Hi Jessica,
Well, I haven't gotten your book yet, although I got the two others. Just
now, my web server is down, so perhaps you as the author can answer my
questions directly. Does your book cover how to calibrate multi-factor
models of the HJM and/or BGM type? I am not talking about the two pagers you
can find in virtually any book about minimising some objective function, but
I want to read about the real issues, the nitty-gritty stuff. For instance
how to calibrate a multi-factor HJM so that it can price Bermudan Swaptions.
Which instruments should we use? How do we estimate the volatility surface?
Issues relating to the correlation structure. Experiences and hints
regarding Monte Carlo simulation. And for each of this, comparison with
different methodologies. This sounds like a big mouthful, but we are now,
what, 15 years down the road since the first books appeared on the market
dealing with interest rate modeling issues in a more rigorous way. In 15
years, not much has been produced in text book form which is of much use
when it comes to the real issues. It probably will need a PhD arb trader
with lots of model experience (and the will to talk about it) to write such
a book, which may well take another few years. If your book even only
partially addresses the above issues or even if it tells me much more about
calibration than fitting a one-factor Vasicek, I would call it a buy.
All the best,
Gilbert
----- Mensaje original -----
De: <[log in to unmask]>
Para: <[log in to unmask]>
Enviado: 28 June 2000 15:35
Asunto: RE:
>
>
> ... and for 679 pages of interest rate models, calibration and even some
> analytic expressions for bond options, get my new book, Interest Rate
> Modelling, published by Wiley.
>
> apologies for the advertising but I think it ought to have what you
> need. Riccardo Rebonato's book, Interest Rate Option Models, and the
> latest Hull might also be useful.
>
> Jess
>
>
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