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July 6th, 2012, 1:47 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: MattNowakQuoteOriginally posted by: outrunMattNowak, .. the 3rd section on the main Wikipedia article on the Hull & White model has the title "Bond pricing using the Hull&White model". Is that what you have been looking for?Thanks for the response. That derivati...
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July 6th, 2012, 1:38 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: outrunI dont agree that modems that admit illogical configurations are wrong.All models have that issue, and last years illogical is today's logical. Eg I've just finished a client project who wanted a model that allowed for negative rates, because all those positive ra...
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July 6th, 2012, 9:47 am
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: miquantYour question makes no sense ...I told you how to get the bond price ... If you can derive the bond for Vasicek model (I hope you can), it is the same with time dependant parameters, do we really have to write to you all the equations and steps to get to the bond...
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July 6th, 2012, 9:31 am
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<r>QuoteOriginally posted by: MattNowakHello, could someone please point me to a paper with analytic zero-coupon bond prices for a single-factor hull white model where volatility is a (deterministic) function of time?i.e. dr(t) = (theta(t) -alpha(t) r(t))dt + sigma(t) dW(t)The original paper <URL ur...
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July 6th, 2012, 12:55 am
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>QuoteOriginally posted by: MattNowakSo does anyone have any insight into my original question, or is this thread doomed to be a collection of incoherent ramblings?In statistics we need observations to test a model with unknown parameters. If we assign n observations over [ t - h , t ] and find al...
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July 5th, 2012, 8:47 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>the stochastic models that represent Gaussian interest rate are theoretically incorrect in general. They are similar to the case that admits either negative or positive y for the function ln y . one can use a model only for value for which it make sense. I remember when we began to study calculus...
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July 5th, 2012, 7:44 pm
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<t>If we write equations and use mathematics to use models that admits case that does not make sense does not look good . Nevertheless it can be used as an approximation. In this case one need openly state that they define a probability level say 0.95 and if parameters of the equation satisfy an ine...
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July 5th, 2012, 9:18 am
Forum: Technical Forum
Topic: Analytic Bond prices for Hull White single-factor with time-dependent volatility
Replies: 41
Views: 22048

Analytic Bond prices for Hull White single-factor with time-dependent volatility

<r>QuoteOriginally posted by: MattNowakHello, could someone please point me to a paper with analytic zero-coupon bond prices for a single-factor hull white model where volatility is a (deterministic) function of time?i.e. dr(t) = (theta(t) -alpha(t) r(t))dt + sigma(t) dW(t)The original paper <URL ur...
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July 5th, 2012, 6:46 am
Forum: General Forum
Topic: Ex-Barclays Fixed income trader wanted
Replies: 3
Views: 12557

Ex-Barclays Fixed income trader wanted

<t>It is not a big problem to understand whats going on around Libor."Throughout 2007 and 2008, no institution of the 16 banks reporting three-month dollar Libor was at the higher end more consistently than Barclays. Barclays was getting questions about why it was always high and we were saying, " W...
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July 4th, 2012, 9:37 pm
Forum: Student Forum
Topic: why not allow arbitrage?
Replies: 7
Views: 12311

why not allow arbitrage?

<t>you probably 1st need to specify the meaning of the notions: price and arbitrage. For example in theory there is no arbitrage between deterministic bond and stochastic stock. Nevertheless it is quite common point that spot price is EPV of the future cash flow. Though cash flow of the stochastic s...
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July 4th, 2012, 7:25 pm
Forum: Technical Forum
Topic: A mathematical model of manipulated interest rates
Replies: 43
Views: 17578

A mathematical model of manipulated interest rates

<t>manipulations here are the actions probably illegitimate taking to change Libor value. there is no math in such manipulations. One can use math to prove existence of manipulations though it looks not in this case. below are some thoughts picked from an article. I suspect the proximate cause is th...
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July 4th, 2012, 10:30 am
Forum: Brainteaser Forum
Topic: U.S. Treasury Debt Puzzle
Replies: 19
Views: 15887

U.S. Treasury Debt Puzzle

<t>QuoteOriginally posted by: gardener3QuoteOriginally posted by: listI don't know what getting $1 at T means. //// It means buy bond at t, say t = 04/ 04 / 12 with maturity T , say T = 06/01/12. Then the rate between T and t is by definition a discount rate between two dates.If you meant 1 = E[disc...
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July 4th, 2012, 9:19 am
Forum: Technical Forum
Topic: A mathematical model of manipulated interest rates
Replies: 43
Views: 17578

A mathematical model of manipulated interest rates

<r>QuoteOriginally posted by: MartinghoulQuoteOriginally posted by: listif the distence between Barclays and Libor is the largest then this rate should be rejected from the calculation of the Libor. On the other hand banks outside of the panel probably have larger distence to Libor and they did not ...
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July 3rd, 2012, 7:36 pm
Forum: Technical Forum
Topic: A mathematical model of manipulated interest rates
Replies: 43
Views: 17578

A mathematical model of manipulated interest rates

<t>if the distence between Barclays and Libor is the largest then this rate should be rejected from the calculation of the Libor. On the other hand banks outside of the panel probably have larger distence to Libor and they did not be claimed for manipulation and it looks that publicly presented data...
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July 3rd, 2012, 6:52 pm
Forum: Student Forum
Topic: Stochastic Calculus Question
Replies: 2
Views: 11859

Stochastic Calculus Question

<t>Such problems is usually proved by assuming 1st that H is uniformly bounded by non random a constant stepwise function. Then we need iniform integrable statement of the sum of the differences ( X ( i+1) - X ( i ) )^2 - <X , X > . For say Wiener process it follows from existing higher moments. Nex...