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| bio | website | |
|---|---|---|
| location | Paris, France | |
| age | ||
| visits | member for | 2 years, 3 months |
| seen | 18 hours ago | |
| stats | profile views | 217 |
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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 |
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Oct 25 |
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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. |
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Oct 24 |
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What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)? @Richard H : You got it right ;-) |
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Oct 20 |
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How to calculate unsystematic risk? You should specify a lot more details in your question. As it is I bet yuo get much answers. Regards |
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Sep 14 |
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What are some examples of Compound Poisson processes in insurance? @ user1379 : You should have a look at Kyprianou's Book " Introductory lectures on fluctuations of Lévy processes with applications". Regards |
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Sep 13 |
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How useful is Markov chain Monte Carlo for quantitative finance? @DavidShor: well in my field Bayes or not present price is the rule. For exemple if you know by Mcmc inference that volatility is mispriced for atm calls what can you do about it? You can hedge using you supposedly right estimate of vol but if the day after implied vol goes the wrong way then you will lose money and if you have finite stop loss then even if your estimate is right then you are loosing money. Is it more clear ? |
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Aug 11 |
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How is mean reversion implied by different valuations of Bermudan swaptions? ok we have the model, now what it is mean-reversion mathematically speaking ? |
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Aug 9 |
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How is mean reversion implied by different valuations of Bermudan swaptions? The question is so vague that it doesn't deserve an answer IMO. Define first mean reversion, the dynamics of your model and what vanillas you are using in your calibration portfolio. |
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Jun 21 |
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How random are financial data series? In the same vein : financial time series have an econometric Hurst index that are usually above 1/2, which means that long memory phenomenons can be suspected. |
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Jun 17 |
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Fixed income modeling @ FES : One thing is for sure, due to your first bullet point, if you want to take look at credit models you should focus on "structural pproach". Regards. |
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Apr 13 |
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How do equivalent martingale measures arise in pricing? Could you give more details about the probability laws of the "bonds" and "shares" that you are dealing with in your exercise ? Regards PS : Tagging "Homework" this question would be natural. |
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Apr 6 |
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An equation for European options Thank's for completing your hypothesis, by the way I think that this subject is close to one approach to risk neutral valuation via so called "pricing rules" which is essentially a functionnal analysis of the subject. Some references to this include some papers by L.C.G. Rogers, and maybe also something by N.Touzi but I am not completly sure about those references. I can check them more thouroughly if you are interested. Regards |
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Apr 6 |
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What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying? I am really curious why on earth would you like to know such a thing? and moreover what would the "winner" do with such a record ? The CEO would tell its shareholders, hey look we don 't care about this year's results because guess what we are the most volatile stock in the world !!! That could be fun. |
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Apr 5 |
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An equation for European options I think that in some case you can consider some non linearity over the price of the sum of pay-off. For example, super replication prices are not always the sum of super replication prices of individual payoffs. Regards. |
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Mar 24 |
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Heuristics for calculating theoretical probabilities of being ITM at time T for listed options @ Dragan Chupacabric : By probability you mean risk-neutral Probability (associated to stock-numéraire), right ? This is not comlpetely clear from your question when you say "I use delta as a proxy for this probability of success for single options". Regards |
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Mar 20 |
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How do practitioners use the Malliavin calculus (if at all)? I don't like this answer and vote it down. Moreover, I don't agree with the idea that there is an antagony between academics and practitioners. |
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Mar 17 |
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Value-at-Risk of the sum of two dependent lognormal random variables Hi i don t think that it is a question about Variance but about Value at Risk |
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Feb 21 |
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What SABR $\beta$ to use for EURIBOR swaption smiles Hi, just to be sure have you incorporated the Basis Swap that exists between E6M and E3M ? Regards |
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Feb 15 |
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Rate interpolation in Libor Market Model you can still use very short maturities (listed) Libor Options Implied Vols if you want to, but as for such maturities vol isn't really the issue you can use flat first caplet vol instead. Regards |
