Reputation
1,131
Top tag
Next privilege 1,250 Rep.
Create tag synonyms
Badges
4 12
Newest
 Nice Answer
Impact
~68k people reached

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
Feb
26
revised How to hedge the fixed leg of a swap contract?
edited body
Feb
25
answered How to hedge the fixed leg of a swap contract?