Skip to main content
Victor123's user avatar
Victor123's user avatar
Victor123's user avatar
Victor123
  • Member for 13 years, 5 months
  • Last seen more than 3 years ago
  • Toronto, Canada
8 votes
1 answer
2k views

How to approximate the time to mean reversion for implied volatility

8 votes
1 answer
8k views

Effect of volatility on the delta of a call option

7 votes
1 answer
2k views

Can I add the greeks of individual postions to obtain greeks for the portfolio

6 votes
2 answers
6k views

Why a calendar spread is a preferred strategy in a low volatility period

6 votes
5 answers
933 views

Math background required to understand geometric brownian motion

5 votes
2 answers
645 views

Does higher vega imply higher IV and vice versa

5 votes
2 answers
8k views

Why an option has sometimes and implied volatility greater than 100%?

5 votes
3 answers
5k views

Why gamma for ATM option decreases as volatility increases

4 votes
0 answers
161 views

How can a beginner trader make use of 'volatility of volatility'

4 votes
2 answers
2k views

Book recommendation for credit risk management for banking

4 votes
4 answers
19k views

Difference between ito process, brownian motion and random walk

3 votes
1 answer
345 views

How to model the maturity term of non maturing deposit accounts

3 votes
1 answer
243 views

If an option went down in value, how much is due to theta decay and how much due to fall in IV

3 votes
1 answer
7k views

Why is IV different between put and call of same strike

3 votes
1 answer
6k views

What is Margin of Conservatism

2 votes
1 answer
160 views

How to manage risk on a call calendar when underlying is falling

2 votes
1 answer
1k views

Why we consider second derivative w.rt price but only first derivative w.r.t time and volatility

2 votes
1 answer
505 views

Relation between Parkinson number and historical volatility

2 votes
2 answers
1k views

Liquidity seeking algorithms open source implementation

2 votes
0 answers
342 views

How to hedge a long stock with the corresponding volatility ETF

2 votes
1 answer
4k views

Under what circumstances would one want to delta hedge a straddle

2 votes
3 answers
6k views

Difference between CAPM and mean variance optimization

2 votes
3 answers
468 views

Books on Market Risk for practice problems

2 votes
4 answers
2k views

Is exposure at default the same thing as the limit amount on a loan?

1 vote
1 answer
533 views

How can I conduct a basic Monte carlo simulation on 2 stocks?

1 vote
1 answer
816 views

What is the distribution assumption of the black scholes model

1 vote
0 answers
65 views

Use of Macaulay Duration to calculate the Funds Transfer Pricing Cost of an Amortizing Mortgage

1 vote
1 answer
178 views

A quick and dirty loss distribution and Credit VaR

1 vote
0 answers
17 views

Estimate the off balance sheet exposures of a banking book, based on limited data

1 vote
0 answers
67 views

What is a quick way to estimate the haircut on a collateral that is actively traded