228 reputation
1319
bio website
location Singapore
age 37
visits member for 2 years, 9 months
seen Dec 16 at 17:34

C'est par la logique qu'on démontre, c'est par l'intuition qu'on invente.


Oct
30
awarded  Popular Question
Oct
17
awarded  Famous Question
Sep
26
asked how to determine the Cost of Fund (FTP rate) for Saving Account?
Sep
24
awarded  Autobiographer
Sep
21
comment Why is two-factor model so popular for bond futures?
I guess I got it. Thanks for sharing!
Sep
21
comment Why is two-factor model so popular for bond futures?
interesting ! Now I see it makes sense -- actually this is to model the credit spread, is it? The base interest rate curve is given.
Sep
19
comment Why is two-factor model so popular for bond futures?
Directly? I thought there shall always be something like LMM or HJM behind it. Mind to elaborate a bit ?
Sep
19
comment Why would there be a positive risk-free rate?
I don't understand your question -- why it cannot be allowed to be positive?
Sep
19
comment What is some prerequisite book that can help me to read “mathematical methods for financial markets”
Chapter 1 of the book actually listed the math prerequisite. If that's still deep, try Shreve's "Stochastic calculus for finance"
Sep
19
comment Why is “full” Yield Curve (term structure of interest rates) 3 component based?
the highest credit quality...
Sep
19
comment Why is two-factor model so popular for bond futures?
nice said. just curious, if not short-rate models, which ones are you using? LMM?
Sep
19
comment What is some prerequisite book that can help me to read “mathematical methods for financial markets”
amazon.com/Mathematical-Methods-Financial-Springer-Textbooks/dp/…
Sep
19
answered Why would there be a positive risk-free rate?
Sep
18
accepted Girsanov Theorem and Quadratic Variation
Sep
18
asked Girsanov Theorem and Quadratic Variation
Sep
10
comment Filtration and measure change
ok, how about like this: i'll delete the post here. and see what will come out on math SE (not to waste the 400 bonus points). afterwards, if there's no good answer, i'll post here again.
Sep
10
comment Filtration and measure change
@SRKX i don't know man, martingale representation, filtration, measure, such are actually general math concept, of course, quants need know them. i just started a bounty in math SE, try to draw attention.
Sep
10
asked Filtration and measure change
Sep
1
comment When Fed stops QE, Treasury Futures will go down in price, so… LEAP Puts are a good idea?
I don't understand point 5... anyone could elaborate a bit?
Aug
21
comment what is General IB2 Restriction in Basel II credit risk model
thanks a lot! now i got it