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seen Nov 26 at 15:08

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?
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 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