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Apr
17
answered How to compute Implied Volatility Calculation?
Apr
17
revised How to compute Implied Volatility Calculation?
imply --> supply
Apr
16
awarded  option-pricing
Apr
11
answered Statistics of difference between two GBMs
Apr
9
comment Foward-start option pricing
Is this homework?
Mar
21
answered Credit risk data
Feb
24
comment Why FX Vanilla Options are quoted in volatility
In addition to OTC options, there exist a few other markets where quoting conventions are in terms of a (standard) model rather than on true price. High-grade corporate CDS and bonds are quoted in spread terms, CDX are quoted in bond-like price terms, tranche protection in implied correlation terms, and convertible bonds in price/delta/underlying terms. And for exchange-traded contracts, we have eurodollar futures which are quoted as an affine transformation of LIBOR.
Feb
11
awarded  Nice Question
Feb
8
awarded  Yearling
Feb
5
answered Intangible assets as underlying for Futures contracts
Jan
23
comment Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
They're sometimes called "power contracts" and though I've known them to be coded into the pricing libraries of at least 2 big investment banks, I've never seen one on the books.
Jan
22
revised Other means of calibrating Heston models
added 133 characters in body
Jan
22
answered Other means of calibrating Heston models
Jan
13
comment What data transformations to use in regression of credit spreads on equity prices?
I agree with Freddy here. There's too much going on to expect any kind of reasonable predictive outcome from VAR or GARCH.
Jan
13
answered What data transformations to use in regression of credit spreads on equity prices?
Jan
8
answered Why is short term implied volatility typically higher?
Dec
30
revised Fastest algorithm for calculating retrospective maximum drawdown
added 64 characters in body
Dec
30
answered Fastest algorithm for calculating retrospective maximum drawdown
Dec
30
comment Fastest algorithm for calculating retrospective maximum drawdown
You should probably clarify your question. Most readers are assuming you are asking about retrospective maximum drawdown, whereas I infer from the PDF you want to compute an expectation of it.
Dec
28
comment Yield Curve Volatility
Well, it obviously depends on the estimation error size, doesn't it? Once you have defined your interest rate and credit spread dynamics, and somehow quantified your estimation error, this is a very simple discrete optimization problem.