8,164 reputation
931
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 8 months
seen 1 hour ago

Worked in a lot of quant areas


11h
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
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Oct
2
answered Portfolio Turnover Constraint
Oct
1
answered Interpolating probabilities of default
Oct
1
answered Is it possible that a security with a positive variance can have a required return that is less than the risk free rate?
Sep
28
comment negative transition probabilities in the heston model
I can't really comment on the paper or the tree discretization in it, but trees seem like a pretty crazy way of solving the Heston PDE compared to implicit finite differences.
Sep
18
comment Solving Black-Scholes PDE using Laplace transform
It's perfectly legitimate to use the Laplace transform (and vonjd's linked paper does a fine job), but I've personally always preferred to solve the PDE by changing variables until the PDE turns into the standard diffusion equation.
Sep
15
revised What is Base- vs. Implied Correlation of a CDO tranche?
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Sep
12
revised What is Base- vs. Implied Correlation of a CDO tranche?
added 445 characters in body
Sep
12
comment What is Base- vs. Implied Correlation of a CDO tranche?
By "correctly price" I meant "matches the market price of". I'll update.
Sep
11
answered What is Base- vs. Implied Correlation of a CDO tranche?
Aug
12
revised CDS - Accumulated Default Risk?
added 1014 characters in body
Aug
12
comment CDS - Accumulated Default Risk?
I agree, and will add a section on capital structure.
Aug
10
answered CDS - Accumulated Default Risk?