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Ulysses's user avatar
Ulysses's user avatar
Ulysses
  • Member for 9 years, 6 months
  • Last seen more than 7 years ago
5 votes
Accepted

Portfolio VaR with Copula?

5 votes
Accepted

Variable Drift Ornstein–Uhlenbeck Process

4 votes

Girsanov's Theorem - Change of Measure

4 votes
Accepted

Exercise on American call option and dividends

4 votes
Accepted

Calibration of nested pricing models consistently on two different classes of derivatives

3 votes

Why is the rate of change of a stock price proportional to the stock price?

3 votes
Accepted

Option arbitrage with dividends?

2 votes

Joint probability distribution only measures product sets?

2 votes

What is the probability distribution of the changes in $\Delta$?

2 votes
Accepted

Proving that Absence of Arbitrage does not imply law of one price

1 vote

What is the stochastic differential of a general semimartingale?

1 vote

Optimal Portfolios

1 vote

What is delta neutral

1 vote

Interpretation of Correlation

1 vote
Accepted

Derivation of Stochastic Vol PDE

1 vote
Accepted

Do futures follow physical or risk-neutral distributions

1 vote

How we can derive the PIDE of double exponential jump-diffusion model (Kou model)?

1 vote

Matlab Portfolio Optimization with bid ask spread

0 votes

Deriving the definition of stochastic integrals with respect to Ito processes from first principles

0 votes

Why is $C(t,S_t)/B_t$ a martingale?

0 votes

Questions on the relationship between option price and maturity

0 votes

Why can't I multiply two SDE Solutions?

0 votes
Accepted

Why IV shares an inverse relationship with underlying

0 votes

Greeks of self-financing portfolio

0 votes

Why doesn't Black-Scholes assume the absence of statistical arbitrage?