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user6703592
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9 votes
2 answers
4k views

Different versions of sticky strike, moneyness and delta

8 votes
1 answer
1k views

Linear interpolation of local vol no arbitrage

4 votes
2 answers
289 views

Value of cash flow for a future in Shreve's book

3 votes
1 answer
323 views

How to calculate the expectation of Poisson process when its intensity is also stochastic

2 votes
1 answer
1k views

How to calculate the covariance between two stochastic integrals?

2 votes
1 answer
1k views

How to take the differential of a stochastic integral?

2 votes
0 answers
81 views

Multiple max/min forward start option

2 votes
1 answer
2k views

Relation between OIS rate and discounting rate

1 vote
0 answers
77 views

Wrong understanding of implied vol cannot be linear interpolated

1 vote
1 answer
86 views

Some questions of precious metal Futures

1 vote
0 answers
183 views

Does the Asian Option (average Option) depend on the forward implied vol

1 vote
1 answer
842 views

Difference between timing option, end of month option and wild card option of bond futures

1 vote
2 answers
165 views

Deliver Futures before last trading day

1 vote
1 answer
421 views

Cross currency swap basis with USD added on the covered interest rate parity (CIP)

1 vote
0 answers
406 views

Why don't we build the discounting curve and projection curve from bonds

1 vote
1 answer
212 views

conditional expectation formula of default in CVA

1 vote
0 answers
186 views

how to understand Black-Scholes volatility is average of local volatilities

0 votes
1 answer
292 views

Does Heston and SABR match market vol smile perfectly (arbitrage free)?

0 votes
1 answer
291 views

constant dollar Gamma for variance swap

0 votes
1 answer
1k views

Calibration of parameters of implied vol smile

0 votes
0 answers
206 views

Difference of digital (binary) option price under normal and log-normal assumption

0 votes
1 answer
163 views

local vol model and stochastic vol model for double knock out barrier option

0 votes
1 answer
139 views

How to compute conditional expectation of multivariate normal