Hull & White CDO model implementation

jenniferlwj · September 26th, 2005, 5:18 pm

Andrew,So, can you replicate result EX8. first and second column (which reduces to Gaussian Copula)?Thanks.

aharvey8 · September 27th, 2005, 4:10 pm

mf42,I'm still thinking about your comment. You may be right, as my results for some of the lower mezz tranches do look a bit off. I'll write back when I've had a chance to look at the problem again.Andrew

wbenard · November 21st, 2005, 2:05 pm

A question perhaps slightly offtopic: if I would try to reproduce a certain model, either based on this one or on another CDO paper, how could I test to see how it performs? For instance, is there any public available market information of certain deals, where I can compare my results for spreads and prices with for instance market data about spreads and prices?

baky · December 10th, 2005, 4:12 am

Can any body send me a copy of solution manual for Econometric Analysis by Greene , 5th edition

diwu2008 · December 17th, 2005, 2:46 am

Does anyone have information on whether there is c++ code for CDO/CDS pricing available? QuantLib does not have anything related to CDS/CDO yet. It would be a great help if someone can share their code.

lazuks · September 4th, 2006, 9:05 am

hi ljacoany chance to get the Hull CDO recursive implementation in VBA from youwould greatly appreciatesergei

aaago · December 19th, 2006, 2:31 am

anyone who finished this model please send this model I am really confused about itmy e-mail adress:g92515019@ccu.edu.tw

tarunmakhija · December 31st, 2006, 6:26 am

Hi,Would be great if someone who has finished the model can email it to me at: tarun.makhija@gmail.com ..Thanks,Tarun

vineetk05 · January 9th, 2007, 11:19 am

Does anyone have a copy of "I will Survive" paper by Gregory and Laurent which appeared in Risk 2003.. it has been referred at many places.. and appears quite interesting from the abstract (it is mentioned that there is a "significant" improvement in calculation of deltas).. the site of the risk magazine mentions about a free trial but doesnt provide it.. TIA