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KACEFMA.
  • Member for 7 years, 11 months
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6 votes
2 answers
632 views

Variance of a time integral with respect to a Brownian Motion function

4 votes
0 answers
535 views

Girsanov theorem and stopping time

4 votes
1 answer
319 views

On the reflection of a stochastic integral

3 votes
2 answers
2k views

How to show that the exponential Vasicek model is not an affine term-structure model?

2 votes
0 answers
48 views

About buying and selling a cumulative parisian options

1 vote
0 answers
168 views

On Geometric Brownian motion and Itô's formula

1 vote
3 answers
264 views

Are there really closed-form pricing formulas? [closed]

1 vote
0 answers
110 views

On the construction of a Brownian motion from a Gaussian process

0 votes
2 answers
99 views

How to show the equality of these two events?

-1 votes
1 answer
52 views

How to simulate the exponential law over an interval of the form [0,T]?