8,379 reputation
931
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 10 months
seen 11 hours ago

Worked in a lot of quant areas


Dec
3
comment Deriving credit spreads or migration matrices from prob of default
Good ideas. One could quibble about whether they amount to "deriving" a transition matrix, but they do end up with an answer.
Dec
2
revised Deriving credit spreads or migration matrices from prob of default
add example
Dec
2
comment Deriving credit spreads or migration matrices from prob of default
I can give a simple example....
Dec
2
answered Deriving credit spreads or migration matrices from prob of default
Dec
1
answered Create 10-K Filing Database
Nov
25
answered How to estimate the greeks with a Monte Carlo simulation?
Nov
24
answered Index for Hedge fund, Private Equity, Venture Capital
Nov
21
answered Why gamma for ATM option decreases as volatility increases
Nov
8
comment How to derive the implied probability distribution from B-S volatilities?
In derivatives pricing the term "model-free" is shorthand for "does not arise from any particular SDE".
Oct
31
comment (Beginer on bond market) References on callable bond's pricing
Mark is too shy to plug his own books, but they are well worth picking up!
Oct
30
answered (Beginer on bond market) References on callable bond's pricing
Oct
30
awarded  Nice Answer
Oct
21
answered Hedging bond with CDS of different maturity
Oct
17
comment What are the properties of the Expected Shortall measure when split in multiple time periods?
Agree...without an SDE for returns, you cannot relate ES over two time periods. That said it would be a very odd case that would have $ES_T > ES_{T+t}$
Oct
14
revised CDS Spread and Par Bond Yield Spread
add section on const int rate
Oct
13
comment CDS Spread and Par Bond Yield Spread
To be fair, you've edited the question multiple times. In any case perhaps someone else will answer your question -- I am too unfamiliar with its origins and not interested in a research project.
Oct
13
comment CDS Spread and Par Bond Yield Spread
The mixup I perceived is that the nobody (so far as I ever met in either these markets and higher-rate regimes) ever reckoned that credit default swap (CDS) spread should approximate the risky par bond yield, mainly since (as you note) the risk-free rate needs to be added to it. (Including discrete coupons and working in integral space be $B,P$ introduces unneeded complexity to that aspect of the calculation). Perhaps you should cite the source of your folklore: it may be they are pretty dubious folk.
Oct
12
answered CDS Spread and Par Bond Yield Spread
Oct
2
revised Portfolio Turnover Constraint
added 1 character in body
Oct
2
answered Portfolio Turnover Constraint