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Nov
26
awarded  Enlightened
Nov
26
awarded  Nice Answer
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
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
Sep
25
reviewed Approve suggested edit on How would you hedge this structure?
Sep
21
awarded  Custodian
Aug
22
awarded  Popular Question
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.
Jul
2
revised How to measure a non-normal stochastic process?
correction on a little typo
Jun
22
awarded  Nice Answer
Jun
10
awarded  Popular Question
Mar
14
reviewed Approve suggested edit on Non-SQL methods for high-frequency accounting?
Mar
12
awarded  Nice Question
Mar
7
revised Cross Currency Swap Pricing in nowadays environment
added 96 characters in body
Mar
6
answered Cross Currency Swap Pricing in nowadays environment
Feb
21
revised Cross Currency Swap Pricing in nowadays environment
added 3 characters in body
Feb
21
asked Cross Currency Swap Pricing in nowadays environment
Jan
31
awarded  Yearling
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
Dec
22
revised Law of an integrated CIR Process as sum of Independent Random Variables
edited body