2,455 reputation
927
bio website
location Paris, France
age
visits member for 3 years, 10 months
seen yesterday

Nov
3
awarded  Nice Question
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