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| bio | website | |
|---|---|---|
| location | Paris, France | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 5 hours ago | |
| stats | profile views | 218 |
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Nov 18 |
asked | Convexity of BS Equation for Call and Put |
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Nov 8 |
comment |
What distribution to assume for interest rates? You could try a discretisation of CIR process, which should give you a non central chi-square distribution if I remember well. |
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Nov 4 |
revised |
What is a good site to download historical stock 'events' such as earnings releases? some typos corrected |
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Oct 31 |
comment |
How to value a floor when a loan is callable? @Tal: Hi, I think it would help if you could write explicitly the cashflows. First you could write them without call,then using a backward induction by setting the callability option at the last fixing,and adding callable dates, you should be able to obtain by dynamic principle a solution for the problem. Best regards. |
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Oct 27 |
asked | Use of Local Times in Option Pricing |
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Oct 26 |
accepted | What is the implied volatility skew? |
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Oct 26 |
comment |
Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR? @ QuantGuy : Hi I used to be a not so big fan of VaR compared to ES essentially because VaR is failing axioms of risk measures, but I attended a lecture where Cont has shown duality between robustness/some axioms of risk measures and this has led me to reconsider VaR in the picture as a not so bad but "to handle with care" risk measure. This duality prevents any dynamic axiomatic to be as fancy as static risk measure if you want to get robustness in the picture. There is academic work on dynamic risk measure but they're not "usable" as they are stated right now as too far from pratical matter. |
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Oct 26 |
comment |
How to extrapolate implied volatility for out of the money options? @Tal : Your question is legitimate and interesting IMO, if it is for Variance swaps and alikes products purposes, I think there is a stream about pricing bounds on those kind of products. Obloj et al., and Hobson et al. have written about this. But as I am not really well acquainted with those matters I really don't know what they are worth. Best Regards |
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Oct 25 |
comment |
How to extrapolate implied volatility for out of the money options? Hi well I know P. Carr's reputation and there is no doubt that when he asserts such a claim he must have strong evidence for this to be right. I just wanted to say that some caution has to be kept in mind, by using a concrete example for which it is wrong to freeze BS Implied Volatilities for high strikes and very high strikes. Best regards. |
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Oct 25 |
revised |
How to extrapolate implied volatility for out of the money options? adding references |
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Oct 25 |
awarded | Civic Duty |
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Oct 25 |
revised |
How to extrapolate implied volatility for out of the money options? added 4 characters in body |
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Oct 24 |
answered | How to extrapolate implied volatility for out of the money options? |
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Oct 24 |
revised |
What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)? added 16 characters in body |
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Oct 24 |
comment |
What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)? @Richard H : You got it right ;-) |
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Oct 24 |
answered | What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)? |
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Oct 20 |
comment |
How to calculate unsystematic risk? You should specify a lot more details in your question. As it is I bet yuo get much answers. Regards |
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Oct 20 |
revised |
What is the forward rate for a Black-Karasinski interest rate model? added 17 characters in body |
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Oct 20 |
revised |
What is the forward rate for a Black-Karasinski interest rate model? added 17 characters in body |
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Oct 20 |
answered | What is the forward rate for a Black-Karasinski interest rate model? |
