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Bram
  • Member for 7 years, 10 months
  • Last seen more than a month ago
  • Netherlands
6 votes

What really is Gamma scalping?

5 votes
Accepted

What is the reasoning to derive this financial model called the Vasicek Model?

4 votes

Rich Volatility, Poor Volatility

3 votes

Is there a good closed-form approximation for Black-Scholes implied volatility?

2 votes

Correlation of Asynchronous Brownian Motion

2 votes
Accepted

Volatility of Futures

2 votes

construct an option portfolio on a single asset that is both Long Gamma and short vega

2 votes

Commodity options time to expiry conventions?

2 votes
Accepted

M&A hedging an equity portfolio against an index

2 votes

For equity options, does the implied vol change if the price of the underlying does?

2 votes

Single vs Multi factor interest rate model

2 votes

PCA for Risk bucketing

1 vote

Commodity Asian Swaps

1 vote

Options Delta Meaning of Term

1 vote

Forward Volatility vs Spot Volatility in Option Skew Models

1 vote

Super-replicating and sub-replicating portfolios and hedging

1 vote

Value-at-risk and Equity delta

1 vote

Constraints on bid price in markets

1 vote

Looking at distribution of yearly returns of time series

1 vote
Accepted

Up-front settlement of forward contract

1 vote

Covariance Interest Rate Risk Time Series

1 vote

How did the SVXY ETF (-1x VIX) survive a 115% jump in VIX?

1 vote

Principal component analysis for yield curve

1 vote

How can theta be so large on this option?

1 vote

Methods for "prompt month equivalent" exposure in commodities forwards/futures markets

1 vote
Accepted

How to classify stocks by their volatility?

1 vote

book of options hedging case of floating rate

1 vote

ICE oil Future Markers

0 votes

Time to maturity of a bond not divisible by payment period

0 votes

How to calculate the yield of a forward bond price from the zero curve