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jherek
  • Member for 5 years, 6 months
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7 votes

Calibrate a SABR model?

7 votes
Accepted

Normal vs Log normal implied volatility

6 votes
Accepted

B-splines: convexity in IV/Price

6 votes

Pricing of a Foreign Exchange Vanilla Option

6 votes
Accepted

Brennan-Schwartz algorithm for pricing American options

5 votes

Bachelier model call option pricing formula

4 votes

Which volatilities should I use for Quanto Options?

4 votes

Is there a Dupire's Formula for put options?

4 votes

Why SVI does not fit well short-maturity options?

3 votes

Vega in the Heston model

3 votes

European Swaption Pricing Using Normal volatilities

3 votes

Valuation of Total return swaps (TRS)

3 votes
Accepted

Equity Forward Price calculation

3 votes

Which stock tick has its geometric asian call?

3 votes

How to derive the implied probability distribution from B-S volatilities?

3 votes

Heston Model Integration Oscillations

2 votes

Pricing in the Heston Model

2 votes

What is the best book to learn about local vs. stochastic volatility, modelling and pricing of Exotics?

2 votes
Accepted

$\beta = 1$: Simulation of SABR and whether a solution is *exact*

2 votes

Does high levels of vol-of-vol parameter in SABR lead to Arbitrage? (Something seems wrong with Hagans formula)

2 votes

clarification to use collocation methods to get arbitrage free sabr

2 votes

What causes the call and put volatility surface to differ?

2 votes

Relationship between SABR and Heston

1 vote

Why were Laguerre polynomials a good choice of basis functions for American Monte Carlo?

1 vote

Proving $\mathbb{P}(S_t<0|S_0=s_0)=0$ for Geometric BM

1 vote
Accepted

Valuation of open FX-Forward

1 vote

Stochastic modelling of derivatives on dividends

1 vote

Uncertain volatility

1 vote
Accepted

How to reduce variance in Monte Carlo using Control Variates when spot prices are decreasing?

1 vote

Arbitrage-free IV surface definition vs. real arbitrage process