Singleton and Dai have a good review paper on the term structure research

I am quite interested in this, would any one give some refrence or reading lists!thanks

for computing the VAR of large portfolios, the copula function is necessary to estimate joint distribution of different asset.

Excel is a very useful tool in QF and can be applied to pricing a lot of derivatives.Binomincal tree, Interest rate tree, etc all can be represented in Excel tables

QuoteOriginally posted by: mjmy take on Monte Carlo is that it's a method of carrying out numerical integration. and for high-d problems is the fastest one.for numerical integration, you can use some good softwares, such as Matlab. I mainly use the MC to price the path dependent derivatives.

I think one suitable way is to find out the best volatility model and construct the hedge strategy based on such model.

I agree. square root rule is a general method of computing vol in longer term

<t>I am doing some reseach on volatility and VAR in China stock market. I would like to use GARCH GED model to estimate the VAR. But i am sorry that I don't know how to do it in Matlab, or Eviews. since they all assume normal distribution errors. so would anyone tell me how to do the test, or where ...

thank a lot for your discussion. But I tried the trinominal tree (FD method) and the mante carlo simulation at the same time and found big difference. I will try the binominal tree later. and will discuss with you further on.

<t>but how to decide the trigger level? Is it just call condition, for example, the company may call back the CBS if the stock price is above the 130% of the strike price, then the 130% is the tirgger level. moreover, when the call conditions meets, the company will still have to wait for some perio...

<t>Mr Aaron, You are right. My idea is that just to change the volatility in mante carlo simulation. for example, we have some history data of stock price, after the issue of CB, the volatility will go down.(in China, the empirical tests have proved this). so I think maybe it is suitable to consider...

<t>thanks all for the hot discussion. My ideas are:for the interest rate, I suppose it to be constant since it will not affect the price of CB a lot. furthermore, We cannot find a good interest rate model that can fit well the market rate estimated by market date. and in China, the saving rate is re...

thanks a lot , Johnny. I will consider it in pricing.

thanks a lot for your kindly advice both. for credit risk rate, i have estimated the AAA credit spread by China's corporate bond price data and then it can be usded for the discount rate in the pricing of CBS(in China, the company with the ability to issue CB should have AAA credit in China).

Does any body can do me a favor to tell me some reference paper on the pricing of convertible bonds?