<t>please upload the talk by rebonato. interesting thread. you guys really have to say which expansion you are talking about? Is it the normal or lognormal expansion? This is really important, especially in fixed income. I think that academically oriented people consistently misunderstand the import...

<t>QuoteOriginally posted by: xfxVery interesting. Much better than the previous Boost introduction book I read.wtf? what kind of comment is that? the book probably ain't even written yet, so how can you make that call? anway, with that in mind, I will say that this book is not a bad idea, but it is...

<t>I was wondering if anybody has experience with implementing CMS spread option valuation via Gaussian (or other) copula in the presence of smile and cares to share thoughts? I was reading through Barrahoui's paper. What is going on this paper? It seems like a very incomplete write up with lots of ...

did anybody pick this paper up? can you email it to me at unkpathATgmail.com?thanks.

I just tried to upload the pdf of this paper for you, but am being given an error message saying that I am not allowed to upload this kind of file. just send me your email address and I will send you the file...

<t>QuoteOriginally posted by: OchoaHas anyone got a copy of the F Goodwin strategy piece that talks about arbs in the spread option market? Apparently he thinks using SABR for spread options is a bad idea. i think it was published either today or yesterday.thanks!can you be more specific? which shop...

QuoteOriginally posted by: mjDD is truly trivial to add. It's a no brainer to do this first.what about DD calibration? what about the DD swaption formula? truly trivial?

<t>hi alan, thanks for your comments, I appreciate it. I would intuitively try some explicit scheme myself, but then the very point of SABR is that it models fat tails. so for far out of the money options, wouldn't that simplistic discretization be a problem in that you wouldn't hit a sufficiently l...

Has anybody worked on Monte Carlo simulations of the SABR process? Is there work documented or published on this somewhere? thanks for your input, nkpth

<t>QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: unkpathQuoteOriginally posted by: CuchulainnZmeiThe only thing I know is that the MS C++ compiler VS2005 is one of the most ISO-compliant compilers around. If you don't use the MS extensions then you are fairly sure of writing portab...

<t>QuoteOriginally posted by: CuchulainnZmeiThe only thing I know is that the MS C++ compiler VS2005 is one of the most ISO-compliant compilers around. If you don't use the MS extensions then you are fairly sure of writing portable code.C++ version 6 was more forgiving but porting code from 6 to VS2...

<t>QuoteOriginally posted by: untwiggedThe Hagan/West paper discusses some of the attributes a good yield curve interpolation scheme should have.interpolation is only one aspect of curve building, and not a major one in my opinion. You can get an off the shelf solution. If you need a curve set for m...

edited...I would try to find out as much as possible about that move.

<t>QuoteOriginally posted by: mathmarcQuoteOriginally posted by: miscelania Do you know from any reference books or papers?A standard model to do it is Hull-White one factor (also called extended Vasicek or Gaussian HJM). An efficient implementation of it is proposed in Bermudan Swaptions in Gaussia...

<r>QuoteOriginally posted by: nezumihttp://<URL url="http://www.finmod.co.za/Hagan_West_curves_AMF.pdftotally">www.finmod.co.za/Hagan_West_curves_AMF.pdftotally</URL> outdated, not to mention uri ron, that's even worse. things are on the move in yield curve land and it's a good thing!the best place ...