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23h
awarded  Nice Question
Feb
8
awarded  Yearling
Jan
30
comment What causes the call and put volatility surface to differ?
You can throw it into the objective function, but typically the errors are within the bid-offer spread. When they are not, that generally implies that you should be using a better borrow rate, which can be calibrated either as part of the overall vol surface fit, or in a separate pre-calibration stage that only looks at parity. Also worth noting is that, usually one calibrates (almost) exclusively to the out-of-the-money options.
Jan
29
revised What causes the call and put volatility surface to differ?
formatting
Jan
27
awarded  Nice Answer
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