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visits member for 3 years, 7 months
seen Jul 31 at 7:59

Mar
9
comment Distribution of Geometric Brownian Motion
@ bcf : Hi in what context are you testing normality ? Is it on time series of quoted index or stock, or is it in a Monte Carlo simulation that you have done yourself ? Best regards
Mar
4
comment How to show that this weak scheme is a cubature scheme?
@ pbr : Thank's I'll take a look. Best regards
Dec
22
comment How did we get $W_g=W_b$ from $\dfrac{U'(W_g)}{U'(W_b)}=1$?
@ honso : maybe from the injectivity of $U'$ ?
Nov
22
comment Accrued Interest in CVA DVA
@ Carlos : whatever method you will finally choose you will have to use a calculation that "approximates" the fixings date simulation of your IRS portfolio. Best regards
Oct
2
comment Are there any new Option pricing models?
@ all: There is a paper by Fontana"Weak and strong no-arbitrage conditions for continuous financial markets" :arxiv.org/pdf/1302.7192.pdf that explains very well the link between different notions of arbitrage among which the Benchmark approach can be wrapped. Regards
Aug
1
comment Monte carlo methods for vanilla european options and Ito's lemma.
@Hebe : The advantage is the validation of the results, having two (or more) methods that match is giving support to the use of the most efficient.
Jun
5
comment Floor and Cap problem
and the question is ?
Jun
3
comment Why does Black-Scholes equation hold on continuation region of American Option?
Hi I suggest this question to be transferred to the Quantitative Finance Stack Exchange forum. Regards
May
31
comment Monte Carlo simulating Cox-Ingersoll-Ross process
@Ilya: As I realized that some people missed me on MSE I answered this question ;-) math.stackexchange.com/questions/407332/… regards
May
30
comment Monte Carlo simulating Cox-Ingersoll-Ross process
@Ilya : I'm still "watching" but I only follow the tag "stochastic process" which is my main domain of interest. As there are many experts on the subject on the forum, questions usually get excellent answers even before I can read them which is why you feel like I have disappeared from MSE. Regards
May
23
comment So many volatility models. Any comparisons of them?
@Jase: adding to Matt Wolf excellent answer I would say that any model has at least one purpose, so comparing models should primarily take this into account. Best regards.
May
22
comment VaR for portfolio of funds
@quat_dev : Hi I would add the following remark to what has been said. Using only NAV for VaR then entails that you incorporate the history of reallocations of the funds, this is methodologically a poor proxy to the VaR you obtain using the "transparency" approach by true assets. Of course if those reallocations are limited the method works fine, and sometimes you simply don't have the choice... Best regards.
May
10
comment Non-arbitrage theory and existence of a risk premium
@Paul : Better late than never;-)
Dec
3
comment Backtesting VaR model violation independence
@ Konsta and User915 : I have edited the question according to your comment. Best regards
Nov
23
comment Measure change in a bond option problem
@ Jase : I have to appologize I misread your last equation last time. It is equal to 1, only conditionally to $\mathcal{F}_{T_0}$, or alternatively if you take expectation of it, as $B(t,T)=e^{-\int_t^T f(s,t)ds}=E_\beta[e^{-\int_t^T r(s)ds}]=E_\beta[\frac{\beta(t)}{\beta(T)}]$. So your last equation (at t=0) is equal to $\frac{e^{-\int_0^{T_0} r(s)ds}}{E_\beta[e^{-\int_0^{T_0} r(s)ds}]}$. The fact that this is a correct measure change is a theorem, a version of which can be found in Brigo and Mercurio's book "Interest Rate Models Theory and Practice". Regards
Oct
4
comment How to show that this weak scheme is a cubature scheme?
@ vanguard2k : Yes it is, I think I know now what to prove but I am just too lazy to try to prove it. But if you are willing to do it, I would be delighted to read your attempt. As an indication about what is needed is to prove that moments of the Ninomiya-Victoir scheme matches the moments ot the stochastic iterative (stratanovitch)-integrals. Best regards
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.
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
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.