1,016 reputation
211
bio website christian-fries.de
location Germany
age
visits member for 1 year, 9 months
seen Jun 6 at 19:18

See my homepage for some info about me.

Some of my projects:

  • finmath.net A Java library and spreadsheets with algorithms related to Mathematical Finance (e.g., curve calibration, Monte-Carlo simulation, Bermudan option pricing, American Monte-Carlo).
  • Obba A middleware to seamlessly use Java/Scala libraries from spreadsheets. Allows to use any Java library as a spreadsheet add-in.
  • Mathematical Finance (a book on some topics in m.f.)

8h
awarded  Explainer
Sep
24
awarded  Autobiographer
May
28
comment Rationale for OIS discounting for collateralized derivatives?
It appears you are thinking of a (call) option only. In that case: being that option short would be an example. A more natural example is that of a swap exchanging fixed rate C versus floating rate L, i.e. X = C-L (negative for high L). The swap could be a structured one with a complex coupon C, but the above applies for plain products as well.
Apr
13
awarded  Revival
Jan
5
awarded  Yearling
Dec
2
comment Why doesn't a simulated delta hedging process go to zero?
The link to the applet above works. The source code of the delta hedge is here: svn.finmath.net/finmath%20lib/trunk/src/main/java/net/finmath/… (there is also a delta-gamma hedge version in the same package/folder)
Sep
19
revised What's the algorithm behind Excel's ACCRINT?
added 246 characters in body
Sep
19
comment What's the algorithm behind Excel's ACCRINT?
With respect to YEARFRAC: I haven a re-implementation of Excel's algorithm and many more at finmath.net svn.finmath.net/finmath%20lib/trunk/src/main/java/net/finmath/… see also christian-fries.de/blog/files/2013-yearfrac.html - the problem is that YEARFRAC is not a standard act/act method. Sure, many may use it for calculating stuff, but that does not mean that is is correct. When it comes to payoff by the financial institution they will use a different (standardized) rule (like ACT/ACT ISDA).
Sep
19
awarded  Student
Sep
19
asked Which method is implemented by Excel's YEARFRAC for ACT/ACT?
Sep
3
awarded  Quorum
Aug
31
revised Question about option theta
edited body
Aug
31
comment Is there an all Java options-pricing library (preferably open source) besides jquantlib?
It is now at Java 6 and we are developing a branch which will use Java 8. Intention is to support Java 6 and Java 8 by two different releases.
Aug
31
answered Question about option theta
Aug
15
answered Black model - volatility estimation
Jul
21
comment How to calculate return rates with negative prices?
Black-Scholes seems to be not adequate. A displaced model may be more adequate. Of course, you may calculate an implied BS vol. What is your heeding strategy? What does your hedge do if prices are negative? The answers to these question should give the you the option prices. Not the blind believe in an inappropriate model...
Jul
21
comment How to calculate return rates with negative prices?
Is P the price or the return?
Jul
21
comment How to calculate return rates with negative prices?
If $P_{i}/P_{i-1} < 0$, then the assumption of log-normality is clearly wrong. You should consider an alternative model. Why do you think that absolute changes are not suitable? Why do you believe in log-normality so strongly? You may also consider a displaced log-normal model, like in the cited paper. If data with $P_{i}/P_{i-1} < 0$ is just a rare sample error, you may consider leaving that data out. Put it appears as if this is not the right way here...
Jul
21
comment How to calculate return rates with negative prices?
@Joao Serafim: This does not solve the explosion for $P_{i-1}$ becoming close to zero. You won't consider wiggeling around zero as such a huge vol, or do you?
Jul
21
comment How to calculate return rates with negative prices?
@Hebe: Which does not work if P(i-1) is zero. Actually (P(i)/P(i-1))-1 is just a finite difference approximation of the log-return.