Thank you, bojan and AlexesDad!

Hello,I am looking for a compiler for quantlib. Is there any free C++ compiler for XP except VC++ express version? Thank you!

a few packages support database access. If you are going to set up an ODBC connection, try RODBC.QuoteOriginally posted by: asnessThanks for your responses. Does anyone recomend any tutorials/links etc that explain to newbies how to hook R with SQL? What packages are commonly used?-A

<t>The Williams book looks pretty good. I am interested in the underlying mathematics. Thank you for the recommendation.QuoteOriginally posted by: RufusFour I like (from my Masters course) are:Oksendal - Stochastic Diff EquationsWilliams - Probability with MartingalesElementary Stochastic Calculus, ...

I am looking for mathematics textbooks on stochastic calculus. Any recommendation will be welcomed.

<t>QuoteOriginally posted by: epon79Hi All,I have read alot of papers recently that look at regime switching.I was wondering is there any way to define high versus low volatility.How do these papers decide on the regimes?ThanksAre regime switching models good for pricing long term(20 yrs+) derivativ...

<t>Hi Mark, Can you recomend any articles on "a hybrid model that consistently calibrates to equity options and rate and credit curves and swaptions simultaneously"?Thanks,YQuoteOriginally posted by: markhadleyI'm late to this conversation but I'm happy to see VA guarantees on this website at along ...

Hi,I am trying to estimate lognormal interest rate models using nonlinear kalman filter. Can you suggest any books or papers on this kind of application?Thank you.

<t>Hi,I am working on a project for pricing some long term (30+ years) interest sensitive liability. The pay-off of the liabiliy depends on both short term and long term interest rates. So, multi-factor interest rates are preferred. Gaussian interest rate models used to be a better choice over logno...

<t>Dynamic hedging calculates more geeks than delta hedging. Does it imply dynamic hedging demand for more robust model than delta hedging? For example, one uses heston model(or simpler model) to delta hedge some long duration exotic options. After moved to dynamic hedging, heston model is still use...

Thank you, guys!

Thank you, guys!

Can Ito Isometry be extended to , where f and g are sqare-integrable?Thanks!

<t>I was trying to reproduce the analytic price for zero bond call/put option using Vasicek model. I simulated a pair of guassian random numbers: short rates at time t and accumulated short rates(discount factors). I did a couple 10000-scenario simulations. None of them gave me good results. In fact...

<t>QuoteOriginally posted by: AlanFor CIR model, I would choose reflection because that will also work, more or less, for kappa*theta < sigma^2/2,when absorption would be definitely the wrong boundary condition.In either parameter regime, if you see significant MC bias, google for Broadie & Kaya...