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by savr
October 25th, 2016, 3:49 pm
Forum: Technical Forum
Topic: Discounting of a trade collateralized in foreign currency
Replies: 9
Views: 973

Re: Discounting of a trade collateralized in foreign currency

The right r^x in there is ~(usd rate plus a basis adjustment. Agreed. But the OP's formula starts with a foreign collateral rate discount factor. And while the ratio of Xt/XT that follows contributes its drift to the effective discount rate, yielding as total the rate you correctly describe, it als...
by savr
October 25th, 2016, 2:51 pm
Forum: Technical Forum
Topic: Discounting of a trade collateralized in foreign currency
Replies: 9
Views: 973

Re: Discounting of a trade collateralized in foreign currency

@cenperro
What do you mean "No need"? Both identities (Q=dom RN, Q=for RN) can't be simultaneously true when rates and FX are dependent, you have to choose one.
by savr
October 25th, 2016, 1:27 pm
Forum: Technical Forum
Topic: Discounting of a trade collateralized in foreign currency
Replies: 9
Views: 973

Re: Discounting of a trade collateralized in foreign currency

The error is that Q should be taken to be the foreign risk-neutral measure.
(Suggest moving to Student Forum)
by savr
October 20th, 2016, 3:30 pm
Forum: General Forum
Topic: Rebonato 3-parametric form II : positive?
Replies: 0
Views: 580

Rebonato 3-parametric form II : positive?

Question on the parametric correlation: $$\rho_{ij}=\rho_{\infty}+(1-\rho_{\infty})e^{-\beta \vert i-j\vert e^{-\alpha (i \wedge j)}}$$ Quoting from Lutz  : "Rebonato [...] claims that all eigenvalues of [\rho_{ij}] can be shown to be always positive. However, it quite easy to find otherwise realist...
by savr
October 13th, 2016, 9:35 am
Forum: Brainteaser Forum
Topic: permutation of {1,2,..,15}
Replies: 33
Views: 4533

Re: permutation of {1,2,..,15}

Gutted that brute force won the day. Any transformations - other than rotations/reversal - that preserve the solution property? <CaptnObvious> it seems k|n is important. For brute force, I'd rather 0)choose the target sum you're pretty sure is the right answer :) 1)seed the first pair (trying {11,9}...
by savr
July 26th, 2016, 2:49 pm
Forum: Careers Forum
Topic: Need Advice on How to Study / Proceed
Replies: 9
Views: 2631

Re: Need Advice on How to Study / Proceed

http://alumni.cs.ucr.edu/~lyan/c++interviewquestions.pdf  At the 5th question, on p.3 of 97, I am surprised by the assertion: "A:The constructor never throws an error" ,  in contrast with https://isocpp.org/wiki/faq/exceptions#ctors-can-throw "The best way to signal constructor failure is therefore ...
by savr
June 9th, 2016, 10:32 am
Forum: Technical Forum
Topic: Why Is Bond Time Value Risk Not Considered in Bond Immunization?
Replies: 209
Views: 12232

Why Is Bond Time Value Risk Not Considered in Bond Immunization?

<t>Chipping in to repeat the answer found, I think, a few pages below.1) A bond is a tradable instrument. It is linear (identical) in itself, hence has no gamma, hence has no theta.2) It would be confusing terminology to consider the bond as a derivative based on some rate: rates themselves are not ...
by savr
May 11th, 2016, 8:22 am
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 996
Views: 119277

Breakthrough in the theory of stochastic differential equations and their simulation

<r>Could you please explain in words the difference between your new method and the "Strong Taylor Approximations" presented, for example, in slides 6-7 of <URL url="http://www.damtp.cam.ac.uk/user/na/FoCM/FoCM08/Talks/Kloeden.pdf"><LINK_TEXT text="http://www.damtp.cam.ac.uk/user/na/FoCM ... loeden....
by savr
August 17th, 2015, 11:40 am
Forum: Brainteaser Forum
Topic: cut & assemble
Replies: 6
Views: 7948

cut & assemble

<t>@OP, is that solution accepted?The fact that the cut does not start at the edges takes imagination - it needs a different tool than your standard scissors, unless you can fold the wooden rectangular board. On the other hand if the rectangle Q is not entirely inside R, then in general when placing...
by savr
July 8th, 2015, 2:47 pm
Forum: Technical Forum
Topic: convex payoff, convex price
Replies: 2
Views: 2882

convex payoff, convex price

Section 4 of this paper has a counterexample.
by savr
April 17th, 2015, 8:12 am
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9502

What does ?convergence? in Monte Carlo simulation mean?

<t>Please don't withhold your opinion, and elaborate onQuoteOriginally posted by: CuchulainnFrom a numerical analysis viewpoint, MC is strange:1. The results are not reproducible (unless the same seed is used).2. Sharp error results in an appropriate norm are incomplete. 2_A. It is missing the conce...
by savr
April 16th, 2015, 8:45 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9502

What does ?convergence? in Monte Carlo simulation mean?

<t>I have carried out the A,B exercise you set, and hope we can resume the discussion.You made a series of statements which I urged you to substantiate.Now, can you exhibit eithera) a Cauchy sequence of "sharp error results in an appropriate norm" that does not converge within this space, orb) two d...
by savr
April 16th, 2015, 12:14 pm
Forum: Numerical Methods Forum
Topic: What does ?convergence? in Monte Carlo simulation mean?
Replies: 96
Views: 9502

What does ?convergence? in Monte Carlo simulation mean?

<t>QuoteOriginally posted by: CuchulainnFrom a numerical analysis viewpoint, MC is strange:1. The results are not reproducible (unless the same seed is used).2. Sharp error results in an appropriate norm are incomplete. 2_A. It is missing the concept of a function as in real analysis.3. Convergence ...
by savr
April 10th, 2015, 7:21 am
Forum: Technical Forum
Topic: help with a stochastic integral
Replies: 4
Views: 3535

help with a stochastic integral

I suppose what's funny is that the variance of your term would be less if you replaced the rms of sigma by its ordinary mean.
by savr
March 25th, 2015, 9:24 pm
Forum: Technical Forum
Topic: Distribution of max BM - BM
Replies: 16
Views: 3997

Distribution of max BM - BM

<t>QuoteI always thought that if something holds for *any* dt then it should hold for continuous time.Your intuition is good, rather here the limit object has more properties than the (slipshod) approximations.e.g. the supports of Mt and |Wt| : although they are different for fixed dt>0, since dt sc...
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