SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 79 matches

by amike
February 6th, 2019, 10:29 pm
Forum: Technical Forum
Topic: EAD and SA-CCR
Replies: 6
Views: 222

Re: EAD and SA-CCR

ah, ok, thanks.
by amike
February 6th, 2019, 7:56 pm
Forum: Technical Forum
Topic: EAD and SA-CCR
Replies: 6
Views: 222

Re: EAD and SA-CCR

I think maybe you missed my point.  Starting from just the short rate process you provided (3.11) and the alpha's (3.13) it looks to me like the process (up to t=5 at least) does not depend on the correlation [$]\rho_1[$] at all.  So it's hard to see how you can arrive at the correlation structure y...
by amike
February 6th, 2019, 1:34 pm
Forum: Technical Forum
Topic: EAD and SA-CCR
Replies: 6
Views: 222

Re: EAD and SA-CCR

Why would anyone think that?  I personally would have preferred a simpler SA-CCR -- admittedly probably with bigger flaws -- but with a somewhat flexible  approach to its use as a floor.  But that's me. A question about your `3-factor' model: equation (3.11) combined with (3.13).  I assume that your...
by amike
September 11th, 2018, 11:00 pm
Forum: Trading Forum
Topic: Correlation & Volatility - what returns period to use ?
Replies: 4
Views: 457

Re: Correlation & Volatility - what returns period to use ?

In the absence of any real autoregressive effects, if you sum the direct and lagged covariance, you end up with an (almost) unbiased estimate of the covariance between then two processes.  Then just divide by the 1-day standard deviations.  My estimate is that roughly 75-80% of the dependence is in ...
by amike
July 6th, 2018, 11:32 pm
Forum: Off Topic
Topic: Spewers of bullshit
Replies: 60
Views: 1176

Re: Spewers of bullshit

... (More generally, a problem (caused by a misplaced sense of egaliterianism) is that you are not allowed to attack people's ideas because they take it personally. Tyranny of the majority)  Please attack responsibly. The word 'attack' aligns this with the personality conflicts that seem to dominat...
by amike
June 7th, 2018, 11:10 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 786
Views: 51819

Re: Breakthrough in the theory of stochastic differential equations and their simulation

I am reasonably familiar with Kloeden+Platen, and thought I was simply repeating Exercise 5.2.7 (first edition) or, since you're going beyond first order, what happens in section 10.4/10.5.
Maybe not.
by amike
June 7th, 2018, 12:11 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 786
Views: 51819

Re: Breakthrough in the theory of stochastic differential equations and their simulation

... [$]X(t)=X(t_0) + \mu X(t_0)^{\beta} \int_{t_0}^t ds + \sigma X(t_0)^{\gamma} \int_{t_0}^t dz(s)[$] [$]+\mu \sigma \beta X(t_0)^{\beta + \gamma -1} \int_{t_0}^t \int_{t_0}^s dz(v) ds [$] ... Everything else aside, I get that you can introduce standard normal drivers to represent the distribution...
by amike
May 25th, 2018, 11:08 am
Forum: Student Forum
Topic: Options replication
Replies: 12
Views: 779

Re: Options replication

It becomes messy with two times already, and perhaps not really what you are after in hindsight... briefly: Writing [$]H[$] as the bivariate copula function for the joint distribution of the asset at [$]T_1[$] and [$] T_2[$], the value of an option with payoff [$] g(S(T_1),S(T_2)) [$] is ([$] f_1(S)...
by amike
May 25th, 2018, 12:10 am
Forum: Student Forum
Topic: Options replication
Replies: 12
Views: 779

Re: Options replication

Interesting. There are probably some Frechet copulas in there somewhere in disguise...
by amike
May 24th, 2018, 12:06 pm
Forum: Student Forum
Topic: Options replication
Replies: 12
Views: 779

Re: Options replication

I looked at something similar to your first form a while ago...  One thing I tried at was to introduce the bivariate density function (for S(T1) and S(T2)) and write it in terms of marginals and a copula function -- which I was quite happy to assume was normal with correlation given by the time over...
by amike
May 7th, 2017, 7:45 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 786
Views: 51819

Re: Breakthrough in the theory of stochastic differential equations and their simulation

It might be quite simple: the constants 2.5/sqrt(2 Pi) is nearly equal to one, so perhaps you have rounded something somewhere.  If you set this equal to one, get rid of the sigma on the left and assume that dz is a driftless Wiener process with volatility sigma, then you're fine I think.  
by amike
May 7th, 2017, 2:44 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 786
Views: 51819

Re: Breakthrough in the theory of stochastic differential equations and their simulation

I thought the logic was fairly clear: one of the results that you provided (that presumably resulted from the development in your `definitive answers' post) appears to be in conflict with known results.  If I can convince you (somehow) that this is the case, then you might have to go back and revisi...
by amike
May 7th, 2017, 1:23 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 786
Views: 51819

Re: Breakthrough in the theory of stochastic differential equations and their simulation

The validity of your proof I will leave you(/others?) to investigate, I merely point out that: 1. the left side is proportional to sigma, your right side is not. 2. There is a well-known result that your result does not agree with. For me that is sufficient to conclude that your result is either inc...
by amike
May 6th, 2017, 8:14 pm
Forum: Technical Forum
Topic: Breakthrough in the theory of stochastic differential equations and their simulation
Replies: 786
Views: 51819

Re: Breakthrough in the theory of stochastic differential equations and their simulation

... the fact that the left side is linear in sigma and the right has mysteriously picked up sigma^2 terms should be enough to conclude something.   :)
GZIP: On