Quantitative Finance
LocalVolatility
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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
12
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
Replicate a Portfolio with Given Payoff
Dec 18 '17
7
Why must a riskless portfolio earn the risk-free rate?
Mar 2 '17
7
Proof of gamma profit formula
Mar 12 '17
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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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