Is there anyone who can send me a copy? I can not download. Your help is really appreciated. My email address: hwa006@gmail.com

I am curious what interest rate model you use for pricing liability.

<t>Yes, you are right. The underlying of the product is composed of equity, bond fund and money account, we also need to change the risk neutral measure to terminal measure.But you know the term is so long and there are so many processes, the speed is what I am really concerned. I will try the long ...

It's my great honor to contact you. Thanks again! I don't quite understand why if we use terminal measure, the variance will be higher. The reason is that the total terminal covariance among forward rates does not change. Do you have paper about the pro & con of P-C method?

Hi MJ,Are you Mark Joshi? I am so glad to meet you here. Thank you so much again!

<t>Hi mj,Thank you for your posting. Our main product is GMWB and we only need spot rates for the valuation. That means we can use long time step. Currently, I try to use Mark Josh's long time step method (Predictor-Corrector method) to speed it up. Do you have idea about how accuracy this method is...

I work for US insurance company.We do have an equity interest rate hybrid model, to deal with the equity risks since equity risk is the main risk.

Yes, I think I will try different way. Thanks.

<t>Yes, it does. We are also one of the big writers in the US market and we are using CIR++ model. My manager wants to transfer the CIR model to LMM. Before the implementation, he asked me to think about using less foward processes to speed up the implementation. There is one section (6.21) in Brigo...

<t>Hi Church,Currently we are using CIR++ model. The problem with this model is that we don't have enough long term volatility because of mean - reversion characteristic. For example, it's difficult to generate long term rates below 0.03. Currently the market long term rates is close to 0.03. Thus w...

Thanks. I hope it's helpful.

<t>pcaspers,Thank you so much for the reply. As you said I am going to use 2 factors model using PCA. Meanwhile I think you misunderstood my question. What I meant is that we have 60 Forward Libor Rates during the 30 Yrs period, is that possible that we can reduce 60 Forward Libor Rates to fewer for...

<t>Dear all,Currently I have a project implementing LMM to price variable annuity. The time horizon is 30 Yrs which is very long and the US swaption market forward rates are semiannul. Thus we have almost 60 processes which is unacceptable for the running speed. Do you guys have ideas about how to m...

Hi, Recently I pick this book since everyone said this is a great book. But as soon as I started this book, I am in trouble. Is there anyone who know how to derive equation (2.2.6) and (2.2.7)in section 2.2 P13. Thank you so much.

<t>In Brigo and Mercurio's book: Interest Rate Models - Theory and Practice with Smile Inflation and Practice. (Second Edition)Section 7.3 Joint Calibration with Parameterized Volatilities as in Formulation 7 (P320). The author says that the local minimization is constrained by 1-0.1<Phi(a, b, c ,d)...