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awarded  Nice Answer
Jun
29
awarded  Nice Answer
Jun
29
comment How to derive the implied probability distribution from B-S volatilities?
Thanks, @Robino.
Jun
29
revised How to derive the implied probability distribution from B-S volatilities?
added 51 characters in body
Jun
9
reviewed No Action Needed Calculating Fees (Kane, Marcus, and Trippi)
Jun
9
reviewed No Action Needed Simulate (imaginary) asset prices using random numbers that follow a Frank Copula
Jun
8
answered Binomial representation of stochastic processes
May
24
comment Option Pricing under Jump Diffusion Models
You can also add an extra asset to the hedging portfolio, and obtain a complete model thereby.
May
24
comment Need for Binomial Representation Theorem
The martingale representation theorem has some conditions (as you implicitly note with the word continuous) but it is indeed a more general result and in mathematical finance the binomial calculations are indeed mainly motivations to intuition.
Apr
27
awarded  Nice Question
Feb
8
awarded  Yearling
Jan
30
comment What causes the call and put volatility surface to differ?
You can throw it into the objective function, but typically the errors are within the bid-offer spread. When they are not, that generally implies that you should be using a better borrow rate, which can be calibrated either as part of the overall vol surface fit, or in a separate pre-calibration stage that only looks at parity. Also worth noting is that, usually one calibrates (almost) exclusively to the out-of-the-money options.
Jan
29
revised What causes the call and put volatility surface to differ?
formatting
Jan
27
awarded  Nice Answer
Dec
3
comment Deriving credit spreads or migration matrices from prob of default
Good ideas. One could quibble about whether they amount to "deriving" a transition matrix, but they do end up with an answer.
Dec
2
revised Deriving credit spreads or migration matrices from prob of default
add example
Dec
2
comment Deriving credit spreads or migration matrices from prob of default
I can give a simple example....
Dec
2
answered Deriving credit spreads or migration matrices from prob of default
Dec
1
answered Create 10-K Filing Database
Nov
25
answered How to estimate the greeks with a Monte Carlo simulation?