User Sanjay

9 votes

List of interesting Quantitative Finance podcasts

answered Jun 12, 2019 at 13:42

6 votes

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How to take the differential of a stochastic integral?

answered Mar 5, 2018 at 2:46

6 votes

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What is the price of the European option with the payoff of $\max(S^a-K,0)$?

answered Mar 18, 2019 at 16:20

5 votes

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Question about volatility surfaces

answered Aug 17, 2019 at 23:47

4 votes

How to calculate one-year forward one-year rate?

answered Feb 15, 2019 at 22:43

3 votes

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Mathematical definition of a hedge?

answered Mar 3, 2018 at 23:10

3 votes

How to show that SABR is log-normal for $\beta=1$ and normal for $\beta=0$?

answered Dec 20, 2018 at 7:18

3 votes

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Risk neutral modelling of a stock

answered Feb 26, 2019 at 21:42

3 votes

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Option value with different spot prices

answered Feb 28, 2019 at 13:34

3 votes

Differential of integral of Wiener process over time

answered Feb 28, 2019 at 15:08

3 votes

Good quant finance jokes

answered Dec 1, 2019 at 17:21

3 votes

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Understanding the ZABR model (an extension of SABR)

answered Jun 16, 2019 at 23:48

3 votes

CVaR is concave risk measure or convex?

answered Aug 11, 2019 at 0:56

3 votes

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is relating bounds to relation between time to maturity and european put option price correct?

answered Mar 5, 2019 at 17:05

3 votes

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Problem finding correct SDE for Stochastic Process

answered May 11, 2019 at 13:07

3 votes

Pricing under risk-neutral probabilities for weird derivatives?

answered May 19, 2019 at 14:07

2 votes

Monte Carlo for Asian Pricing

answered Mar 22, 2019 at 15:29

2 votes

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SABR Implied Vol: Normal Approximation vs Log-Normal Approximation

answered Jul 22, 2019 at 14:06

2 votes

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Barrier Option Valuation

answered Mar 3, 2019 at 22:09

2 votes

Optimizing Investment Portfolio

answered Feb 22, 2019 at 5:24

2 votes

Black Scholes Theta Finite difference

answered Apr 18, 2018 at 21:34

2 votes

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SABR calibration in R. How to estimate rho and nu so sum of squared errors is minimized

answered Nov 16, 2016 at 17:28

1 vote

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Trading strategies for illiquid markets

answered Dec 22, 2016 at 16:23

1 vote

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Definition of log return of an asset

answered Nov 1, 2017 at 0:19

1 vote

Risk-neutral density from spot prices?

answered Mar 18, 2019 at 19:30

1 vote

Profit and Loss on delta-hedged portfolio

answered Mar 19, 2019 at 15:30

1 vote

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Application of Itô's lemma - Forward process

answered Mar 21, 2019 at 14:39

1 vote

calculate portfolio return with one long position and one short position

answered Mar 13, 2019 at 17:38

0 votes

Black Volatility using SABR model

answered Aug 25, 2020 at 10:55

Stack Exchange Network

29 Answers

List of interesting Quantitative Finance podcasts

How to take the differential of a stochastic integral?

What is the price of the European option with the payoff of $\max(S^a-K,0)$?

Question about volatility surfaces

How to calculate one-year forward one-year rate?

Mathematical definition of a hedge?

How to show that SABR is log-normal for $\beta=1$ and normal for $\beta=0$?

Risk neutral modelling of a stock

Option value with different spot prices

Differential of integral of Wiener process over time

Good quant finance jokes

Understanding the ZABR model (an extension of SABR)

CVaR is concave risk measure or convex?

is relating bounds to relation between time to maturity and european put option price correct?

Problem finding correct SDE for Stochastic Process

Pricing under risk-neutral probabilities for weird derivatives?

Monte Carlo for Asian Pricing

SABR Implied Vol: Normal Approximation vs Log-Normal Approximation

Barrier Option Valuation

Optimizing Investment Portfolio

Black Scholes Theta Finite difference

SABR calibration in R. How to estimate rho and nu so sum of squared errors is minimized

Trading strategies for illiquid markets

Definition of log return of an asset

Risk-neutral density from spot prices?

Profit and Loss on delta-hedged portfolio

Application of Itô's lemma - Forward process

calculate portfolio return with one long position and one short position

Black Volatility using SABR model