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Aldo Shumway

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9 Questions

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2

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357

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Martingale measure result application for interest rates under T-forward measure?

interest-rates risk-neutral-measure martingale forward-rate numerairechange

Dec 18 '17 at 12:39 Antoine Conze 4,213

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4

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213

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Equality under T-forward measure for convexity adjustment

interest-rates risk-neutral-measure martingale forward-rate numerairechange

Dec 23 '17 at 14:08 Antoine Conze 4,213

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213

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Convexity adjustment when payment if after interest natural term?

risk-neutral-measure libor forward-rate convexity numerairechange

Jan 8 '18 at 14:00 Antoine Conze 4,213

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580

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Change of measure between T-forward and T*-forward contract?

risk-neutral-measure martingale libor forward-rate numerairechange

Dec 6 '17 at 10:54 LocalVolatility 5,332

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67

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How to calculate the product of forward rates with different reset times using Ito's lemma?

itos-lemma forward-rate convexity

Nov 28 '17 at 6:14 Aldo Shumway 222

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106

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Hull Martingales and measures problem 27.16 7e?

option-pricing risk-neutral-measure valuation martingale numerairechange

Apr 16 '18 at 5:24 Aldo Shumway 222

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196

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Double knockout binary pricing?

option-pricing valuation binary-options barrier dependence

Feb 12 '18 at 19:02 Gordon 16.4k

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705

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Fixing date, start date, end date in interest rate derivative valuation?

option-pricing interest-rates derivatives forward-rate daycounting

Jan 8 '18 at 7:53 Antoine Conze 4,213

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208

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Equivalent Martingale Measure result Hull?

option-pricing risk-neutral-measure martingale market girsanov

Apr 9 '18 at 11:09 Antoine Conze 4,213

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