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46 Bookmarks

Lévy alpha-stable distribution and modelling of stock prices.

Skew arbitrage: How can you realize the skewness of the underlying?

Model Validation Criteria

Local Volatility vs. Stochastic Volatility

Skewness and Kurtosis under aggregation

What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?

Volatility arbitrage - how is the profit extracted?

How to prove that markets are incomplete under the Stochastic Volatility model?

How does one estimate the probability of the Fed increasing its benchmark rate based on Fed funds futures?

Market weights for Black-Litterman

How to exploit calendar arbitrage?

Intuition behind Implied Volatility Surface

Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)

Why is it useless to model stochastic volatility when pricing Vanilla style derivatives?

Long Gamma vs Vega

Is there a good closed-form approximation for Black-Scholes implied volatility?

Basket option pricing: step by step tutorial for beginners

Least Square Monte Carlo - american Call Option

Risk-neutral pricing in incomplete markets

What are some quantitative ways to obtain the view confidences in Idzorek's version of Black-Litterman?

derivation of the hedging error in a black scholes setup

Arbitrage possible with negative rate of interest?

Does Black Scholes need to assume no arbitrage?

Do hedge fund trading desks use portfolio optimization?

Principal Component Analysis of yield curve change

Continuous delta hedge formula

Ideas about Stochastic volatility models

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Stress Testing approaches at Pension Funds/Asset Management companies

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