Reputation
346
Next privilege 350 Rep.
Access review queues
Badges
1 7
Newest
 Revival
Impact
~2k people reached

  • 0 posts edited
  • 0 helpful flags
  • 5 votes cast
Jan
7
comment Time-independent local volatility
The question was about the existence of such surface given any input. My answer hints at counter examples : take any non trivial SVI
Jul
23
awarded  Revival
May
26
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.
May
25
revised Why Lie groups, differential geometry and string theory relate to MF?
added 76 characters in body
May
25
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