User user6703592

9 votes

2 answers

4k views

Different versions of sticky strike, moneyness and delta

asked Aug 7, 2018 at 2:00

8 votes

1 answer

1k views

Linear interpolation of local vol no arbitrage

asked Oct 31, 2018 at 2:12

4 votes

2 answers

288 views

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

asked Jan 3, 2017 at 3:30

3 votes

1 answer

316 views

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

asked Oct 17, 2018 at 9:28

2 votes

1 answer

1k views

How to calculate the covariance between two stochastic integrals?

asked Nov 2, 2018 at 10:56

2 votes

1 answer

1k views

How to take the differential of a stochastic integral?

asked Mar 5, 2018 at 2:05

2 votes

0 answers

78 views

Multiple max/min forward start option

asked Jun 5, 2018 at 9:40

2 votes

1 answer

2k views

Relation between OIS rate and discounting rate

asked Oct 14, 2018 at 10:21

1 vote

0 answers

77 views

Wrong understanding of implied vol cannot be linear interpolated

asked Nov 1, 2018 at 8:24

1 vote

1 answer

82 views

Some questions of precious metal Futures

asked Nov 26, 2018 at 15:02

1 vote

0 answers

176 views

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

asked Dec 8, 2018 at 10:46

1 vote

1 answer

759 views

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

asked Mar 18, 2019 at 9:07

1 vote

2 answers

164 views

Deliver Futures before last trading day

asked Mar 19, 2019 at 7:04

1 vote

1 answer

392 views

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

asked May 18, 2019 at 12:23

1 vote

0 answers

399 views

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

asked May 19, 2019 at 17:30

1 vote

1 answer

190 views

conditional expectation formula of default in CVA

asked Oct 18, 2021 at 17:59

1 vote

0 answers

148 views

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

asked Nov 20, 2022 at 16:23

0 votes

1 answer

238 views

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

asked Nov 21, 2022 at 9:52

0 votes

1 answer

190 views

constant dollar Gamma for variance swap

asked Mar 27 at 5:45

0 votes

1 answer

1k views

Calibration of parameters of implied vol smile

asked Nov 8, 2018 at 12:51

0 votes

0 answers

190 views

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

asked Nov 30, 2021 at 11:17

0 votes

1 answer

158 views

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

asked Mar 10, 2022 at 9:14

0 votes

1 answer

139 views

How to compute conditional expectation of multivariate normal

asked Jan 17, 2017 at 2:23

Stack Exchange Network

23 Questions

Different versions of sticky strike, moneyness and delta

Linear interpolation of local vol no arbitrage

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

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

How to calculate the covariance between two stochastic integrals?

How to take the differential of a stochastic integral?

Multiple max/min forward start option

Relation between OIS rate and discounting rate

Wrong understanding of implied vol cannot be linear interpolated

Some questions of precious metal Futures

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

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

Deliver Futures before last trading day

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

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

conditional expectation formula of default in CVA

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

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

constant dollar Gamma for variance swap

Calibration of parameters of implied vol smile

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

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

How to compute conditional expectation of multivariate normal