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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
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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
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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.