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LocalVolatility
  • Member for 6 years, 1 month
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71 votes
9 answers
52k views

What is an efficient data structure to model order book?

  • 921
36 votes
5 answers
8k views

Strictly local martingales: what is the intuition behind them?

  • 4,247
26 votes
4 answers
3k views

What are the recent quantitative finance papers we should all read?

  • 7,731
21 votes
3 answers
6k views

Is there a popular curve fitting formula of options skew vs strike price or vs Delta?

  • 311
21 votes
0 answers
1k views

Local Stochastic Volatility - Break even levels

  • 14.1k
18 votes
2 answers
1k views

Stochastic modelling of derivatives on dividends

  • 13.3k
17 votes
1 answer
1k views

How much can be said about the Greeks without picking a model?

17 votes
1 answer
4k views

$\mathbb{P}$ vs $\mathbb{Q}$ Probabilities - Transitioning Between Measures

  • 665
15 votes
2 answers
4k views

Delta-Hedging Exotic Options

14 votes
2 answers
10k views

How to calibrate a volatility surface using SVI

  • 1,638
14 votes
1 answer
547 views

Have any new stylized facts of asset returns been discovered since 2001?

  • 1,644
13 votes
1 answer
2k views

Variance swap volatility - ATMF vol, Skew and Curvature

  • 14.1k
12 votes
4 answers
13k views

Local volatility surface corresponding to the implied volatility surface

  • 131
12 votes
4 answers
4k views

Understanding $N(d_1)$ and how to use the stock itself as the numeraire?

10 votes
2 answers
2k views

Implying risk-free rates using Put/Call parity

  • 165
10 votes
3 answers
3k views

Model to Predict the Change in IV of an Option

  • 1,807
10 votes
1 answer
2k views

Constructing Volatility Smile from American Options

  • 101
9 votes
1 answer
3k views

For pricing, what types of Exotic Options are suitable using Local Volatility Model or a Stochastic Volatility Model?

  • 463
9 votes
2 answers
855 views

What is the numeraire for the real world measure $\mathbb{P}$?

8 votes
2 answers
5k views

Local vol, stochastic vol, implied vol

8 votes
2 answers
1k views

Simulating from a multivariate clayton copula

  • 363
8 votes
1 answer
2k views

Is the local volatility linear if smile is linear?

  • 81
7 votes
2 answers
935 views

Proof of approximation formulas for implied volatilities

7 votes
1 answer
6k views

Girsanov Theorem for Quanto/Compo adjustment

  • 189
7 votes
1 answer
3k views

Mixed local-stochastic volatility model in Quantlib

  • 529
7 votes
3 answers
3k views

Is an autocorrelation of the abs returns just a consequence of the volatility burst?

  • 1,644
6 votes
1 answer
640 views

OpenGamma's Strata - Computational Overhead

  • 1,142
6 votes
2 answers
4k views

Dynamic Hedge of Quanto Options

  • 63
6 votes
1 answer
423 views

How does Algorithmic Differentiation work and where can it be applied?

  • 1,859
5 votes
1 answer
261 views

Most accurate Fourier transform method for extreme OTM options