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Andrew

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equity/index options trader; masters in financial engineering; masters in applied mathematics
395 reputation
 bio website visits member for 5 months
6 badges
 location seen 17 hours ago
summary answers questions tags badges favorites bounties reputation activity

15 Answers

newest activity votes
6
Theta's effect for OTM options
4
Are there any derivatives which pay amount $a(p-b)^{2}-c$ where $p$ is the price of underling asset?
3
When the Inverse Correlation between the SPX and VIX breaks down
3
How does the number of free dimensions of a model affect its required size of sample?
3
What are the advantages/disadvantages of these approaches to deal with volatility surface?
2
Kalman Filter Equity Example
1
Statistics of difference between two GBMs
1
What is the instantaneous P&L of a Variance Swap?
1
Trading a synthetic replication of the VVIX (volatility of VIX)
1
easy one step option replication
0
Typical coefficients uses in square-root model for market impact
0
Why is short term implied volatility typically higher?
0
easy one step option replication
0
Trading a synthetic replication of the VIX index
0
How to improve the Black-Scholes framework?
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