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Mar
2
revised Basket option pricing: step by step tutorial for beginners
Link is now https only
Jan
4
revised Geometric Brownian Motion - increasing simulations or smaller step size
expand telescope
Dec
18
revised Path Dependent Options - Which choice of model?
high speed
Dec
18
revised Why does implied volatility show an inverse relation with strike price when examining option chains?
add equations
Dec
7
revised Why do volatility and correlation increase in times of crisis?
Clean notation
Dec
7
revised Sobol numbers in monte Carlo simulation
extra explanation
Nov
30
revised Why do volatility and correlation increase in times of crisis?
improve intro
Nov
29
revised Why do volatility and correlation increase in times of crisis?
clean up notation
Nov
27
revised Why do volatility and correlation increase in times of crisis?
fix variable, better explain
Nov
5
revised Sobol numbers in monte Carlo simulation
added 220 characters in body
Oct
6
revised When are ES E-mini future options issued?
added 11 characters in body
Sep
30
revised Raw (level) variable is significant while log return is not significant
broader explanation
Jul
6
revised Beta between stock and option
added terminal distribution integrals and comments on instantaneous versus terminal
Jul
6
revised VaR calculation methods of options
added 702 characters in body
Jul
6
revised Is there a popular curve fitting formula of options skew vs strike price or vs Delta?
include cutoffs
Jun
29
revised How to derive the implied probability distribution from B-S volatilities?
added 51 characters in body
Jan
29
revised What causes the call and put volatility surface to differ?
formatting
Dec
2
revised Deriving credit spreads or migration matrices from prob of default
add example
Oct
14
revised CDS Spread and Par Bond Yield Spread
add section on const int rate
Oct
2
revised Portfolio Turnover Constraint
added 1 character in body