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Oct
23
answered What is Heston's equation?
Oct
23
answered VaR for corporate bonds
Oct
17
comment Multi Factor Credit Risk Models
+1 for "don't blindly build on correlations"
Oct
17
answered How to transform process to risk-neutral measure for Monte Carlo option pricing?
Oct
10
answered How do I model risks for specific short-term short calls in a portfolio with limited data?
Oct
9
revised Greeks and Option Premium
forgotten minus sign
Oct
9
answered Greeks and Option Premium
Oct
9
awarded  Nice Answer
Oct
8
comment Discrete-time Jump-Diffusion Model
By "recombining" you mean Markov?
Oct
3
awarded  options
Oct
2
answered When to use Monte Carlo simulation over analytical methods for options pricing?
Sep
25
answered How can I estimate the parameters of an option value model of retirement?
Sep
20
comment VIX = Vega of S&P500 options?
Good point, Strange. It shouldn't be hard to check if there is any S&P prediction component there.
Sep
20
comment Modelling VIX Futures for risk management
I'm not quite sure why VIX spot is part of your system at all. It's not like it's going to be part of your portfolio, so for my money it makes sense to exclusively consider the dynamics of the futures, which likely don't change much even in the last few days beforfe expiration. It would at least be worth checking that notion, since you would get a useful simplification.
Sep
18
answered VIX = Vega of S&P500 options?
Sep
18
answered Modelling VIX Futures for risk management
Sep
18
answered What is the instantaneous P&L of a Variance Swap?
Aug
31
comment Can the Heston model be shown to reduce to the original Black Scholes model if appropriate parameters are chosen?
Which fourier methods are you trying? This sounds to me like a branch-cut problem, likely solved as in Jim Gatheral's book.
Aug
31
answered Is there any evidence that an option delta approximates ITM expiry probability?
Aug
6
comment Simulating the joint dynamics of a stock and an option
How about Brian Boonstra, Illinois Institute of Technology.