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| bio | website | |
|---|---|---|
| location | Paris, France | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 2 days ago | |
| stats | profile views | 217 |
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May 10 |
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Non-arbitrage theory and existence of a risk premium @Paul : Better late than never;-) |
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Mar 25 |
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Different definition of NFLVR For the "amateurs" of pure abstract arbitrage theory let me share with you this reference by Fontana "Fontana - Weak and Strong No-arbitrage Conditions for Continuous Financial Markets" that can be found here arxiv.org/abs/1302.7192 Best regarrds |
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Mar 25 |
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Different definition of NFLVR @quasi : A really nice answer ! 1 up. |
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Dec 3 |
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Backtesting VaR model violation independence @ Konsta and User915 : I have edited the question according to your comment. Best regards |
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Nov 23 |
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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 |
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Oct 4 |
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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 |
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Jul 12 |
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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. |
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Jan 17 |
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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 |
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Dec 21 |
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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 ? |
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Dec 21 |
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Simulating conditional expectations @Grzenio : please provide more details I'll try to help if able to Regards. |
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Dec 21 |
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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. |
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Dec 9 |
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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 ?? |
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Dec 2 |
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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. |
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Nov 23 |
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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 |
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Nov 21 |
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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 |
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Nov 18 |
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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. |
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Nov 8 |
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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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Oct 31 |
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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 26 |
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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 |
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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 |
