Quantitative Finance
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LocalVolatility

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

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19 Finding distribution of $\int_0 ^T uW_u du$ May 8 '18
17 Arbitrage Free Volatility Smile Dec 7 '16
16 How much can be said about the Greeks without picking a model? Sep 17 '16
11 Prove that the butterfly condition is always greater than zero Feb 22 '17
11 Two papers - two different solutions of the Ornstein-Uhlenbeck process Jun 11 '18
10 Modeling Call Price w.r.t. Strike w Models that Capture Vol Smile Oct 26 '16
8 Integral of Wiener process w.r.t. time Mar 27 '18
7 Why must a riskless portfolio earn the risk-free rate? Mar 2 '17
7 Proof of gamma profit formula Mar 12 '17
7 Implied Volatility Surface - log forward moneyness Apr 21 '17
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