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| bio | website | christian-fries.de |
|---|---|---|
| location | Germany | |
| age | ||
| visits | member for | 4 months |
| seen | 5 mins ago | |
| stats | profile views | 91 |
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.)
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Apr 22 |
revised |
Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options added 11 characters in body |
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Apr 22 |
answered | Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options |
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Mar 2 |
revised |
Cross Currency Swap Pricing in nowadays environment added 1 characters in body |
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Feb 26 |
revised |
How to hedge the fixed leg of a swap contract? edited body |
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Feb 25 |
answered | How to hedge the fixed leg of a swap contract? |
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Feb 19 |
answered | Upper bound concerning Snell envelope |
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Feb 19 |
comment |
Upper bound concerning Snell envelope Can you please define the set below ess sup. Is the the set of all stopping times? Also, what is p? Do we have $p \geq 1$. |
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Feb 14 |
revised |
Implementing nonlinear optimization to find model free implied volatility using Matlab deleted 1 characters in body |
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Feb 14 |
answered | Implementing nonlinear optimization to find model free implied volatility using Matlab |
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Feb 12 |
awarded | Enthusiast |
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Feb 9 |
comment |
How to derive the formula of a European Libor call option in a Libor Market Model? The conditional expectation, conditional to $\mathcal{F}_t$, is a random variable. It is $\mathcal{F}_t$-measurable. It is a real number once you look at this random variable at a specific state, namely the states you know at time $t$. The $\log L(t,T)$ is just that state... (maybe you like to look at the picture on page 18 and the interpretation on page 17 and 18 here: books.google.de/books?id=q7c8Pi6QGFQC ) - - The expectation conditional to $\mathcal{F}_{0} = \{ \emptyset, \Omega \}$ is also a random variable, but it is constant (same for every state =$\mathcal{F}_{0}$-measurable) |
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Feb 9 |
comment |
Why doesn't a simulated delta hedging process go to zero? In addition a big effect comes from the difference in volatitly. The geometric brownian motion with vol 100% (which is by the way quite large) in your BS delta assumption has approx. 100 time the vol of S(t) (since S is normal and S(0) is 100. Another thing which I found strange is that S(t) is evolved backward in time, but I did not dig deeper into your code. |
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Feb 8 |
awarded | Informed |
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Feb 8 |
answered | Why doesn't a simulated delta hedging process go to zero? |
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Feb 8 |
comment |
How to derive the formula of a European Libor call option in a Libor Market Model? W.r.t. the Markov property you just have to check: Does the future $T > t$ depend on the past $s < t$ or is the knowledge of your state variables in $t$ enough. In the SDE of the LMM the initial value is L(t), the drift depends on $L(t)$ or $L(\tilde{t})$ for $\tilde{t} > t$ etc., but nothing depends on the past. (There is a little excercise you could try: if you write the LMM as a short rate model, you see that the drift depends not only on $r$, it also depends on that past (to reconstruct the other forward rates). So with respect to $r$ LMM is not Markovian. |
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Feb 8 |
answered | How to derive the formula of a European Libor call option in a Libor Market Model? |
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Feb 6 |
comment |
What is the relationship between Forward measures and LMM? I believe instead of $dQ^T/dQ=1/(P(0,T)B(T))$ you should write $$\frac{dQ^T}{dQ}_{\vert \mathcal{F_t}} = \frac{P(t,T)}{P(0,T)} \cdot \frac{B(0)}{B(t)}$$ such that it is clear that it is just a change of numberaire from $B$ to $P(T)$. |
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Feb 6 |
comment |
What is the relationship between Forward measures and LMM? $L(T_{1},T_{2})$ is the continuous time stochastic process of the forward rate. $P(T)$ is the value process of the bond with maturity $T$. I use the following notation: $L(T_{1},T_{2};t) := \frac{P(T_1;t)-P(T_2;t)}{P(T_2;t)}$ where $T_{i}$ denotes maturties and $t$ denote "observation time". If $N = P(T_2)$ is the chosen numeraire, then $L_{1} := L(T_{1},T_{2})$ is a numeraire relative price, hence a martingale. |
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Feb 6 |
revised |
What is the relationship between Forward measures and LMM? added 8 characters in body |
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Feb 6 |
comment |
What is the relationship between Forward measures and LMM? By forward rate I mean forward LIBOR $L(T_{1},T_{2}) = \frac{P(T_{1})-P(T_{2})}{(T_{2}-T_{1}) P(T_{2})}$. |
