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1d
revised American Swaption Pricing with Monte-Carlo method
added 188 characters in body
1d
asked American Swaption Pricing with PDE discretization
1d
comment American Swaption Pricing with Monte-Carlo method
Is there any interesting results for swaption with Malliavin calculus ?
1d
comment American Swaption Pricing with Monte-Carlo method
Ok, it is what I have done today. I will write another question. I am still interessed for an answer.
1d
revised American Swaption Pricing with Monte-Carlo method
added 63 characters in body; edited title
1d
comment American Swaption Pricing with Monte-Carlo method
Why ? what should I use then ?
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asked American Swaption Pricing with Monte-Carlo method
Apr
2
awarded  Yearling
Jul
24
comment Question on an approximation in pricing formula
Another way to see your condition is not good, $t= a^{2}/b^{2} - 0.0000001 $ will give you two term with the same value. If you don't mind the notation you will need to have $t << a^{2}/b^{2}$ as a condition, wich is usually expressed by "for small t".
Jul
24
comment Question on an approximation in pricing formula
"small t" is a common shortcut for saying "small enough t"
Jul
24
comment Question on an approximation in pricing formula
x ~ y does NOT imply $e^{x}$ ~ $e^{y}$
Jul
24
comment Question on an approximation in pricing formula
For non trivial cases, $|a/b|$ is a fixed number, we can make $|t^{O.5}|$ arbitrarily small by choosing t. So for t small enough, we will have $|a/b|> |t^{0.5}|$.
Jul
22
comment Question on an approximation in pricing formula
By the way the condition $|at^{0.5}|>|bt|$ is not needed, it is equivalent to $|a/b|>|t^{0.5}|$, which is true for small t.
Jul
22
comment Question on an approximation in pricing formula
This is very basic maths, how can this be downvoted ?
Jul
18
comment Convexity adjustment
most models assume positive correlation, not 1. I would suggest you to take a look at how convexity adjustement is theoretically builmt.
Jul
16
revised Normal vs Lognormal Short Rate models
deleted 23 characters in body
Jul
16
revised Normal vs Lognormal Short Rate models
added 17 characters in body
Jul
16
answered Normal vs Lognormal Short Rate models
Jul
16
comment Normal vs Lognormal Short Rate models
What is your goal ? what market data do you want to study ? Have you tried to plot their distribution ?
Jul
16
comment Convexity adjustment
I'am afraid that all the models for convexity adjustements I have seen state these values are correlated. This is a common case where models differ from market datas.