<t>Dear all,I am trying to find how to simulate commodity futures prices using MC, however I can't find anything relevant. Just phrases like: "you have to simulate risk factors, input them in your pricing formulas..bla-bla". What I am looking for is step by step procedure, preferably explained in si...

It is just a simplification assumption in some intensity-based models, i suppose. There is a number of structural models were recovery rate in not constant. See Hull, White and P..(forgot the surname) 2005, for example.

it is not possible to update values and i can't read formulas.Are they in spanish?

it is just the notation at the end of the day, look at F.

<t>Thank you for the help and info,SC!The reason for me being so "*nal" about this is that my Thesis superviser wants to know how I will verify it. Consequently, the whole commission also wants to know. And this fact poses a problemHowever, now I have some strong arguments to support my reasoning. T...

Besides, dealer's price can be affected by consitution of his correlation book?For example, concentration of junior risk will make him quote higher spread/lower correlations? Is there any method to get rid of this abandoned information in the price?

So, unless I know precisely the model used by the dealer and his inputs, there is no way I can verify if my computations are correct. This is depressing.

<t>StructCred,following your logic, dealers quote base correlations only for personal entertainment?And there is no sense in using it to price standardized tranches although this correlation parameter is "market consesus"?People,jokes aside,using HLPGC model and given a base correlation quote I shou...

<t>Total:1)prob. it can't, cause it is just an "inversion" of the price of given tranche in the index2)you can find price that matches the one on the market if you price a CDO with same underlyings as the index3)it is very broad question.. i mean, if the spreads have sufficiently widened for given i...

Thanks, mikeoz.so, given only the quoted base correlation and using this correlation as an input in the model I should arrive to the spread equal to the one quoted on the street in all the situations?I understood correctly?

Dear all, i have a following question. Let's suppose I am pricing one of standardized tracnhes of ITRAXX. I impose Gaussian structure, assume equal spreads, constant correlations etc-all the regular assumptions. I get the price at the end. How do I verify if it is a "right" price?

thank you.

<t>This is really informative reply. Thank you. As I have mentioned, I haven't found any info on empirical tests linked to CDO pricing in academic papers. I hope I have missed something. However, I have asked Goggle and I have checked DefaultRisk and books on this subject before asking the question....

<t>Dear all,I am currently writing my thesis on pricing CDOs in copula- and factor models framework (and base correlations with for non-standard tranches). However, I am required to do empirical tests during my work, and currently I can't think of any. Furthermore, I haven't seen any empirical tests...

Your trader is right(assuming perfect environment),but I believe the copyright still belongs to B&S