Quantitative Finance
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LocalVolatility
  • Member for 5 years, 11 months
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About

I am a leading the quant team at IMC Financial Markets, Amsterdam.

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All Questions Answers
Score Newest
answer
19
Finding distribution of $\int_0 ^T uW_u du$
May 8, 2018
answer
18
Arbitrage Free Volatility Smile
Dec 7, 2016
answer
16
How much can be said about the Greeks without picking a model?
Sep 17, 2016
answer
12
Prove that the butterfly condition is always greater than zero
Feb 22, 2017
answer
11
Two papers - two different solutions of the Ornstein-Uhlenbeck process
Jun 11, 2018
answer
10
Modeling Call Price w.r.t. Strike w Models that Capture Vol Smile
Oct 26, 2016
answer
8
Integral of Wiener process w.r.t. time
Mar 27, 2018
answer
7
Replicate a Portfolio with Given Payoff
Dec 18, 2017
answer
7
Why must a riskless portfolio earn the risk-free rate?
Mar 2, 2017
answer
7
Proof of gamma profit formula
Mar 12, 2017
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6
Why is std::none_of faster than a hand rolled loop?
5
Clang compile error related to static_assert and boost::hana

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