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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 (137) All Questions Answers | Votes Newest

17 Finding distribution of $\int_0 ^T uW_u du$ May 8 '18
15 How much can be said about the Greeks without picking a model? Sep 17 '16
15 Arbitrage Free Volatility Smile Dec 7 '16
10 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 '18
8 Why must a riskless portfolio earn the risk-free rate? Mar 2 '17
8 Implied Volatility Surface - log forward moneyness Apr 21 '17
7 How do you find variance of a sde? Apr 3 '17
7 BUS/252 accrual - why 252? Mar 9 '17
7 Proof of gamma profit formula Mar 12 '17
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