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will's user avatar
will
  • Member for 8 years
  • Last seen more than a month ago
  • London, United Kingdom
17 votes
Accepted

Barrier option (autocallable) Vega profile

11 votes
Accepted

For pricing, what types of Exotic Options are suitable using Local Volatility Model or a Stochastic Volatility Model?

10 votes

Why is a variance swap long skew?

7 votes
Accepted

Can an In-the-Money Put Option's price $>$ its Strike Price?

6 votes
Accepted

Is there any public data to get OIS for differal time (1d, 1W, 1M, ..., 10Y)?

6 votes

Delta hedging on Barrier/Digital Options

6 votes

How to price a phoenix and snowball type autocallable options?

5 votes
Accepted

Preparation for interview: influx of power of the moon

4 votes

Methods to compute Local Volatility surface and price

4 votes

Why implicit volatility has the shape of a "smile"?

4 votes
Accepted

Monte Carlo simulations in Python using quasi random standard normal numbers using sobol sequences gives erroneous values

4 votes
Accepted

Example of complex structured products on FX market?

4 votes
Accepted

Exotic Trading Basic Questions - Banking

4 votes

Using a call-spread to hedge a digital option

4 votes
Accepted

Mark Joshi, Quant Interview Question problem 2.34; replicating a digital option on a 4-step symmetric binomial tree

4 votes

Extrapolation of the volatility smile

4 votes

Autocallable pricing under stochastic vs. local volatility

4 votes
Accepted

Construction of Butterfly Spread as sum of Call Options

4 votes
Accepted

Using crude Monte Carlo

4 votes
Accepted

Structured question on mark-to-market value of a variance swap

3 votes

Leveraged ETF pair trade, where's the gamma/convexity?

3 votes
Accepted

is price of multiple option strategy linear under expectation?

3 votes

Implied Volatility Models

3 votes
Accepted

How is delta defined as a unit?

3 votes

Using Euro CDS for a USD transaction

3 votes
Accepted

Detailing a proposition about option pricing model coherence

3 votes
Accepted

Why is logarithmic mean equal to the arithmetic expectation less one-half its variance?

3 votes

How does income tax affect the Ex-dividend behavior of a stock?

3 votes

Why is stock futures price much lower than spot?

2 votes

Skewed Student t distribution MLE and Simulation