8,259 reputation
931
bio website bachelierfinance.org
location United States
age 45
visits member for 3 years, 9 months
seen yesterday

Worked in a lot of quant areas


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?
Aug
10
comment Discretization Schemes
I think your bias is reduced for every dimension in which you are using Milstein. But, if the two processes have "canceling" effects on the final result, you might be better off matching their discretization even if the match must be done at Euler level.
Jul
17
comment Arbitrage free implies complete market?
One often thinks of the cost of entering a position as the quantity $q$ times the difference $\nu$ between the offer (bid) and the midpoint. If the spread is $h$ then $\nu=h/2$, so I call it a half-spread.
Jul
17
answered Arbitrage free implies complete market?
Jul
2
awarded  Curious
Jul
1
comment What are the unfair order execution/routing advantages HFT firms apparently have?
It's probably worth adding that off-exchange (dark) pools, of which IEX is one, can make their own rules. IEX is not the only such entity violating price-time. Some dark pools subdivide their traffic into sub-pools according to client type, etc.
Jun
30
comment Self-financing and Black-Scholes-Merton formula
@Hansen unfortunately, as I say, ignoring the LCP is a "practioner thing" so references are rare. For example, I recall Monis doing this up through at least version 8.0, but to find out that fact I had to talk to the quants -- it was not in the documentation. Similarly for various internal investment bank pricing libraries. As to the policy iteration, I first saw a reference somewhere on the Wilmott forums around 2009(?), so you might start there.
Jun
27
comment Self-financing and Black-Scholes-Merton formula
PSOR tends to iterate the underlying Gauss-Siedel solver several times, especially if it hasn't been preconditioned with the "european" solution based on the naive exercise boundary (NEB). Many or most practitioners go to the extreme of completely ignoring the LCP and just applying the NEB, which introduces a fairly tiny error for most payoffs. A more efficient algorithm than PSOR to do this "right" is policy iteration.
Jun
27
answered Combining BHHH and Levenberg Marquardt
Jun
27
answered Common point between IR and Vol option pricing models?
Jun
27
comment Self-financing and Black-Scholes-Merton formula
Good document, though as a practical matter PSOR is not a good algorithm to solve the LCP.
Jun
27
answered Self-financing and Black-Scholes-Merton formula
Jun
16
answered What different techniques exist for modeling exotics near payoff discontinuities in Finite Difference method?
Jun
11
awarded  Nice Answer
May
27
comment Introducing credit risk to an already implemented interest rate model
You've basically already got it, though in most cases one assumes a deterministic term structure of credit spread, rather than making a stochastic model for it.
May
24
revised Create optimal portfolio by Treynor and Jensens Alpha
min variance
May
21
awarded  Custodian