Christian Fries
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 May 13 revised Quadratic variation question added 198 characters in body May 13 comment Quadratic variation question Ito actually tells you that $d(B^2) = BdB + BdB + dt$. So ii) might mean: Proof it using Ito, while iii) means proof it in an elemantary by repeating the proof of Ito for the special case of $B^2$. May 11 revised how to derive yield curve from interest rate swap? added 1 characters in body May 11 comment Quadratic variation question Please change the title of this "question" (currently being "Exercise on stochastic calculus" to s.th. meaningful (e.g. use words like "Ito formula" and "Quatratic Variation"). May 11 answered Quadratic variation question May 11 revised how to derive yield curve from interest rate swap? added 37 characters in body May 11 revised how to derive yield curve from interest rate swap? added 3 characters in body May 11 answered how to derive yield curve from interest rate swap? May 6 comment Is vega of Black-Scholes European type option always positive? I added a remark on general payoffs to my answer. With respect to your comment: assuming that the pay off is positive does not help. Vega is not about level or slope, it is about convexity. It would depend on WHERE your payoff is convex and WHERE it is concave. And how strong convextiy is depending on the underlying. May 6 revised Is vega of Black-Scholes European type option always positive? added 394 characters in body May 5 comment What does it mean to adjust for short-run liquidity in finding risk-free rate of return Can you give a reference for this? Did you read this somewhere? May 4 answered Is vega of Black-Scholes European type option always positive? Apr 26 comment Convexity adjustment for a forward swap rate OK. If this is about swap futures, then he should be more precise... Apr 26 comment Convexity adjustment for a forward swap rate The convexity adjustment needed for futures comes from the margining applied to the (undiscounted) future price. In contrast, swaps are collateralized by discounted value, such that a future-like convexity adjustment does not apply. However, if a forward swap rate is paid in an unnatural way (like in a CMS), a convexity adjustment applies. Apr 26 answered Convexity adjustment for a forward swap rate Apr 26 comment Convexity adjustment for a forward swap rate The question in this form is incomplete. The swap rate alone does not need any convexity adjustment. You have to specify how this rate is paid. Apr 22 revised Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options added 81 characters in body Apr 22 revised Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options added 11 characters in body Apr 22 answered Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options Mar 2 revised Cross Currency Swap Pricing in nowadays environment added 1 characters in body