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| bio | website | |
|---|---|---|
| location | Paris, France | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 8 hours ago | |
| stats | profile views | 217 |
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Nov 26 |
awarded | Nice Answer |
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Nov 23 |
comment |
Measure change in a bond option problem @ Jase : I have to appologize I misread your last equation last time. It is equal to 1, only conditionally to $\mathcal{F}_{T_0}$, or alternatively if you take expectation of it, as $B(t,T)=e^{-\int_t^T f(s,t)ds}=E_\beta[e^{-\int_t^T r(s)ds}]=E_\beta[\frac{\beta(t)}{\beta(T)}]$. So your last equation (at t=0) is equal to $\frac{e^{-\int_0^{T_0} r(s)ds}}{E_\beta[e^{-\int_0^{T_0} r(s)ds}]}$. The fact that this is a correct measure change is a theorem, a version of which can be found in Brigo and Mercurio's book "Interest Rate Models Theory and Practice". Regards |
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Oct 4 |
comment |
How to show that this weak scheme is a cubature scheme? @ vanguard2k : Yes it is, I think I know now what to prove but I am just too lazy to try to prove it. But if you are willing to do it, I would be delighted to read your attempt. As an indication about what is needed is to prove that moments of the Ninomiya-Victoir scheme matches the moments ot the stochastic iterative (stratanovitch)-integrals. Best regards |
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Sep 25 |
reviewed | Approve suggested edit on How would you hedge this structure? |
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Sep 21 |
awarded | Custodian |
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Aug 22 |
awarded | Popular Question |
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Jul 12 |
comment |
Risk Neutral Probability and invariant measure @ Jeff : Invariant with respect to what ? Unless you elaborate with much more details and/or references and definitions. I'll donwvote the thread. |
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Jul 2 |
revised |
How to measure a non-normal stochastic process? correction on a little typo |
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Jun 22 |
awarded | Nice Answer |
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Jun 10 |
awarded | Popular Question |
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Mar 14 |
reviewed | Approve suggested edit on Non-SQL methods for high-frequency accounting? |
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Mar 12 |
awarded | Nice Question |
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Mar 7 |
revised |
Cross Currency Swap Pricing in nowadays environment added 96 characters in body |
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Mar 6 |
answered | Cross Currency Swap Pricing in nowadays environment |
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Feb 21 |
revised |
Cross Currency Swap Pricing in nowadays environment added 3 characters in body |
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Feb 21 |
asked | Cross Currency Swap Pricing in nowadays environment |
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Jan 31 |
awarded | Yearling |
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Jan 17 |
comment |
Why is the SABR volatility model not good at pricing a constant maturity swap (CMS)? What you say is true (I experienced that) nevertheless using those ridiculous high strike swaptions, CMS Swaplet, Caplet, Floorlet using Hagan's type replication argument, this works quite well in practice (at least for my needs over EURIBOR products). How to interpret that and what model to use instead of SABR ? Best Regards |
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Dec 22 |
revised |
Law of an integrated CIR Process as sum of Independent Random Variables edited body |
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Dec 21 |
comment |
Simulating conditional expectations as nothing depends on i and j in the loops of your pseudo code it is still not completly clear what you want to do. Can you add that to it ? |
