The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
1answer
107 views

Do you have a validation set for Libor Market Model implementation?

I'm trying to calibrate a Libor Market Model (LMM) in Matlab with my user-defined function, not their package. I already fitted the market volatilities using SABR but failed to simulate the ...
0
votes
1answer
37 views

Limits on Short selling

When back testing an algorithm that relies upon short selling certain stocks, how to limit the short selling so that the back-test results still remain reliable? What kind of controls are generally ...