SpeedBoots

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430 reputation

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	location	New York, NY
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visits	member for	2 years, 1 month
	seen	yesterday
stats	profile views	34

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5 Answers

votes activity newest

5	How does an option's time value depend on moneyness?
5	Which lags or percentiles should be run in a batch when calculating Value-at-Risk?
3	Utility to download historical Implied Volatility data from Interactive Brokers?
2	Why Drifts are not in the Black Scholes Formula
2	Question about equations and risk factors.

430 Reputation

+20	Why Drifts are not in the Black Scholes Formula
+10	How to estimate probability of default from bond prices?
+100	How does an option's time value depend on moneyness?
+5	Parameters for pricing option on EDF

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3 Questions

votes activity newest

6	How to estimate probability of default from bond prices?
6	Parameters for pricing option on EDF
3	What research exists regarding implementation of reverse stress testing?

16 Tags

7 options × 3	3 interactive-brokers
7 option-pricing × 2	2 models
5 risk	2 black-scholes
5 var	2 risk-neutral-measure
5 risk-management	0 implied-volatility

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2 Accounts

	Quantitative Finance	430 rep	26
	Cross Validated	106 rep	2

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