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Quantitative Finance
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LocalVolatility

I am a desk quant at IMC Financial Markets, Amsterdam.

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Top Posts (134) All Questions Answers | Votes Newest

14 Finding distribution of $\int_0 ^T uW_u du$ May 8
13 How much can be said about the Greeks without picking a model? Sep 17 '16
10 Arbitrage Free Volatility Smile Dec 7 '16
9 Modeling Call Price w.r.t. Strike w Models that Capture Vol Smile Oct 26 '16
8 Two papers - two different solutions of the Ornstein-Uhlenbeck process Jun 11
8 Why must a riskless portfolio earn the risk-free rate? Mar 2 '17
7 How do you find variance of a sde? Apr 3 '17
7 Implied Volatility Surface - log forward moneyness Apr 21 '17
7 Confusion with volatility smiles implied by different models Nov 9 '16
7 Prove that the butterfly condition is always greater than zero Feb 22 '17
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