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seen May 2 at 17:15

Nov
28
answered Treasury Bond Yield Curves in R
Dec
20
comment How to apply quasi-Monte Carlo to path-dependent options?
How do you generate a process that produces the desired density? The only method I've seen to go beyond 1st order Euler is Milstein's 2nd order scheme, but I've also seen writeups that suggest that it doesn't work in more than 1 dimension.
Dec
20
comment Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
Getting a prob > 1 (or < 0) means that you've chosen your lattice spacing in a way that makes the algorithm numerically unstable.
Dec
19
answered Value of option-free instruments with a short-rate model vs the spot curve
Dec
12
awarded  Teacher
Dec
12
answered How to interpolate gaps in a time series using closely related time series?