New answers tagged

4 votes

Can Heston volatility model be used to calculate VaR or CVaR?

Certainly! The Heston model is a well-known model in quantitative finance that describes the evolution of the volatility of an asset. It's a stochastic volatility model, meaning it assumes that the ...
Amit Kumar Jha's user avatar
0 votes

How to measure Steepener/Flattener/Butterfly sensitivity? (in 01)

I think this question may be referring to something like what's done for curve gamma - a measure that's pretty important to spread options portfolios, for example. Leaving the PCA route aside, one ...
user35980's user avatar
  • 996

Top 50 recent answers are included