<t>Thanks for the ideas. I found a paper by Algorithms, titled "A Multi factor statistical model for interest rates". They used pca to derive a set of state variables, looks theoretically appealing, but when I tried to used the same set of data to calibrate for the mean reversion parameter, we do no...

I'm looking to use a multifactor interest rate model to first fit to historical data, then use the fitted values to simulate future interest rates, for risk management purpose. Any one knows what is the most popularly used model in practice?

Here is a nice reference:http://www.thetaris.com/wiki/Value_at_Risk

<r>QuoteOriginally posted by: patch22I looking for any papers that may be in the public domain on the subject of generic monte carlo engines, that is either smart engines into which one can plug new products using some sort of object oriented discipline, or better still engines capable of parsing sc...

"ThetaML Handbook" describes the domain-specific payoff description language - ThetaML. It has procedural extension for time stepping, enriched with multi-threading and simplied vector notation. The book is now available on www.amazon.de

<r>I think Engle's DCC is an econometric model, it depends on the dynamic feedbacks of asset innovations, which is hard to reconcile in the risk neutral world. However, this web link has details on how to dynamically hedge options:<URL url="http://www.thetaris.com/wiki/Hedging_in_ThetaML">http://www...

A good source is:http://www.thetaris.com/wiki/Heston_Volatilitywhere you can find both the math and the implemented model.

The sparse grid combination technique encompass all the discussed cases, the algorithm automatically identifies the area where Bi-linear interpolation, cubic spline or quartic interpolation is applicable. It is fast and accurate.

<t>How to you fit ARIMA model with lots of autocorrelations?-- You can try fitting ARMA models with different lags on AR and MA, the check the standardized residuals and finally use Akaike Information Criteria to select the optimal lags on AR and MA.if I don't have a good mean-model, is my GARCH(1,1...

<t>QuoteOriginally posted by: aankzI noticed that the highlighting was making it really difficult to read the code earlier .. I hope its clearer now ... and hopefully one of you can confirm my doubt and put me out of my misery ...how do you determine the strike prices to be used for Moodley's SV (He...

I have included my discretization method for the Heston Hull white model in the attachment. Any feedbacks are much appreciated. Thanks.

Hi allDoes anyone have references on how to simulate with Heston-Hull white hybrid model? Thanks

<t>QuoteOriginally posted by: AlanYou can certainly write X in terms of sqrt(v(t)) and sqrt(v(t+dt)) if you like ... Do you mean to write X =v(t+dt)/v(t)-1=(sqrt(v(t+dt))/sqrt(v(t)) +1)*(sqrt(v(t+dt))/sqrt(v(t)) -1) ? I would like to have separate terms of sqrt(v(t)) and sqrt(v(t+dt)). If I approxim...