Gabriele Pompa's user avatar
Gabriele Pompa's user avatar
Gabriele Pompa's user avatar
Gabriele Pompa
  • Member for 8 years
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10 votes
2 answers
550 views

conditional expectation of stochastic integral

8 votes
1 answer
159 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
771 views

Do we need Feller condition if volatility process jumps?

2 votes
2 answers
1k views

VIX-implied Volatility calculator

2 votes
1 answer
817 views

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

1 vote
1 answer
191 views

option on bond future - any caplet representation out there ?

1 vote
1 answer
63 views

Regression of stochastic integral on Wiener process