ISO: MC simulation for BDT or HJM on Excel

i818789 · March 26th, 2003, 8:17 pm

Anyone can help me out on this ?1-factor for HJM is good enough.Thanks

Jet · March 27th, 2003, 8:22 am

MC simulation part for BDT should be simple as in other models as long as SDE parameters are given. But: how do we get the parameters when no closed form solution for any derivatives instruments is given and calibration is almost always done by constructing binomial tree? Use the ones calibrated using binomial tree? Or use the historical one? Or we calibrate the model in a monte carlo way?