SERVING THE QUANTITATIVE FINANCE COMMUNITY

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

Half-Brownian increments

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

Half-Brownian increments

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.
by eiriamjh
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

Looking for Boortz, C. K. (2008) "Modelling correlation risk"

I am looking for this paper which was cited by a few authorsDoes anyone have a PDF?thankse.
by eiriamjh
September 15th, 2012, 9:53 am
Forum: Technical Forum
Topic: quanto & change of numeraire
Replies: 7
Views: 13305

quanto & change of numeraire

<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...
by eiriamjh
September 5th, 2012, 2:20 pm
Forum: Technical Forum
Topic: quanto & change of numeraire
Replies: 7
Views: 13305

quanto & change of numeraire

<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...
by eiriamjh
September 5th, 2012, 12:15 pm
Forum: Technical Forum
Topic: quanto & change of numeraire
Replies: 7
Views: 13305

quanto & change of numeraire

<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...
by eiriamjh
September 5th, 2012, 1:41 am
Forum: Technical Forum
Topic: quanto & change of numeraire
Replies: 7
Views: 13305

quanto & change of numeraire

<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...
by eiriamjh
August 31st, 2012, 12:25 pm
Forum: Technical Forum
Topic: Local Vol Delta lower than BS?
Replies: 2
Views: 11212

Local Vol Delta lower than BS?

<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...
by eiriamjh
August 30th, 2012, 10:47 pm
Forum: Technical Forum
Topic: Local Vol Delta lower than BS?
Replies: 2
Views: 11212

Local Vol Delta lower than BS?

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

delta-rho relationship

thanks for the 2 derivations, they're more straightforward than what I thought!e.
by eiriamjh
September 30th, 2010, 9:44 pm
Forum: Technical Forum
Topic: delta-rho relationship
Replies: 8
Views: 24717

delta-rho relationship

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

delta-rho relationship

<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...
by eiriamjh
August 19th, 2010, 3:51 pm
Forum: Technical Forum
Topic: absolute value of stochastic differential
Replies: 18
Views: 26113

absolute value of stochastic differential

<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 ...
by eiriamjh
August 19th, 2010, 3:37 am
Forum: Technical Forum
Topic: absolute value of stochastic differential
Replies: 18
Views: 26113

absolute value of stochastic differential

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

absolute value of stochastic differential

<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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