2,415 reputation
925
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location Paris, France
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visits member for 3 years, 8 months
seen Oct 9 at 12:21

Jul
2
awarded  Curious
Mar
9
comment Distribution of Geometric Brownian Motion
@ bcf : Hi in what context are you testing normality ? Is it on time series of quoted index or stock, or is it in a Monte Carlo simulation that you have done yourself ? Best regards
Mar
4
comment How to show that this weak scheme is a cubature scheme?
@ pbr : Thank's I'll take a look. Best regards
Feb
22
reviewed Approve suggested edit on where can i get data for foreign exchange order flow
Jan
31
awarded  Yearling
Jan
2
awarded  Nice Answer
Dec
22
comment How did we get $W_g=W_b$ from $\dfrac{U'(W_g)}{U'(W_b)}=1$?
@ honso : maybe from the injectivity of $U'$ ?
Dec
20
reviewed Approve suggested edit on What is Quantization ?
Nov
22
comment Accrued Interest in CVA DVA
@ Carlos : whatever method you will finally choose you will have to use a calculation that "approximates" the fixings date simulation of your IRS portfolio. Best regards
Nov
22
revised Accrued Interest in CVA DVA
edited title
Oct
2
comment Are there any new Option pricing models?
@ all: There is a paper by Fontana"Weak and strong no-arbitrage conditions for continuous financial markets" :arxiv.org/pdf/1302.7192.pdf that explains very well the link between different notions of arbitrage among which the Benchmark approach can be wrapped. Regards
Aug
1
comment Monte carlo methods for vanilla european options and Ito's lemma.
@Hebe : The advantage is the validation of the results, having two (or more) methods that match is giving support to the use of the most efficient.
Jun
6
awarded  Notable Question
Jun
5
awarded  Organizer
Jun
5
revised Floor and Cap problem
edited tags
Jun
5
comment Floor and Cap problem
and the question is ?
Jun
3
comment Why does Black-Scholes equation hold on continuation region of American Option?
Hi I suggest this question to be transferred to the Quantitative Finance Stack Exchange forum. Regards
May
31
comment Monte Carlo simulating Cox-Ingersoll-Ross process
@Ilya: As I realized that some people missed me on MSE I answered this question ;-) math.stackexchange.com/questions/407332/… regards
May
30
revised Monte Carlo simulating Cox-Ingersoll-Ross process
added 5 characters in body
May
30
comment Monte Carlo simulating Cox-Ingersoll-Ross process
@Ilya : I'm still "watching" but I only follow the tag "stochastic process" which is my main domain of interest. As there are many experts on the subject on the forum, questions usually get excellent answers even before I can read them which is why you feel like I have disappeared from MSE. Regards