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by BLOBY
December 22nd, 2005, 4:25 pm
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

Ok. I try to use Matlab for clustering analysis ; I have downloaded a file called DoClustering by David Corney. But it doesn't work. Do you know this file ?
by BLOBY
December 22nd, 2005, 3:37 pm
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

THANKS A LOT f95abl ;by curiosity, for which application in finance do you use matlab?
by BLOBY
December 22nd, 2005, 12:00 pm
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

xlswrite is not in the Matlab help ... Do you know the syntax for this function ?
by BLOBY
December 21st, 2005, 1:57 pm
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

Thanks a lot f95abl, but xlswrite doesn't work. I don't know why..
by BLOBY
December 20th, 2005, 2:56 pm
Forum: Technical Forum
Topic: MATLAB, Clustering and Excel.....
Replies: 12
Views: 127488

MATLAB, Clustering and Excel.....

Hello everybody, does anybody know how is it possible to use clustering analysis with Matlab and how it is possible to export datas from Excel to Matlab and conversely ??Thank you in advance for your help.
by BLOBY
August 23rd, 2005, 11:50 am
Forum: Technical Forum
Topic: Bespoked CDOs Implied Correlation with Heston model
Replies: 8
Views: 140035

Bespoked CDOs Implied Correlation with Heston model

No, I just try to fit (standard tranches) smile correlations to a model, in order to extrapolate it for bespoke tranches ... like local correlations models.
by BLOBY
August 12th, 2005, 6:04 am
Forum: Technical Forum
Topic: Bespoked CDOs Implied Correlation with Heston model
Replies: 8
Views: 140035

Bespoked CDOs Implied Correlation with Heston model

My idea would be to take recovery rate as the underlying stochastic variable.
by BLOBY
August 11th, 2005, 11:44 am
Forum: Technical Forum
Topic: Bespoked CDOs Implied Correlation with Heston model
Replies: 8
Views: 140035

Bespoked CDOs Implied Correlation with Heston model

Yes, exactly.
by BLOBY
August 11th, 2005, 10:44 am
Forum: Technical Forum
Topic: Bespoked CDOs Implied Correlation with Heston model
Replies: 8
Views: 140035

Bespoked CDOs Implied Correlation with Heston model

Any ideas ??I know that a lot of quants use the methodology proposed by Andersen/Sidenius/Basu in the RISK November 2003 article and in addtional papers from Anderesen/Sidenius on this topic, but why did anybody adapt Heston model to credit correlation ?
by BLOBY
August 9th, 2005, 10:52 am
Forum: Technical Forum
Topic: Bespoked CDOs Implied Correlation with Heston model
Replies: 8
Views: 140035

Bespoked CDOs Implied Correlation with Heston model

Do you think it would be possible to use Heston model (1993) for Bespoked CDOs implied correlation calculation, in order to model the smile and the skew ???
by BLOBY
July 19th, 2005, 11:02 am
Forum: Numerical Methods Forum
Topic: Basket Option and Monte Carlo
Replies: 45
Views: 184111

Basket Option and Monte Carlo

Please make benefit from it everyone...
by BLOBY
July 8th, 2005, 12:42 pm
Forum: Technical Forum
Topic: Societe Generale's "Pricing CDOs with a smile" paper
Replies: 41
Views: 154037

Societe Generale's "Pricing CDOs with a smile" paper

Finally, does anyone try to implement Societe Generale's model ??
by BLOBY
June 28th, 2005, 1:50 pm
Forum: Technical Forum
Topic: Option on variance swap
Replies: 70
Views: 156778

Option on variance swap

In Dupire's article, where does this formula come ?
by BLOBY
May 30th, 2005, 1:27 pm
Forum: Technical Forum
Topic: Monetizing gamma
Replies: 3
Views: 147983

Monetizing gamma

no, there's no relation. On credit basket products, I try to capture credit volatility, with alternative strategies ( do not use standard delta hedged packages...).
by BLOBY
May 26th, 2005, 6:28 am
Forum: Technical Forum
Topic: Monetizing gamma
Replies: 3
Views: 147983

Monetizing gamma

If you don't understand my issue, consider a long position on iTraxx equity tranch delta hedged : is it a good way to sell iTraxx options for gamma monetizing ?
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