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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 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
May
30
answered Monte Carlo simulating Cox-Ingersoll-Ross process
May
23
comment So many volatility models. Any comparisons of them?
@Jase: adding to Matt Wolf excellent answer I would say that any model has at least one purpose, so comparing models should primarily take this into account. Best regards.
May
22
comment VaR for portfolio of funds
@quat_dev : Hi I would add the following remark to what has been said. Using only NAV for VaR then entails that you incorporate the history of reallocations of the funds, this is methodologically a poor proxy to the VaR you obtain using the "transparency" approach by true assets. Of course if those reallocations are limited the method works fine, and sometimes you simply don't have the choice... Best regards.
May
21
awarded  Nice Question
May
10
awarded  Notable Question
May
10
comment Non-arbitrage theory and existence of a risk premium
@Paul : Better late than never;-)