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| bio | website | |
|---|---|---|
| location | ||
| age | 54 | |
| visits | member for | 1 year, 5 months |
| seen | Jan 7 at 22:19 | |
| stats | profile views | 6 |
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Nov 28 |
answered | Treasury Bond Yield Curves in R |
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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. |
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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. |
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Dec 19 |
answered | Value of option-free instruments with a short-rate model vs the spot curve |
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Dec 12 |
awarded | Teacher |
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Dec 12 |
answered | How to interpolate gaps in a time series using closely related time series? |
