1,026 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.)

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?
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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
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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
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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?
Feb
19
answered Upper bound concerning Snell envelope
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 $p \geq 1$.
Feb
14
revised Implementing nonlinear optimization to find model free implied volatility using Matlab
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Feb
14
answered Implementing nonlinear optimization to find model free implied volatility using Matlab
Feb
12
awarded  Enthusiast
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.