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 Mar9 awarded Nice Answer Jan31 awarded Yearling Jan5 awarded Nice Question Jan5 awarded Self-Learner Dec3 comment Backtesting VaR model violation independence @ Konsta and User915 : I have edited the question according to your comment. Best regards Dec3 revised Backtesting VaR model violation independence I switched VAR for VaR according to the comment Nov26 awarded Enlightened Nov26 awarded Nice Answer Nov23 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 Oct4 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 Sep25 reviewed Approve How would you hedge this structure? Sep21 awarded Custodian Aug22 awarded Popular Question Jul12 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. Jul2 revised How to measure a non-normal stochastic process? correction on a little typo Jun22 awarded Nice Answer Jun10 awarded Popular Question Mar14 reviewed Approve Non-SQL methods for high-frequency accounting? Mar12 awarded Nice Question Mar7 revised Cross Currency Swap Pricing in nowadays environment added 96 characters in body