<r>Hi AllI am trying to price a European option on a pure discount bond where the short rate is modeled using a two-factor CIR model. I am using Chen and Scott's paper to adjust the multivariate integral to a univariate integral and am loosely following their approach to evaluate such an integral.I ...

<r>Hi AllI am looking for some help with regards to a closed form solution for pricing a caplet under the two-factor vasicek model where both the short rate and the short-term mean-reversion level are stochastic. I have calculated a formula and the answers seem plausible when tested however I would ...

TheBridge, so you are saying that the RN and Spot measure are often found together? okay I will look for that.

<t>I have two questions relating to the title.1. I need to model the Libor using the risk neutral measure instead of the terminal or spot measure. I have been looking everywhere but there seems to be a lack of literature on it. I do have the brigo theory and practice text book, but it just states th...

<r>I'm trying to implement Broadie & Kaya's method for stochastic volatility but can not obtain reasonable answers. I've followed the paper (<URL url="http://www.columbia.edu/~mnb2/broadie/Assets/broadie_kaya_exact_sim_or_2006.pdf"><LINK_TEXT text="http://www.columbia.edu/~mnb2/broadie/A ... r_2...