220 reputation
19
bio website
location Paris, France
age 26
visits member for 1 year, 9 months
seen 15 hours ago

Oct
16
asked Importance sampling for barrier option like pricing by Monte carlo
Oct
1
awarded  Curious
Sep
30
comment Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
@James: Thanks for your comment. That is not the case. However I just found a mistake in the transcription of the closed formula my code. I've written $\left(\frac{B}{X0} \right)^{2 \bar{\mu}}$ instead of $\left(\frac{B}{X0} \right)^{2 {\lambda}}$ which explain the scaling difference. Now the match is perfect!
Sep
30
revised Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
edited body
Sep
30
revised Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
edited body
Sep
30
comment Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
@YuliaV: You are absolutly right ! Of course I'm going to post it as soon as I have time to prepare it (change a little bit the notation for clarity sake). Anyway what about the formula ? Is there any mistake ? I think it's fundamental to check it also. And it's much quicker than check, run and eventually debug a code.
Sep
30
comment Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
@YuliaV: If I am underestimating it reducing $\delta t $ would just increase the difference between the values computed by the closed formula and those via Monte Carlo. I don't see how it could help. I'm running the simulation with a $\delta t $ 10 times smaller anyway. I am pretty much convinced that if there is a mistake of my part (and it's clearly the case) it is almost surely in the closed formula. So you you guys could check it would be great. I've done that uncountable times and after so many tries our looking on it is so biased that it's too hard to detect a simple mistake.
Sep
30
comment Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
@YuliaV: Thanks a lot for your hint. You suppose you meant $X_{n\delta t}> B$ and $X_{(n+1) \delta t}> B$, right? In this case I would be underestimating the probability of hitting the barrier before $T$ instead of overestimating it since I'm excluding a lot of paths in with the condition is satisfied. Am I right ?
Sep
30
asked Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
Sep
29
asked AT1 ratio, Core T1 ration and CET1 ratio
Sep
24
accepted Pricing a bond contract from the yield curve
Sep
19
revised Pricing a bond contract from the yield curve
added 795 characters in body
Sep
17
comment Pricing a bond contract from the yield curve
Thanks! I just realize that alone today then I came back to check your answer.
Sep
15
comment Pricing a bond contract from the yield curve
I don't have any information about the face value so I supposed that by default if nothing is mentioned about the face value we should consider it 1 and calculate the rate to multiply to the face value. Am I right? For the moment I am getting 0.19 which is not a coherent price at all.It should be at least higher than 1 obviously. Any guesses about a possible mistake I am doing? Maybe the spot rate are in % and should be divided by 100 what do you think ? That should make it bigger.
Sep
15
comment Pricing a bond contract from the yield curve
Also why the 0.5 in the formula?
Sep
15
awarded  Commentator
Sep
15
comment Pricing a bond contract from the yield curve
Thank you very much for your answer. I sill have a question. As you can see I don't have all necessary spot rates of the term structure. Check it for example for the 15 March 2017. We could approximate it very roughly for the closest rate available. Although as I said it sounds too rough. There is another way to do it or am I misunderstanding something maybe ?
Sep
12
asked Pricing a bond contract from the yield curve
Mar
30
comment Gamma vs. Volatility Risk
That's perfect for B&S model. But how to relate Vega and gamma a in more general context like local and stochastic vol. models ?
Mar
29
awarded  Promoter