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location Paris, France
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visits member for 3 years, 5 months
seen Oct 27 at 17:48

Jun
18
revised Monte carlo methods for vanilla european options and Ito's lemma.
second question edited
Jun
17
comment Monte carlo methods for vanilla european options and Ito's lemma.
Thanks for your reply too. My second question was not clearly formulated. I meant to ask: What is Ito's lemma used for in quantitative finance?
Jun
17
comment Monte carlo methods for vanilla european options and Ito's lemma.
Thanks for your reply. Yes I could have formulated my second question in a simpler manner: what is Ito's lemma used for in quantitative finance?
Jun
17
accepted Monte carlo methods for vanilla european options and Ito's lemma.
Jun
16
asked Monte carlo methods for vanilla european options and Ito's lemma.
Jun
7
comment What is the unit of the Distance to Default measure?
thanks a lot!
Jun
6
awarded  Supporter
Jun
6
comment What is the unit of the Distance to Default measure?
Thanks for your reply RichardH. Then what is the unit for the "next period"?
Jun
6
awarded  Scholar
Jun
6
accepted What is the unit of the Distance to Default measure?
Jun
6
asked What is the unit of the Distance to Default measure?
May
31
awarded  Student
May
31
awarded  Editor
May
31
revised Question about equations and risk factors.
typos
May
31
asked Question about equations and risk factors.
May
31
comment Linear combination of gaussian random variables
Thanks for this detailed answer Hassmann, the reason I asked this question is that according to my book, when a vector of risk factors is gaussian one can use Cholesky factorization; when it is not one has to use copulas for one's monte carlo simulations. Say I have three factors: underlying stock, stochastic IR and volatility. How do I know whether my vector is gaussian or not?
May
31
comment How do I estimate convergence in monte carlo methods?
Hello. I mean convergence of my results. I use Java in order to evaluate a European Option. So the results are the option prices. I have suceeded in calculating the sample variance running 20 runs. I am not sure if there is a better alternative than the sample variance. Julien.