楼主: casa
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求:金融工程博士毕业论文研究方向(与利率有关的) [推广有奖]

11
kenan0929 发表于 2009-12-28 11:43:44
10# jumboichigo
I have read some papers of piterbarg, which one do u mean? thx in advance

12
jumboichigo 发表于 2009-12-28 14:32:16
Towards a multi-stochastic volatility model for CMS spread exotics. ICBI's Global Derivatives Conference, Paris 2006.
Quadratic Gaussian models for CMS spread options. ICBI's Global Derivatives Conference, Rome 2009

13
irvingy 发表于 2009-12-29 12:11:12
anybody implemented those models in production? how stable are the model parameters?

14
jumboichigo 发表于 2009-12-29 16:17:27
second one yes... the first one i m not sure...

15
bn9492 发表于 2009-12-30 09:33:11
感觉公司债最近比较火啊
公司债期限结构和信用风险应该有点搞头
或者ABS,现在银行对这个的需求比较大,资本金吃紧啊

16
kenan0929 发表于 2009-12-30 11:55:51
13# irvingy
have implemented, the stability of greeks is most challenging

17
kenan0929 发表于 2009-12-30 12:00:15
12# jumboichigo
thx a lot

18
jumboichigo 发表于 2009-12-31 10:13:52
16# kenan0929

u mean some banks uses two or more stochastic volatility factors?

19
kenan0929 发表于 2009-12-31 12:49:07
18# jumboichigo
dont know which models banks are using. I dont consider vol smile in my model.

20
kenan0929 发表于 2009-12-31 12:55:10
15# bn9492
I agree with u specially for ABS, are u a participant in the industry?

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