986 reputation
29
bio website christian-fries.de
location Germany
age
visits member for 1 year, 3 months
seen Dec 6 '13 at 14:30

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.)

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
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).
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.
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.
Jun
29
comment expected value of the discounted payoff
This is a statement. What is the question?
Jun
17
comment Malliavin Calculus
I would suggest splitting this into two separate questions: one on Malliavin Calculus and one on Multi-Fractals Models. I could then maybe provide some comments on Malliavin Calculus: looking at the "proxy simulation scheme" technique can be useful, since it is a "discrete analog" (on the level of the discretization scheme, like Eurler scheme) of what Malliavin calculus does in the continuous setup.
Jun
10
comment Is the price of European put option monotone in volatility if we replace BM in Black-Scholes with a general Levy process?
What is the definition of "volatility" if you consider a general Levy process? If you define it as the implied volatility of the (respective) put option: then yes. It is trivial. The price is a monotone function of the implied Black volatlity.
May
13
comment Quadratic variation quesiton
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
comment Quadratic variation quesiton
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
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
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?
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
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.
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
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.