Quantitative Finance
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oliversm

Scientist at Oxford university.

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5 Is it possible that under Black-Scholes: $\ln S_{T} \sim N \left ( \ln S_t - \frac{1}{2}\sigma^2(T-t), \sigma^2(T-t) \right )$ Jun 4 '16
4 Quantum Mechanics and Economics… What Jun 8 '16
4 Choice of time increment in Monte Carlo/ Geometric Brownian Motion (GBM) stock price prediction Jun 9 '16
4 Why do we perform change of variable for Black Scholes equation Jan 24
3 Advantage of solving the Fokker-Planck equation over Monte-Carlo simulations Aug 23 '18
3 What's the explanation for the formula for the volatility of a stock / volatility of the continuously compounded return of a stock? Jun 4 '16
2 Solution for american perpetual put Jun 9 '16
2 Optimal number of iterations for quasi-Monte Carlo Aug 23 '18
2 Quasi Random Monte Carlo in m.v. portfolio optimization Jan 20
1 Accuracy of Euler Monte Carlo discretization without knowing exact solution? Sep 6 '19
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