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visits member for 3 years, 10 months
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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
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 ?
Dec
21
comment Simulating conditional expectations
@Grzenio : please provide more details I'll try to help if able to Regards.
Dec
21
revised Law of an integrated CIR Process as sum of Independent Random Variables
added 650 characters in body
Dec
21
answered Simulating conditional expectations
Dec
21
comment Simulating conditional expectations
if your dimension is high I would not recommend finite difference scheme, (I repeat) no optimal stopping problem so Logstaff and Schwartz isn't of any help here.
Dec
12
asked Law of an integrated CIR Process as sum of Independent Random Variables
Dec
9
comment How to show that this weak scheme is a cubature scheme?
@stonybrooknick : thank's that really helps. Why didn't I thought about that before ??
Dec
2
comment Value of option-free instruments with a short-rate model vs the spot curve
@ user1443 : I don't understand your example, where exactly do you use a model in this example ? Otherwise for convexity sensitive instruments (for example Libor futures) you might need a model to calculate a convextiy adjustment but there is no options involved in the product itself.
Nov
29
awarded  Suffrage
Nov
27
answered How to use Itô's formula to deduce that a stochastic process is a martingale?
Nov
23
comment Taking into account the correlation in Barrier options on a Basket
I guess the stocks in your basket, are each following a geometric browian motion, is that right ? Even in that case you can't get closed form formulas, and you have to use approximations. Regards
Nov
21
awarded  Enthusiast
Nov
21
comment What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?
@kmcoy : beside my answer I think that you should ask more precise questions once you have read this paper where the static no arbitrage hedging procedure is clearly exposed. Best regards