try time dependend heston model with multifactors... try to see if it can price rate exotics like cms spread range accrual swaps in line with market...

分形市场中的利率期限结构，呵呵

7# jumboichigo
Its difficult to get the market prices of cms spread range accrual swaps because of illiquidity, then how to check?

check papers from vladimir piterbarg...

10# jumboichigo
I have read some papers of piterbarg, which one do u mean? thx in advance

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

anybody implemented those models in production? how stable are the model parameters?

second one yes... the first one i m not sure...

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

13# irvingy
have implemented, the stability of greeks is most challenging

12# jumboichigo
thx a lot

16# kenan0929

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

18# jumboichigo
dont know which models banks are using. I dont consider vol smile in my model.

15# bn9492
I agree with u specially for ABS, are u a participant in the industry?

if no vol smile a lot of things can go wrong...

21# jumboichigo
I agree...Its difficult to me to consider vol smile in libor market model.  do u take smile in ur interest rate model?

i never build one... hahaha...

利率期限结构