150 reputation
8
bio website
location
age
visits member for 3 years
seen Aug 17 at 20:40

Jul
11
awarded  Supporter
Jun
24
awarded  Critic
Jun
12
awarded  Tumbleweed
Jun
5
revised Girsanov theorem in CMS convexity derivation
added 456 characters in body
Jun
5
asked Girsanov theorem in CMS convexity derivation
May
5
comment What is the hedging underlying of MBS
What do you mean by optimal monte carlo? Duration matching is usually the standard. I know some also use swaptions to match the increase in the swap yields (which is linked to prepayment speed)
Mar
24
comment List of financial derivatives Ito's Lemma does not apply
American, ok. Can you explain why prices cannot be following a process derived through Ito? It is not clear to me which underlying Ito assumption is broken by the early exercise
Mar
23
comment List of financial derivatives Ito's Lemma does not apply
@pbr142 There is a version of the Ito process for the discontinuous stochastic processes. Yes the question is about the price of a derivative, not the final payoff. The discontinuity in the final payoff does not limit the application of Ito derivatives to figure out the price of an option.
Mar
23
awarded  Editor
Mar
23
comment List of financial derivatives Ito's Lemma does not apply
where $df(X_t)$ is not following Ito diffusion process
Mar
23
revised List of financial derivatives Ito's Lemma does not apply
added 43 characters in body
Mar
22
comment List of financial derivatives Ito's Lemma does not apply
Please give an example real trade that we cannot use Ito. Here I believe one considers the value of the derivative from initiation to final time point. Thus discontinuity at maturity does not make application of Ito inappropriate
Mar
22
asked List of financial derivatives Ito's Lemma does not apply
Mar
8
awarded  Commentator
Mar
8
comment Which interest rate model for which product
It is known that once you start to estimate the dynamics more than weeks at most a month, any of these models will fail. Thus even though the risk management portfolio is the most complicated beast, practical applications of LMMs, and SABRs are limited.
Mar
8
comment Which interest rate model for which product
The model to use depends on the purpose of the pricing. If you're long and short caps at different maturities, you need a model that captures the term structure of volatilities. If you are trading out of money vols, then you need a model that captures the volatility vs strike dynamics. In reality the risk management applies to the whole portfolio, thus you can say models should be most complicated to capture the dynamics between the different factors. Though there is a trade-off of the model risk.
Mar
7
comment How to prove that markets are incomplete under the Stochastic Volatility model?
The volatility change of $dS$ does not make process of $S$ non martingale. It needs to add a drift to $dS$. I think you need to clarify that point
Mar
5
comment measuring the performance of round-trips on stocks
what is your funding cost?
Mar
4
comment How to calculate modeled asset volatility by industry factor?
Is this question about GCorr? If so, yes it uses a factor model approach. moodysanalytics.com/~/media/Insight/Quantitative-Research/…
Mar
3
comment Linear-Boundary Crossing Problem for Brownian Motion
Wierd that you are posting links and saying my answer with links is not good cause links die :)