User Gordon

63 votes

Integral of Brownian motion w.r.t. time

answered Aug 5, 2016 at 18:37

33 votes

Accepted

Variance replication using options

answered May 28, 2015 at 18:00

29 votes

Accepted

Arbitrage opportunity interview question

answered Dec 14, 2015 at 21:28

27 votes

Carr-Madan Formula

answered Jun 15, 2016 at 15:14

23 votes

Accepted

Gamma Pnl vs Vega Pnl

answered May 16, 2018 at 21:55

20 votes

Black Scholes differential

answered Jan 31, 2017 at 18:40

20 votes

Bachelier model call option pricing formula

answered Mar 7, 2017 at 19:47

19 votes

Accepted

Black-Scholes under stochastic interest rates

answered Jun 11, 2015 at 18:25

13 votes

Accepted

Hull-White formula on wikipedia, correct?

answered Jan 9, 2017 at 15:36

13 votes

Accepted

Link between Vega and Gamma

answered Mar 16, 2016 at 17:07

13 votes

Accepted

How to exploit calendar arbitrage?

answered May 3, 2016 at 18:02

13 votes

Accepted

Convexity Adjustment for Futures

answered Mar 21, 2017 at 22:21

13 votes

Accepted

Solve the following SDE: $\mathrm{d}X_t = a(b-X_t) \,\mathrm{d}t + c X_t \, \mathrm{d}W_t$

answered Dec 30, 2019 at 23:01

12 votes

How to derive the price of a square-or-nothing call option?

answered May 25, 2016 at 13:15

11 votes

Accepted

How were these SDE derived?

answered Jun 14, 2016 at 18:35

11 votes

Accepted

Ho and lee derivation for short rates model

answered Dec 22, 2014 at 15:50

11 votes

Accepted

Finding Arbitrage in two Puts

answered Sep 17, 2015 at 15:07

11 votes

How to use the stock as a numeraire to price a derivative with payoff of the form $(S_T f(S_T))^+$?

answered Nov 22, 2015 at 15:31

10 votes

Accepted

What's Risk-Neutral in an Interest Rate Model?

answered Jun 5, 2015 at 13:58

10 votes

Accepted

FX forward with stochastic interest rates pricing

answered Jun 10, 2016 at 13:19

10 votes

Intuition for Stock Price Numeraire Drift

answered Jan 3, 2020 at 18:45

10 votes

Accepted

Proof behind solution for theta in Hull-White with time-dependent volatility and mean reversion?

answered May 2, 2018 at 1:26

9 votes

Expectation of Gamma times S$^2$ in Black-Scholes model

answered May 6, 2019 at 14:04

9 votes

Accepted

Caplet "in arrears" pricing formula

answered Jan 4, 2021 at 20:32

9 votes

Accepted

What is implied volatility?

answered Jul 27, 2016 at 15:59

9 votes

Accepted

Why does one-factor short-rate model tend to produce parallel shift of the yield curve?

answered Aug 18, 2016 at 14:31

9 votes

What are the properties of Max and Min functions?

answered Mar 10, 2015 at 17:39

9 votes

Accepted

Extended Hull White Interest Rate Model for Zero Coupon Bond

answered Oct 30, 2015 at 20:54

8 votes

Accepted

Risk-neutral expectation equation with collateral and funding costs

answered Oct 4, 2016 at 20:13

8 votes

Accepted

Geometric Brownian Motion: percentage returns vs log-returns

answered Feb 5, 2017 at 18:26

Stack Exchange Network

417 Answers

Integral of Brownian motion w.r.t. time

Variance replication using options

Arbitrage opportunity interview question

Carr-Madan Formula

Gamma Pnl vs Vega Pnl

Black Scholes differential

Bachelier model call option pricing formula

Black-Scholes under stochastic interest rates

Hull-White formula on wikipedia, correct?

Link between Vega and Gamma

How to exploit calendar arbitrage?

Convexity Adjustment for Futures

Solve the following SDE: $\mathrm{d}X_t = a(b-X_t) \,\mathrm{d}t + c X_t \, \mathrm{d}W_t$

How to derive the price of a square-or-nothing call option?

How were these SDE derived?

Ho and lee derivation for short rates model

Finding Arbitrage in two Puts

How to use the stock as a numeraire to price a derivative with payoff of the form $(S_T f(S_T))^+$?

What's Risk-Neutral in an Interest Rate Model?

FX forward with stochastic interest rates pricing

Intuition for Stock Price Numeraire Drift

Proof behind solution for theta in Hull-White with time-dependent volatility and mean reversion?

Expectation of Gamma times S$^2$ in Black-Scholes model

Caplet "in arrears" pricing formula

What is implied volatility?

Why does one-factor short-rate model tend to produce parallel shift of the yield curve?

What are the properties of Max and Min functions?

Extended Hull White Interest Rate Model for Zero Coupon Bond

Risk-neutral expectation equation with collateral and funding costs

Geometric Brownian Motion: percentage returns vs log-returns