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Sanjay's user avatar
Sanjay's user avatar
Sanjay
  • Member for 8 years, 6 months
  • Last seen more than 1 year ago
9 votes

List of interesting Quantitative Finance podcasts

6 votes
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How to take the differential of a stochastic integral?

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

5 votes
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Question about volatility surfaces

4 votes
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Understanding the ZABR model (an extension of SABR)

4 votes

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

3 votes
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Mathematical definition of a hedge?

3 votes

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

3 votes
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Risk neutral modelling of a stock

3 votes
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Option value with different spot prices

3 votes

Differential of integral of Wiener process over time

3 votes

CVaR is concave risk measure or convex?

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

3 votes
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Problem finding correct SDE for Stochastic Process

3 votes

Pricing under risk-neutral probabilities for weird derivatives?

3 votes

Good quant finance jokes

2 votes

Monte Carlo for Asian Pricing

2 votes
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SABR Implied Vol: Normal Approximation vs Log-Normal Approximation

2 votes
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Barrier Option Valuation

2 votes

Optimizing Investment Portfolio

2 votes

Black Scholes Theta Finite difference

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

1 vote
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Trading strategies for illiquid markets

1 vote
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Definition of log return of an asset

1 vote

Risk-neutral density from spot prices?

1 vote

Profit and Loss on delta-hedged portfolio

1 vote
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Application of Itô's lemma - Forward process

1 vote

calculate portfolio return with one long position and one short position

0 votes

Black Volatility using SABR model