<t>I am not a Matlab Expert, too. But I think you didn't understand the paper correctly. But be also aware, and check the characteristic function of the paper, i think there is some i's missing. If you want to check your results, I would recommend to do a numerical integration without FFT, to check ...

a small hint?

I was thinking about that to, but I thought the problem of SABR formula is, that you get not a real density (maybe negative probabilities for high strikes)or am I wrong? and there are also problems for very low strikes, or not?

<t>Hi,if I wish to extend the plain markov functional model of hunt, pelsser and kennedy to a world with, is it just possible to change the input of the swaption volatilities and calculate the digital swaption values according to these volatilities given by the market? that means just calculate a ca...

<t>depend a lot also on the different underlyings, and especially what kind of instruments are available calibrate to...take a look at piterbargs paper about model with fx skew. But on many underlyings it is problem of liquid instruments, not only for volatility but even concerning forwards...in thi...

Depend on your background, phd level or msc. level . physics, mathematics or finance etc.

<t>what are the current models used to price CMS Spreads?For example 10yCMS-2yCMS: should one use a stochastic vol model for both underlyings, or a Normal Spread Model (seeing the spread as the underlying and then make assumptions about the correlation?use a term structure of correlation?what about ...

<t>hello richbrad,I understand why you mean that for most exotic products only lower triangular swaption vol matrix is relevant. Does the vol surface look pretty alright if you take all atm caplets and the swaptions, or would you prefer only the terminal swaptions and the atm caplets if you getter a...

that sounds funny:against two future nobel prize winners...how do you know?

<t>if you learn mathematics in a practical way, you maybe never understand the beauty of mathematics for a mathematician, for the question of complex numbers just think of one formula which was derived by leonard euler:you have to take a look at fascinating mathematical concepts like the work of ban...

<t>if you need an easy example, take an Ito- Process without drift, and state-dependent volatility:the important point, is that the volatiltiy not only depend on the state and the time, but also on the history (Omega)!!!if you have enough conditions on the vola-function (so it satisfies novikov cond...

in a complete market, every traded asset is a martingale under the risk neutral measure with the right numeraire,if you take an asset which is path-dependent (for example an asian option) you have a martingale which is not markov..

<t>from my point of view the problem with stochastic calculus is, that for the understanding of many concepts in the financial mathematics it is very very important, but on the other hand you need a very good knowledge of other parts of mathematics to really understand stochastic calculus, for examp...

<t>i am sorry, that i did not read your question exactly.But your CMS Spread is much easier to price if it is not floored because it just an exchange of quantoed CMS Legs:if you receive 10yCMS-2yCMS not capped or floored, it is just that you receive 10y CMS and you pay 2y CMS ...so you can value eac...

come on if you need it the fastest way, just buy it digital over amazon.com and the print it out!!!!!!regards