User A.Oreo

8 votes

2 answers

641 views

Refer some most recent books of derivatives pricing by C++

asked Nov 1, 2017 at 7:32

7 votes

1 answer

2k views

Black-Scholes formula for Poisson jumps

asked May 6, 2017 at 16:00

6 votes

2 answers

9k views

Principal Component Analysis of yield curve change

asked Nov 11, 2017 at 19:22

5 votes

1 answer

2k views

How to understand the no call or put spread arbitrage condition

asked Nov 2, 2017 at 7:35

5 votes

1 answer

515 views

Pricing the Passport option

asked Jun 11, 2017 at 14:22

4 votes

1 answer

3k views

How to understand the compatibility between the discrete and continuous dividend payments

asked Aug 13, 2017 at 12:06

4 votes

1 answer

282 views

How to price up-out-call by solving heat equation like down-out-call

asked Mar 1, 2017 at 4:35

4 votes

3 answers

1k views

use Monte Carlo or FDM to price Basket option

asked Nov 16, 2017 at 13:58

4 votes

1 answer

3k views

The relation between coupon and convexity

asked Nov 25, 2017 at 12:54

3 votes

0 answers

547 views

Hull White and HJM model not Markov

asked Nov 20, 2017 at 11:24

3 votes

2 answers

1k views

Time dependent parameters in Hull-White model

asked Oct 20, 2017 at 3:02

3 votes

2 answers

313 views

The PDE of caplet and floors

asked Mar 14, 2017 at 7:11

3 votes

1 answer

245 views

markov property for stochastic differential equation

asked Apr 20, 2017 at 14:01

3 votes

1 answer

490 views

Cap option on Libor

asked May 31, 2017 at 7:34

2 votes

1 answer

3k views

How to understand the market price of risk

asked Apr 14, 2017 at 15:45

2 votes

3 answers

290 views

Why don't we take the differential to the Delta in the Delta hedge-portfolio

asked Jun 7, 2017 at 4:04

2 votes

1 answer

219 views

How to understand closing position of futures

asked Aug 3, 2017 at 1:35

2 votes

1 answer

268 views

How to price the American style Asian option with recent N day average

asked Apr 5, 2017 at 7:01

2 votes

1 answer

306 views

How to solve one-touch American call

asked Mar 9, 2017 at 12:46

2 votes

2 answers

535 views

How to make the arbitrage if intrinsic value is greater than European call value

asked Mar 10, 2017 at 14:52

2 votes

2 answers

85 views

Why can we neglect the mean in the variance when the time step is very small?

asked Feb 21, 2017 at 4:52

2 votes

2 answers

4k views

why futures contract has no value

asked Mar 13, 2017 at 10:43

2 votes

2 answers

331 views

The PDE of the probability hitting the barrier before T

asked Mar 2, 2017 at 11:16

2 votes

1 answer

123 views

Why there is some inhomogeneous term in the PDE of fixed income

asked Feb 7, 2017 at 14:30

2 votes

1 answer

1k views

at-the-money short term straddle and the implied vol

asked Nov 6, 2017 at 15:23

2 votes

1 answer

1k views

quanto adjustments

asked Aug 15, 2017 at 10:48

2 votes

0 answers

89 views

Deduce GARCH(1,1) to the stochastic variance model

asked Aug 24, 2017 at 13:46

2 votes

2 answers

1k views

The dice game and derivatives trading

asked Nov 21, 2017 at 11:50

1 vote

2 answers

685 views

Binomial tree prices the American put

asked Sep 19, 2017 at 10:43

1 vote

1 answer

721 views

Intuitively understand boundaries of American Call and Put

asked Sep 20, 2017 at 5:43

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60 Questions

Refer some most recent books of derivatives pricing by C++

Black-Scholes formula for Poisson jumps

Principal Component Analysis of yield curve change

How to understand the no call or put spread arbitrage condition

Pricing the Passport option

How to understand the compatibility between the discrete and continuous dividend payments

How to price up-out-call by solving heat equation like down-out-call

use Monte Carlo or FDM to price Basket option

The relation between coupon and convexity

Hull White and HJM model not Markov

Time dependent parameters in Hull-White model

The PDE of caplet and floors

markov property for stochastic differential equation

Cap option on Libor

How to understand the market price of risk

Why don't we take the differential to the Delta in the Delta hedge-portfolio

How to understand closing position of futures

How to price the American style Asian option with recent N day average

How to solve one-touch American call

How to make the arbitrage if intrinsic value is greater than European call value

Why can we neglect the mean in the variance when the time step is very small?

why futures contract has no value

The PDE of the probability hitting the barrier before T

Why there is some inhomogeneous term in the PDE of fixed income

at-the-money short term straddle and the implied vol

quanto adjustments

Deduce GARCH(1,1) to the stochastic variance model

The dice game and derivatives trading

Binomial tree prices the American put

Intuitively understand boundaries of American Call and Put