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Jul
6
awarded  Notable Question
Feb
15
awarded  Tumbleweed
Feb
14
accepted swaption model for forward swap rate
Feb
9
awarded  Fanatic
Feb
8
asked What is the difference between generating portfolios on the efficient frontiers and generating different efficient frontiers
Feb
7
awarded  Yearling
Jan
23
asked what is the definition of resetting tenor and time to maturity tenor in libor rates
Jan
17
comment swaption model for forward swap rate
why is this multiplication with the annuity? Do you know a reference for the derivation?
Jan
13
awarded  Popular Question
Jan
12
revised swaption model for forward swap rate
added 2 characters in body
Jan
12
asked swaption model for forward swap rate
Jan
12
asked How can we write swap as a chain of FRA's
Dec
30
comment FTAP a-la Harrison, Kreps and Pliska
could you please link the paper?
Dec
26
comment derivation of heston pde in gatheral
many thanks for the clarification. Where did you find that $C$ is the undiscounted price? So $V$ is always discounted in the book?
Dec
26
accepted derivation of heston pde in gatheral
Dec
23
revised derivation of heston pde in gatheral
added 523 characters in body
Dec
23
asked derivation of heston pde in gatheral
Dec
15
accepted Arrow-Debreu Price in “The Volatility Smile and its implied Tree”
Dec
13
comment Arrow-Debreu Price in “The Volatility Smile and its implied Tree”
Many thanks for the great answer. I will accept it. One additional question. So $C(K,t_{n+1})$ is the price at time $0$, not at time $t_n$? Then I understand the use of Arrow-Debreu prices. Otherwise not.
Dec
12
asked Arrow-Debreu Price in “The Volatility Smile and its implied Tree”