- June 3rd, 2014, 2:04 pm
- Forum: Technical Forum
- Topic: Half-Brownian increments
- Replies:
**2** - Views:
**4710**

Hi AlanThank you for your response and the connection with GARCHDiscrete time analysis of this type of process indeed seems the way to go (except in the special case mentioned)e.

- June 2nd, 2014, 9:14 pm
- Forum: Technical Forum
- Topic: Half-Brownian increments
- Replies:
**2** - Views:
**4710**

I am looking at a process with increments:[$]dX/X = \alpha \sqrt{dt} - \beta \max(0,dW_t)[$]where W is a standard BMHas anyone studied this kind of process? I would assume it to be rather explosive except when alpha = beta/sqrt(2 *Pi )Any pointers appreciatedThank youe.

- December 1st, 2012, 9:55 pm
- Forum: Book And Research Paper Forum
- Topic: Looking for Boortz, C. K. (2008) "Modelling correlation risk"
- Replies:
**0** - Views:
**10342**

I am looking for this paper which was cited by a few authorsDoes anyone have a PDF?thankse.

- September 15th, 2012, 9:53 am
- Forum: Technical Forum
- Topic: quanto & change of numeraire
- Replies:
**7** - Views:
**13305**

<t>QuoteOriginally posted by: MarsWhen changing numeraire you will only change the drift (Girsanov theorem). So euro risk neutral will be dS / S = mu dt + \sigma dW' where W' is a brownian under euro risk neutral measure and mu is what we try to find.The cross term is then : S/ N rho sigma eta dt an...

- September 5th, 2012, 2:20 pm
- Forum: Technical Forum
- Topic: quanto & change of numeraire
- Replies:
**7** - Views:
**13305**

<t>QuoteOriginally posted by: MarsWhen changing numeraire you will only change the drift (Girsanov theorem). So euro risk neutral will be dS / S = mu dt + \sigma dW' where W' is a brownian under euro risk neutral measure and mu is what we try to find.The cross term is then : S/ N rho sigma eta dt an...

- September 5th, 2012, 12:15 pm
- Forum: Technical Forum
- Topic: quanto & change of numeraire
- Replies:
**7** - Views:
**13305**

<t>QuoteOriginally posted by: MarsYou know that for X = S/N it must be dX/X = q dt + \sigma dW' since X is a euro-tradable asset.You also know that 1/N is a euro-tradable asset with drift....Now you apply ITO lemma to S/N, this will give ... dS + ... dN + cross trem in dt (where dS is euro risk neut...

- September 5th, 2012, 1:41 am
- Forum: Technical Forum
- Topic: quanto & change of numeraire
- Replies:
**7** - Views:
**13305**

<t>Is there a good step-by-step reference to approach the quanto feature using the change of numeraire technique?Say S is a stock quoted in dollars and we want to quanto it in eurosThe dollar risk-neutral SDE for S is dS/S = r dt + \sigma dWThe dollar risk-neutral SDE for the exchange rate N is dN/N...

- August 31st, 2012, 12:25 pm
- Forum: Technical Forum
- Topic: Local Vol Delta lower than BS?
- Replies:
**2** - Views:
**11212**

<t>QuoteOriginally posted by: ZhuLiAnIt's lower if d_sigma/d_F is negative (sigma being the implied volatility).d_sigma/d_F > 0 is what I have (equity skew: negative wrt to strike = positive wrt to spot) and my IV delta is still higher than BS since:I find the same delta under LV which makes sense t...

- August 30th, 2012, 10:47 pm
- Forum: Technical Forum
- Topic: Local Vol Delta lower than BS?
- Replies:
**2** - Views:
**11212**

<t>In Table 9 p.18 of this paper is is said that the delta produced by the 'implied tree model' (a.k.a local vol) is lower than the BS deltaI just tried to verify that on a 2-year ATM call but I didn't see any significant difference with the delta generated by my implied vol surface model, which is ...

- October 1st, 2010, 3:38 pm
- Forum: Technical Forum
- Topic: delta-rho relationship
- Replies:
**8** - Views:
**24717**

thanks for the 2 derivations, they're more straightforward than what I thought!e.

- September 30th, 2010, 9:44 pm
- Forum: Technical Forum
- Topic: delta-rho relationship
- Replies:
**8** - Views:
**24717**

Ha! I didn't think about that one... That might be a little too technical too, but if anyone knows of a paper deriving the delta-rho relationship using Green's functions, I'm game

- September 30th, 2010, 7:38 pm
- Forum: Technical Forum
- Topic: delta-rho relationship
- Replies:
**8** - Views:
**24717**

<t>The following relationship apparently holds true for all European derivatives f (see Reiss-Wystup "Efficient Computation of Option Price Sensitivities Using Homogeneity and other Tricks"): Their derivation is a little technical. Does anyone know of another, more intuitive derivation? I smell some...

- August 19th, 2010, 3:51 pm
- Forum: Technical Forum
- Topic: absolute value of stochastic differential
- Replies:
**18** - Views:
**26113**

<t>QuoteOriginally posted by: listyou can write informally that distribution |dS| is the same as | mu S dt + sigma S z dt^0.5| = dt^0.5 S |z| [ sigma + mu dt^0.5] where z is N( 0, 1) and sigma can also be assumed positive. Hence the term mu*S dt can be ignored and |dS| approximately in the sense of ...

- August 19th, 2010, 3:37 am
- Forum: Technical Forum
- Topic: absolute value of stochastic differential
- Replies:
**18** - Views:
**26113**

QuoteOriginally posted by: PaulI had a long answer half typed up, but I think the best way forward is for you to explain the financial problem first. That's usually the best way!PI'll send you an e-maile.

- August 19th, 2010, 1:44 am
- Forum: Technical Forum
- Topic: absolute value of stochastic differential
- Replies:
**18** - Views:
**26113**

<t>QuoteOriginally posted by: quantlearner|ds|=|b||dZ| is definitely wrong. The distribution is not half-normal either. The simplest way is to do a numerical simulation and you should be able to find out in no time what you are looking for (dynamics, distribution etc.).I think | dS/S - \mu dt | is a...

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