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Jan
27
comment Quasi Monte Carlo in Matlab
Could you explain a bit more what you are exactly trying to achieve? E.g. what do you mean by "convergence"? It is not clear to me what is supposed to converge to what. The second paragraph sounds like you were using the Quasi random numbers as "noise" which you add to something so that your regression methods have something to pick up. The convergence results you quote are related to the variance of the standard MC-Estimator which is something different from regression.
Jan
23
awarded  Commentator
Jan
23
comment what is considered material information?
This question appears to be off-topic because it is a legal question not quantitative finance related
Jan
23
comment Pricing options under restricted domain
Wouldn't you need to specify the process of the security for this? To get specific answers it might also help to describe what kind of options you would like to consider and last but not least what you mean by "to price", e.g. explicit expression an anlytic solution or an approximation.
Apr
2
answered How does the number of free dimensions of a model affect its required size of sample?
Feb
2
awarded  Informed
Feb
2
comment Consistency of economic scenarios in nested stochastics simulation
Only once one understands what is going, one might start to ask commercial questions. Imagine an institution managing vega-risk in such a dont-care fashion with a model where implied vola is assumed constant. Can you make money off of them? Or at least offer them vega-protection cheaper by having a better(?) model?
Feb
2
comment Consistency of economic scenarios in nested stochastics simulation
"Why care": This is more difficult to comment on. Some people think logical consistency is an end in itself, some are more pragmatic But I think that a logically inconsistent risk measuring approach is inherently dangerous. At least as long as you do not understand the nature and scope of those limitations.
Feb
2
comment Consistency of economic scenarios in nested stochastics simulation
The question is exactly how this “related somehow by construction” can be achieved. Look at a 2period option in a Black-Scholes Model. Black-Scholes assumes deterministic implied vola. So it makes no sense within this model to apply an implied vola distribution after one period to assess the risk of this option. The price at t=0 will be inconsistent with all prices at t=1 by construction.
Jan
30
awarded  Revival
Jan
29
awarded  Teacher
Jan
29
awarded  Supporter
Jan
29
answered Applying interest rate shocks under Solvency II
Jan
29
awarded  Student
Jan
29
asked Consistency of economic scenarios in nested stochastics simulation