Thanks a lot for your answers. That helps for a first understanding.

Thanks for your replies. Does the nes OIS curve standard apply to the valuation of e.g. equity derivatives as well? What is the correct curve for collateralized and uncollateralized trades? Exchange traded derivatives should be handled like collateralized trades?

Hi,does anybody have a reference to details about which rates (forward rate e.g. for a mc simulation and discount rate) to use in the valuation of exchange traded derivatives vs. otc derivatives? Is there a link to the switch to double curve pricing frameworks as for ir derivatives?Thanks!

<r>Hi!up to last week, daily data for VIX termstructure was available from <URL url="http://www.cboe.com/micro/vix/vixtermstructure.aspx">http://www.cboe.com/micro/vix/vixtermstructure.aspx</URL> Since last week CBOE did not update the page. Does someone know where to get daily updated data for the ...

<t>Dear all,I try to implement the semianalytical formula presented by Deelstra et. al. in their paper "Pricing of arithmetic basket options by conditioning". Unfortunately I can't match the price compared to a simple monte-carlo simulation. The problem lies probably in the second part, where I nume...

Hi Rez,thanks a lot for your reply. I use the an ASA optimizer (daptive simulated annealing) whicht leads to slighly better results as the fminsearch of Matlab. Does anybody know a reference for the calibration of a cir++ model?

<t>Hi! tank you very much for your answer. That was also what I thought, but the "phi" function (r(t) = x(t) + phi(t)) goes into the theoretical prices of Swaptions and also depends on the parameters. Therefore I didn't find the link between CIR and CIR++. Actually I minimize the sum of squared diff...

Is there someone with experience on the parameters of a CIR++ model? An initial guess would be very helpful, as the optimization tends to be very time consuming.

<t>I will use the Hull-White model to simulate interest rates (for the pricing of interest rate derivatives and a Black-Scholes framework with stochastic interest rates). The first idea was to use the exact solution, so I could circumvent the simulation with small timesteps which is needed e.g. with...