SPA model - Sidenius Piterbag Andersson

Kasparov · February 2nd, 2006, 7:23 pm

Has anyone managed to get the white paper on this - Vladamir, Jakob, Leif - if you can share this

piterbarg · February 3rd, 2006, 11:27 am

QuoteOriginally posted by: KasparovHas anyone managed to get the white paper on this - Vladamir, Jakob, Leif - if you can share thisno need to trade in bootlegged copies, the paper is publicly availablehttp://defaultrisk.com/pp_model_83.htm-V

Corgan · March 21st, 2006, 6:51 am

Is there any (matlab) code avaible on the SPA framework, or a Forward Loss Model in general, that anybody can/wants to share ?As one of the co-authors is on this forum, I thought it was worthwile to give it a try ...thanks for any reply,Corgan

piterbarg · March 23rd, 2006, 12:17 pm

QuoteOriginally posted by: CorganIs there any (matlab) code avaible on the SPA framework, or a Forward Loss Model in general, that anybody can/wants to share ?Corganwe don't have any, sorryVladimir