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seen Oct 9 at 12:21

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
Nov
20
answered What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?
Nov
18
accepted Convexity of BS Equation for Call and Put
Nov
18
comment Convexity of BS Equation for Call and Put
What you have shown is that for any $\sigma$ there's a strike $K_{max}$ at which BS Formula is not convex (treating at the same time Call and Put case). That's nice and smart I accept this answer. Thx.
Nov
18
revised Convexity of BS Equation for Call and Put
deleted 4 characters in body
Nov
18
revised Convexity of BS Equation for Call and Put
added 145 characters in body
Nov
18
asked Convexity of BS Equation for Call and Put