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 Yearling
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1d
comment Why Lie groups, differential geometry and string theory relate to MF?
Not an expert at all in physics. For what it's worth path integrals are used in string theory and finance.
2d
revised Why Lie groups, differential geometry and string theory relate to MF?
added 76 characters in body
2d
answered Why Lie groups, differential geometry and string theory relate to MF?
May
7
revised probability question about brownian motion
deleted 43 characters in body
May
4
comment probability question about brownian motion
That was a typo sorry.
May
4
revised probability question about brownian motion
deleted 2 characters in body
May
4
answered probability question about brownian motion
Apr
23
awarded  Yearling
Feb
24
comment Time-independent local volatility
I wrote down the equation and it necessarily depends on time so my first intuition was wrong. I edited my answer.
Feb
24
revised Time-independent local volatility
added 155 characters in body
Feb
24
revised Time-independent local volatility
added 203 characters in body
Feb
22
comment Show that Z(t)/Z(0) is a positive mean-1 martingale
You're welcome ;)
Feb
22
answered Show that Z(t)/Z(0) is a positive mean-1 martingale
Feb
22
revised Time-independent local volatility
added 12 characters in body
Feb
22
answered Time-independent local volatility
Feb
22
answered How should I calculate the implied volatility of an American option in a real-time production environment?
Feb
22
answered In Dupire's paper, why is $(S_t, t)$ in the $(K, T)$ space?
Feb
22
answered Commonly used vol surface calibration model in the industry
Feb
22
comment Variance swap replication and variance vega
You may be confused by the fact that the vega as you used it only applies in the BS model whereas your portfolio valuation is not based on a model but on market values. When considering a non parametrical skewed implied volatility the notion of vega is not trivial (no parameter to derive w.r.t.). The naive way to do it is to consider a parallel shift of the implied volatility slice at the maturity of the variance swap. This is however not arbitrage free and not very meaningful so we use instead good parametrical functions and derive the shift by bumping one or more parameter of the curve.
Sep
24
awarded  Autobiographer