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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
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.
Nov
4
revised What is a good site to download historical stock 'events' such as earnings releases?
some typos corrected
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.
Oct
27
asked Use of Local Times in Option Pricing
Oct
26
accepted What is the implied volatility skew?
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.