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Gordon's user avatar
Gordon's user avatar
Gordon
  • Member for 9 years, 11 months
  • Last seen this week
  • Toronto, ON, Canada
63 votes

Integral of Brownian motion w.r.t. time

33 votes
Accepted

Variance replication using options

29 votes
Accepted

Arbitrage opportunity interview question

27 votes

Carr-Madan Formula

23 votes
Accepted

Gamma Pnl vs Vega Pnl

20 votes

Black Scholes differential

20 votes

Bachelier model call option pricing formula

19 votes
Accepted

Black-Scholes under stochastic interest rates

13 votes
Accepted

Hull-White formula on wikipedia, correct?

13 votes
Accepted

Link between Vega and Gamma

13 votes
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How to exploit calendar arbitrage?

13 votes
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Convexity Adjustment for Futures

13 votes
Accepted

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

12 votes

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

11 votes
Accepted

How were these SDE derived?

11 votes
Accepted

Ho and lee derivation for short rates model

11 votes
Accepted

Finding Arbitrage in two Puts

11 votes

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

10 votes
Accepted

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

10 votes
Accepted

FX forward with stochastic interest rates pricing

10 votes

Intuition for Stock Price Numeraire Drift

9 votes
Accepted

Caplet "in arrears" pricing formula

9 votes
Accepted

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

9 votes

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

9 votes
Accepted

What is implied volatility?

9 votes
Accepted

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

9 votes

What are the properties of Max and Min functions?

8 votes
Accepted

Extended Hull White Interest Rate Model for Zero Coupon Bond

8 votes
Accepted

Risk-neutral expectation equation with collateral and funding costs

8 votes
Accepted

Geometric Brownian Motion: percentage returns vs log-returns

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