[学科前沿] 利率曲线校验 [推广有奖]

11楼

stoneyl 发表于 2012-7-5 19:32:39

floydgyf 发表于 2012-7-5 18:58
sorry, i still cannot understand what is calibration. counld you give some more friendly illustrat ...

well.........I would kindly suggest you to find a academic book to start with.

generally spreaking calibration is to fit your model parameters to market observable instrument prices so your model can price such instruments to its marked to market value..the process normally invovle heavy numerical routine and optimization method which are one of the most chanllenging task in practice.

12楼

floydgyf

发表于 2012-7-5 22:05:13

stoneyl 发表于 2012-7-5 19:32
well.........I would kindly suggest you to find a academic book to start with.

generally spreak ...

I really appreciate your help!
but still I am wondering what is the difference between econometric and calibration?

13楼

stoneyl 发表于 2012-7-6 09:11:22

floydgyf 发表于 2012-7-5 22:05
I really appreciate your help!
but still I am wondering what is the difference between econometri ...

econometric and calibration???

Are these two concepts even comparable??!!! Now I am starting to wonder that are we talking about the same stuff......

http://www3.iam.metu.edu.tr/iam/images/0/0a/Preprint99.pdf