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stochastic-processes

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Votes Activity Newest Views Added
44
votes
11
answers
6k
views

Lévy alpha-stable distribution and modelling of stock prices.

risk equities variance probability
Nov 10 '17 at 21:37 Dave Harris 3,207
33
votes
5
answers
14k
views

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

options volatility trading hedging option-strategies
Dec 7 '12 at 19:14 chrisaycock 9,349
27
votes
6
answers
3k
views

Model Validation Criteria

models model-validation model-risk-management
Jun 16 at 17:32 Arshdeep Singh Duggal 1,046
27
votes
4
answers
10k
views

Local Volatility vs. Stochastic Volatility

local-volatility stochastic-volatility
Jan 27 '14 at 16:38 Community♦ 1
20
votes
1
answer
7k
views

Skewness and Kurtosis under aggregation

statistics returns skew kurtosis
Nov 14 '12 at 2:43 Community♦ 1
16
votes
3
answers
2k
views

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

risk modern-portfolio-theory skewness kurtosis
May 8 '19 at 11:50 BigBendRegion 156
14
votes
3
answers
11k
views

Volatility arbitrage - how is the profit extracted?

volatility implied-volatility arbitrage
Apr 24 '14 at 18:01 user12348 1,638
14
votes
4
answers
2k
views

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

market stochastic-volatility
Mar 12 '14 at 19:42 AFK 3,626
12
votes
3
answers
5k
views

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

interest-rates futures
Aug 2 '19 at 6:08 Attack68♦ 7,352
10
votes
2
answers
2k
views

Market weights for Black-Litterman

black-litterman
Jul 18 '18 at 19:30 Glorfindel 203
10
votes
3
answers
8k
views

How to exploit calendar arbitrage?

options implied-volatility arbitrage
Aug 5 '19 at 11:43 JejeBelfort 1,170
9
votes
1
answer
207
views

Intuition behind Implied Volatility Surface

implied-volatility intuition
Jul 15 '19 at 8:47 Kevin 10.7k
9
votes
2
answers
829
views

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

option-pricing monte-carlo best-practices
Oct 21 '18 at 16:59 Jaehyuk Choi 553
9
votes
3
answers
626
views

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

interest-rates stochastic-processes stochastic-volatility finance-mathematics
Feb 5 '19 at 16:51 Brian B 13.7k
9
votes
2
answers
7k
views

Long Gamma vs Vega

finance-mathematics
Feb 21 '18 at 14:10 AlRacoon 4,125
8
votes
5
answers
3k
views

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

black-scholes implied-volatility numerical-methods
Oct 15 '18 at 2:47 Ezy 1,997
8
votes
4
answers
8k
views

Basket option pricing: step by step tutorial for beginners

options option-pricing black-scholes basket
Aug 3 '18 at 7:21 Jaehyuk Choi 553
8
votes
2
answers
862
views

Least Square Monte Carlo - american Call Option

monte-carlo american-options
Sep 21 '16 at 11:49 FinanceStudent 121
8
votes
1
answer
3k
views

Risk-neutral pricing in incomplete markets

option-pricing risk-neutral-measure
Jun 19 '14 at 5:57 AFK 3,626
8
votes
1
answer
323
views

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

models
Mar 8 '12 at 14:41 Ram Ahluwalia 13k
8
votes
1
answer
1k
views

derivation of the hedging error in a black scholes setup

black-scholes hedging delta-hedging
Oct 2 '15 at 18:25 AFK 3,626
7
votes
6
answers
2k
views

Arbitrage possible with negative rate of interest?

interest-rates arbitrage
Jun 2 '19 at 19:41 R. Steigmeier 135
6
votes
2
answers
1k
views

Does Black Scholes need to assume no arbitrage?

option-pricing black-scholes brownian-motion arbitrage
Aug 25 '18 at 23:51 Alex C 8,766
6
votes
3
answers
3k
views

Do hedge fund trading desks use portfolio optimization?

optimization hedge-fund
Jul 3 '15 at 7:52 Community♦ 1
6
votes
2
answers
7k
views

Principal Component Analysis of yield curve change

statistics yield-curve principal-components
Nov 13 '17 at 12:53 A.Oreo 1,163
5
votes
1
answer
3k
views

Continuous delta hedge formula

volatility black-scholes implied-volatility hedging
Jun 9 '17 at 12:08 LocalVolatility 5,628
5
votes
2
answers
973
views

Ideas about Stochastic volatility models

volatility stochastic-processes modeling models heston
Jun 2 '19 at 21:22 Glorfindel 203
4
votes
1
answer
2k
views

parameters in Heston model and their impact on volatility smile

heston volatility-smile
May 10 '15 at 8:20 Kiwiakos 4,042
4
votes
1
answer
114
views

Stress Testing approaches at Pension Funds/Asset Management companies

asset-allocation hedge-fund stress-testing
May 17 '19 at 21:56 AK88 1,514
4
votes
3
answers
493
views

Is there a way to meaningfully generate daily returns from monthly?

portfolio modeling portfolio-optimization factor-models
Jul 26 '16 at 10:15 Community♦ 1
1
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