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Nov
27
revised Why do volatility and correlation increase in times of crisis?
fix variable, better explain
Nov
27
answered Why do volatility and correlation increase in times of crisis?
Nov
20
comment Is marginal probability of default the same as conditional probability of default?
As a minor quibble, there is good reason to prefer a different definition of the hazard rate as the generalized derivative of the cumulative default probability, consistent with measure theory in general.
Nov
16
comment Implied volatility of a complex options position
Sometimes people take the implied vol of a complex position like this to see what "vol" a market-maker is charging them for a package.
Nov
16
answered Stopping Monte Carlo simulation once certain convergence level is reached
Nov
5
revised Sobol numbers in monte Carlo simulation
added 220 characters in body
Nov
5
answered Sobol numbers in monte Carlo simulation
Nov
5
answered Is it possible to detect a belief that a security will peak and then decline by analyzing American options pricing?
Nov
5
comment Delta Volatility Surface Usage to value the option
This question is rather unclear; I cannot tell what it's really asking.
Oct
30
awarded  implied-volatility
Oct
27
comment Boundary conditions: Dirichlet vs Neumann
I had to look up Robin boundary conditions just now. I have never seen them used in finance (and I've seen a hell of a lot of PDE solvers in my day). It's definitely valid, but you would have to quantify what you mean by a "better" approximation before trying to judge its potential advantages. The disadvantages are obvious: (1) another degree of freedom (relative weight) to hassle with in the PDE solver and (2) combined complexity of both Dirichlet and Neumann terms. Overall, I'm skeptical about its value.
Oct
27
answered Boundary conditions: Dirichlet vs Neumann
Oct
22
comment pricing american calls on non dividend paying stocks
Who is this "we", kemosabe?
Oct
21
answered Applying interest rate models for volaility rate
Oct
20
comment Callable bond pricing
I am not referring to this particular bond, but rather to the fact that when these cases pop up it is usually because the company is a sufficiently good credit that they could cal the outstanding bond away and issue a new one in its place at a somewhat lower interest rate, thereby saving themselves some money.
Oct
19
answered What is wrong with this argument?
Oct
19
answered Callable bond pricing
Oct
16
answered Can CreditGrades CDS Pricing Model be used for financial firms?
Oct
14
answered Why is Vega meaningful only for options which have single-signed gammas
Oct
14
comment How to find the fx lookback floating/fixed strike options prices?
These are exotics. I don't think even a Bloomberg feed would help you find prices. Instead, you will need to find a friend at an investment bank and convince them to let you use some data. For volatilities you could use vol surfaces of vanilla options.