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Jun
26
answered Option Pricing Model Calibration In Practice
Jun
18
comment How do you deal with Inflation lag in a MC simulation?
Thanks for your answer. Yes, I've accounted for the lag in payment and fixing, but that's not the part I'm having trouble with. In your last paragraph you mention "... referred or interpolated from the published index levels ...". I don't fully understand what you mean by that... Do you perhaps suggest some form of extrapolation from the April month to infer the June 1st level?
Jun
16
asked How do you deal with Inflation lag in a MC simulation?
Jun
14
awarded  Enlightened
Jun
14
awarded  Nice Answer
May
30
comment Speeding up computations: when to use Quasi and standard Monte-Carlo in pricing
Yes, thanks. I corrected it.
May
30
revised Speeding up computations: when to use Quasi and standard Monte-Carlo in pricing
added 1 character in body
May
30
answered Speeding up computations: when to use Quasi and standard Monte-Carlo in pricing
May
30
comment Implied Vol vs. Calibrated Vol
Implied vol always refers to "the volatility you plug into the BS equation to get out the price". The price can be the market price or it can refer to option prices predicted by other models. It depends on the context.
Apr
28
revised (Re) normalisation of random variable in Monte-Carlo simulations
added 3 characters in body
Apr
28
awarded  Student
Apr
27
revised (Re) normalisation of random variable in Monte-Carlo simulations
added 924 characters in body
Apr
27
answered (Re) normalisation of random variable in Monte-Carlo simulations
Apr
25
revised A problem involving random walks from Shreve
added 2 characters in body
Apr
25
answered A problem involving random walks from Shreve
Apr
22
answered KeyError in Python code used to determine a trade signal for Pair Trading
Apr
11
answered Compute the (Net) Present Value
Apr
11
revised Determining swaption prices using the characteristic function
edited title
Apr
11
asked Determining swaption prices using the characteristic function
Apr
11
answered Identity given in Shreve volume 1