of credit derivatives, in particular iTraxx-index-swap and nth-to-default basket CDS. I have totally no idea about what i shall do, although after reading several paper...

Because of the attached code in Nimalin Moodley-Working paper was wrong...

<t> TO shamimafshani and Alan: i'm looking for the S&P 500 index option prices,say with a amount of about 50-80 on the next trading day after the 18.04.2002. Since the S&P 500 index options are traded on each the 3rd. friday in a trading month, is the next trading day on the 16.05.2002?? loo...

<t> I've finished my master thesis about calibration of the heston model and so on. A value of \kappa after the calibration is realistic, depending on which error-measure is used, i mean the APE,AAE, ARPE or MSE. According to my results i found, that a a value of \kappa must be near or greater than ...

Thanks LordR!! It's very appreciated for me to understanding! wish U suceesful in the future,also myself...

<t> Hallo,everybody.I'm a beginner in financial engineering and i have a question regarding to the Heston Model. The heston model has such a form: dS_t=\mu_t S_t dt+\sigma_t S_t dW_t^{1} d \sigma_t^2=(\alpha - \beta \sigma_t^{2}) dt+ \gamma \sigma_t dW_t^{2} with (W_t^{1})_t,(W_t^{2}) are two SBB wi...

<t> Hallo,everybody.I'm a beginner in financial engineering and i have a question regarding to the Heston Model. The heston model has such a form: dS_t=\mu_t S_t dt+\sigma_t S_t dW_t^{1} d \sigma_t^2=(\alpha - \beta \sigma_t^{2}) dt+ \gamma \sigma_t dW_t^{2} with (W_t^{1})_t,(W_t^{2}) are two SBB wi...