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 Apr 9 answered Non-arbitrage theory and existence of a risk premium Mar 25 revised Are BSDE's used in practice? added 3 characters in body Mar 25 revised Are BSDE's used in practice? edited body Mar 25 answered Are BSDE's used in practice? Mar 21 revised Central Limit Theorem and Lévy processes added 1 characters in body Mar 20 revised Central Limit Theorem and Lévy processes edited title Mar 20 revised Central Limit Theorem and Lévy processes edited body Mar 20 revised Central Limit Theorem and Lévy processes deleted 2 characters in body; edited title Mar 10 awarded Popular Question Mar 9 awarded Nice Answer Jan 31 awarded Yearling Jan 5 awarded Nice Question Jan 5 awarded Self-Learner Dec 3 comment Backtesting VaR model violation independence @ Konsta and User915 : I have edited the question according to your comment. Best regards Dec 3 revised Backtesting VaR model violation independence I switched VAR for VaR according to the comment 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 How would you hedge this structure?