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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
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Nov
18
revised Convexity of BS Equation for Call and Put
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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.
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
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.
Oct
25
revised How to extrapolate implied volatility for out of the money options?
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Oct
25
awarded  Civic Duty
Oct
25
revised How to extrapolate implied volatility for out of the money options?
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Oct
24
answered How to extrapolate implied volatility for out of the money options?
Oct
24
revised What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)?
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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 ;-)