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Joanna's user avatar
Joanna
  • Member for 5 years, 10 months
  • Last seen more than a month ago
11 votes
5 answers
589 views

How to compute $E[W(T)\exp(W(T)]$

7 votes
2 answers
964 views

How to use a stochastic volatility model to price a quanto option

6 votes
3 answers
3k views

Which volatilities should I use for Quanto Options?

5 votes
0 answers
105 views

Closed formula for computing Implied Volatility from Local Volatility function

3 votes
0 answers
95 views

Implied Volatility is the harmonic average of Local Volatility

3 votes
2 answers
307 views

Derivation of static replication formula

3 votes
1 answer
157 views

Correlation Spot Vol - when is it important?

2 votes
1 answer
86 views

Calendar arbitrage in implied vol grid with discrete and proportional dividends

2 votes
0 answers
110 views

Impact of Discrete and linear dividends on Local Volatility model

2 votes
0 answers
69 views

Speculation with quanto option - how to see the realized correlation

2 votes
1 answer
5k views

Common Quanto adjustment

2 votes
1 answer
1k views

Instantaneous Volatility Estimator

2 votes
0 answers
67 views

Relation between SABR parameters and Taylor expansion parameters

2 votes
1 answer
141 views

How to find the transition distribution functions of these two processes?

2 votes
1 answer
1k views

Derivation of the efficient frontier set (markowitz problem)

1 vote
0 answers
188 views

Solution for Markowitz problem with Safety-First Ratio

1 vote
1 answer
73 views

Detailing a proposition about option pricing model coherence

1 vote
1 answer
944 views

Why is the ATM vol kind of an average volatility

1 vote
1 answer
301 views

Explaining mathematically why to use the ATM vol [closed]

1 vote
1 answer
285 views

Solving a Markowitz problem with restrictions (lower and upper bound) to the weights vector

1 vote
1 answer
768 views

Analytical Solution for Heston Model

1 vote
2 answers
246 views

Dupire pricing equation derivation vs Black Scholes PDE

1 vote
1 answer
243 views

Why Local Volatility model underestimate price of double no touch options

1 vote
1 answer
127 views

Calibrate Local Volatility model to price quanto options

1 vote
0 answers
48 views

Dividend adjustment on SABR formula for interpolating implied volatility

1 vote
0 answers
92 views

Price difference digital option : constant vol vs local vol

1 vote
1 answer
557 views

Predict the behavior of a time series (P&L trading desk)

0 votes
0 answers
35 views

Maximum entropy probability distribution for $S_T$ implied from discrete market quotes

0 votes
2 answers
3k views

What the implied distribution really is?

0 votes
1 answer
198 views

Prove that a determinant in markowitz method derivation is greater than zero