Gabriele Pompa's user avatar
Gabriele Pompa's user avatar
Gabriele Pompa's user avatar
Gabriele Pompa
  • Member for 7 years, 11 months
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10 votes
2 answers
494 views

conditional expectation of stochastic integral

8 votes
1 answer
157 views

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

5 votes
1 answer
2k views

CIR model: is the short rate really non-central $\chi^2$ distributed?

4 votes
3 answers
3k views

VIX options historical data

3 votes
2 answers
290 views

VIX Futures data: why happen to have settle price > 0 and Volume = O.I. = 0

3 votes
1 answer
760 views

Do we need Feller condition if volatility process jumps?

2 votes
2 answers
1k views

VIX-implied Volatility calculator

2 votes
1 answer
789 views

exercise on multivariate Ito's lemma + jumps (Poisson)

1 vote
1 answer
185 views

option on bond future - any caplet representation out there ?

1 vote
1 answer
58 views

Regression of stochastic integral on Wiener process