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

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...

- October 25th, 2016, 2:51 pm
- Forum: Technical Forum
- Topic: Discounting of a trade collateralized in foreign currency
- Replies:
**9** - Views:
**973**

@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.

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.

- October 25th, 2016, 1:27 pm
- Forum: Technical Forum
- Topic: Discounting of a trade collateralized in foreign currency
- Replies:
**9** - Views:
**973**

The error is that Q should be taken to be the foreign risk-neutral measure.

(Suggest moving to Student Forum)

(Suggest moving to Student Forum)

- October 20th, 2016, 3:30 pm
- Forum: General Forum
- Topic: Rebonato 3-parametric form II : positive?
- Replies:
**0** - Views:
**580**

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...

- October 13th, 2016, 9:35 am
- Forum: Brainteaser Forum
- Topic: permutation of {1,2,..,15}
- Replies:
**33** - Views:
**4533**

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}...

- July 26th, 2016, 2:49 pm
- Forum: Careers Forum
- Topic: Need Advice on How to Study / Proceed
- Replies:
**9** - Views:
**2631**

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 ...

- 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**

<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 ...

- 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**

<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....

- August 17th, 2015, 11:40 am
- Forum: Brainteaser Forum
- Topic: cut & assemble
- Replies:
**6** - Views:
**7948**

<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...

- July 8th, 2015, 2:47 pm
- Forum: Technical Forum
- Topic: convex payoff, convex price
- Replies:
**2** - Views:
**2882**

Section 4 of this paper has a counterexample.

- April 17th, 2015, 8:12 am
- Forum: Numerical Methods Forum
- Topic: What does ?convergence? in Monte Carlo simulation mean?
- Replies:
**96** - Views:
**9502**

<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...

- April 16th, 2015, 8:45 pm
- Forum: Numerical Methods Forum
- Topic: What does ?convergence? in Monte Carlo simulation mean?
- Replies:
**96** - Views:
**9502**

<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...

- April 16th, 2015, 12:14 pm
- Forum: Numerical Methods Forum
- Topic: What does ?convergence? in Monte Carlo simulation mean?
- Replies:
**96** - Views:
**9502**

<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 ...

- April 10th, 2015, 7:21 am
- Forum: Technical Forum
- Topic: help with a stochastic integral
- Replies:
**4** - Views:
**3535**

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.

- March 25th, 2015, 9:24 pm
- Forum: Technical Forum
- Topic: Distribution of max BM - BM
- Replies:
**16** - Views:
**3997**

<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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