Assume a flat yield curve beyond the last observed bonds, and price the bond off the curve.

If there were other issuers with ultra long bonds, you could build their yield curves and take the 30-100 slope, and argue why (or why not) your new issuer should have the same slope.

Is anybody aware of any IR modelling papers, for long time horizons (~20 years) that builds on the work of Rebonato et al (2005), " Evolving Yield Curves in the Real-World Measures: A Semi-Parametric Approach."?  I.e. similar model with some enhancements? Specifically, the Rebonato model e...

We all know the theory : correlations between asset returns in crash scenarios tend to be higher than during uninteresting times. Can anybody suggest some standard references where this has been quantitatively tested and analysed? Thanks.

What are you swapping? It would probably be useful to model the underlying dynamics of the two assets - different commodities have very different spot price behaviours.

<r>I studied neural networks quite heavily in my first degree in computer science, so I'd argue that neural networks have a very specific meaning, quite clearly defined at <URL url="http://en.wikipedia.org/wiki/Artificial_neural_network">http://en.wikipedia.org/wiki/Artificial_neural_network</URL> T...

If it's brownian motion, isn't it simply proportional to sqrt(t)? I.e. 2 * vol * sqrt(t)?

<t>Just thinking qualitatively : you can get implied vol for an instrument by looking at derivatives on that single instrument. To get implied correlation, wouldn't you need to look at derivatives priced off both instruments? Without that, I can't see how vol tells you anything about correlation. </t>

Other well known models for the oil term structure are the "Gibson & Schwartz 1990" model and the "Gabillon 1991" model. Full references are in http://commoditymodels.com/recommended-papers/

<t>My opinion:The oil price is back to being controlled by OPEC. OPEC was dominant in the market in the 1970's-80's, lost market share afterwards but is back to having sufficient market share that what they say, goes. And OPEC's share is only going to rise, they have far more remaining reserves than...

If nobody thought it possible, it wouldn't already be on negative watch at some rating's agencies.It's hardly new news, is it ? "Moody's Warns of US Debt Downgrade - ABC News" - 11 Sep.

<t>I just did a PhD and every day I had time to have breakfast then go for a swim with my young son. Try doing that in an IB.In terms of expected $ payoff there's more chance that it's positive if you do the PhD early-career.But if you do the PhD mid-career - like me - you will enjoy it more (chance...

<r>There's discussion of the longstaff and schwartz model here:<URL url="http://www.wilmott.com/messageview.cfm?catid=34&threadid=87942I%27m"><LINK_TEXT text="http://www.wilmott.com/messageview.cfm? ... d=87942I'm">http://www.wilmott.com/messageview.cfm?catid=34&threadid=87942I'm</LINK_TEXT>...

<t>Quiet fridays are observed in all sorts of data. I've seen it in electricity prices (cheaper on friday than any other weekday) and also if you plot visitors to websites, friday is lower than every other weekday.Interestingly I found the "friday afternoon effect" in electricity prices to be more p...

Implied by options prices. Basically you keep choosing implied vols and plugging them into the black-scholes option pricing formula, with all other parameters taken from the market, until yuor options price produced by black-scholes equals your option price observed in the market.

In the spirit of VaR maybe if you have n daily samples you should not use the mean() at all but the 90th percentile, for example.