This is probably too elementary for you guys - how would you price a commerical paper? By discounting it I guess, but which curve would you use?

I personally would go for volatility calibration according past experience.

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I am not a good C++ programmer at all but I suggest the book: Professional C++...

define u = y/x.

good luck!

I guess it must have been your integration's problem, i.e., the truncation errors vary with maturity and strike.

A perfect calibration! Now what?By Schoutens et al.

<t>Allow for my ignorance.I am trying to calibrate SABR model to FTSE100 index options data of 282 prices. It is the solver in excel that I use. However the solver returns with #NUM! error for several of the 'model implied volatility' cells. I checked the calculation and found that the 'square root'...

<t>QuoteOriginally posted by: outrunWhy can't you use the PDE approach? How is your model specified, do you have stochastic differential equation, or are you speaking in general terms? If you have a known non-lognormal distribution at expiration, you can use numerical intergration (gaussian quadratu...

<t>QuoteOriginally posted by: RezMy derivation for Heston's process follows. I'd love to hear your comments and opinions. :The Heston model can be described by the equationsdS/S = m dt + sqrt(v) dWdv = a (b-v) dt + k sqrt(v) dB, corr(W,B)=rhoThe risk adjusted probability measure can be retrieved via...

QuoteOriginally posted by: CuchulainnFermion How would one apply binomial method to Merton jump model or even Levy processes? has this been done anywhere?It seems to me that Amin (1993) developed a tree method for jump diffusions.Rgds,

<t>As to finding the minimal model that captures the important empirical behaviours, I suggest the paper by Bedendo and Hodges (2004, I think). The authors use a data analysis approach to build up a continuous-time stochastic volatility jump diffusion model. The good thing of the approach is that th...

Does anyone use double exponential jumps?

<t>QuoteOriginally posted by: RezTwo questions that perhaps I shouldn't be asking...I read the definition of the local time but I didn't get why the name. Can anyone give me some intuition of why the local time is actually called "local time"? As far as I understand for a Brownian motion L_t = int_0...