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by spv205
May 10th, 2004, 8:12 pm
Forum: Technical Forum
Topic: Basic Libor Market Model
Replies: 4
Views: 189855

Basic Libor Market Model

<t>Germozyou are evolving ALL forward rates simultaneously in the Libor Market Model - the spot forward rate does not become the 12 month into 12 month rateT f1 f2 f30 3% 3.4% 3.8%1 x 3.6% 3.7%2 x x 3.5%in the formula you quoted the indices on f are fixed from your initial time point- f3, for instan...
by spv205
April 27th, 2004, 7:45 pm
Forum: Technical Forum
Topic: asymptotic analysis to stochastic interest rate models
Replies: 6
Views: 189896

asymptotic analysis to stochastic interest rate models

Markov Interest Rate Models by Pat HaganThe paper should be around in the forum
by spv205
April 27th, 2004, 7:37 pm
Forum: Technical Forum
Topic: Soluton to a HW/HW/Black model
Replies: 2
Views: 189789

Soluton to a HW/HW/Black model

I would look at interest rate models, theory and practise [Brigo and Mercurio]- chapter 12, pricing equity derivatives under stochastic ratesthere they go through the equations (with only one interest rate)
by spv205
February 12th, 2004, 8:04 am
Forum: Technical Forum
Topic: Swaption Pricing in Affine Framework coding collaboration
Replies: 31
Views: 191264

Swaption Pricing in Affine Framework coding collaboration

I'd be happy to look at the code
by spv205
January 13th, 2004, 5:17 pm
Forum: Book And Research Paper Forum
Topic: Neural Network Book
Replies: 26
Views: 195502

Neural Network Book

<t>I agree with SciLab GuruLevenberg-Marquardt is just an optimisation method - it doesn't change the nature of the estimation problem you are solving.The problem is thisfinancial time series are noisy and non stationarywhat this means is that you need as simple a model as possible a) to average out...
by spv205
December 3rd, 2003, 8:35 am
Forum: Technical Forum
Topic: Numerical recipes in VBA
Replies: 11
Views: 190925

Numerical recipes in VBA

<r>As mentioned by other people you generally wouldn't want to use VBA for speed considerations.A halfway house for the optimisation etc is to use VBA callbacks- that is presumably the only reason to implement in VBA, so you can do your optimisation on an arbitrary function written in VBA rather tha...
by spv205
August 21st, 2003, 5:03 pm
Forum: Technical Forum
Topic: SABR VBA Anyone
Replies: 8
Views: 192858

SABR VBA Anyone

<t>Note that Rookie 2's code is missing a bracket on the SABR3 variable sabr3 = 1 + ((((1 - beta) ^ 2 / 24) * alpha ^ 2 / (forward * k) ^ (1 - beta)) + 0.25 * rho * beta * volvol * alpha / ((forward * k) ^ (1 - beta) / 2) + (2 - 3 * rho ^ 2) * volvol ^ 2 / 24) * time should be sabr3 = 1 + ((((1 - be...
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