User jChoi

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Simulation scheme for SABR beside the standard Euler discretization

answered Nov 7, 2023 at 6:11

5 votes

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4th Order Brownian Motion Martingale

answered Dec 10, 2022 at 7:40

1 vote

Why can't the curve find the least squares parameters when I used it in SABR model? (SABR Calibration)

answered Jun 18, 2022 at 3:00

0 votes

Understanding Vega calculation in black Scholes model

answered Jun 14, 2022 at 2:01

1 vote

Accepted

Why is the LMM with mixture dynamics (Brigo & Mercurio) inconsistent for the pricing of exotics?

answered Jun 11, 2022 at 2:01

1 vote

Accepted

Pricing & hedging vanilla interest rate options with SABR LMM

answered Jun 8, 2022 at 14:21

3 votes

Accepted

Cholesky decomposition reduces volatility of simulated Wiener Process / Brownian Motions

answered Jun 7, 2022 at 14:40

1 vote

Implementing a Fast Fourier Transform for Option Pricing

answered Jun 6, 2022 at 3:10

2 votes

Normal vs Log normal implied volatility

answered Jun 5, 2022 at 14:45

4 votes

Bachelier model call option pricing formula

answered Jun 5, 2022 at 13:12

2 votes

How to derive portfolio weights from risk budget

answered Jun 4, 2022 at 16:56

0 votes

Vasicek interest rate of T-forward measure

answered Jun 4, 2022 at 16:26

1 vote

Derive vega for Black-Scholes call from this formula?

answered Jun 4, 2022 at 16:02

4 votes

Accepted

Put Call derivation using two approaches [ Some confusion of getting different results ]

answered Jun 4, 2022 at 15:25

1 vote

Numerical simulation of Heston model

answered Jun 4, 2022 at 3:52

1 vote

Simulation of Heston model, best reference?

answered Jun 4, 2022 at 3:19

2 votes

Accepted

Problems with exact Heston simulations

answered Jun 4, 2022 at 2:45

2 votes

Stocks' returns distribution

answered Dec 23, 2021 at 16:52

0 votes

Non-convergence in Monte Carlo

answered Oct 13, 2018 at 16:21

2 votes

clarification to use collocation methods to get arbitrage free sabr

answered Oct 13, 2018 at 17:01

-1 votes

Reference: Vanna, volga, vega approximations

answered Oct 25, 2018 at 4:56

1 vote

Normal Inverse Gaussian distribution - any consensus on an accurate quantile function?

answered Oct 21, 2018 at 17:17

1 vote

Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)

answered Oct 21, 2018 at 16:59

2 votes

Accepted

Foresight bias in least square monte carlo

answered Oct 21, 2018 at 16:36

5 votes

Is there a good closed-form approximation for Black-Scholes implied volatility?

answered Feb 22, 2017 at 0:15

5 votes

SABR Normal Volatility when F = K

answered Oct 11, 2018 at 18:05

0 votes

How to price a futures spread option?

answered Feb 17, 2017 at 8:51

5 votes

Basket option pricing: step by step tutorial for beginners

answered Feb 14, 2017 at 3:55

4 votes

USD-Federal Funds for OIS swaps vs USD-Federal Funds for Basis swaps

answered Mar 1, 2017 at 11:30

4 votes

FX forward curve building

answered Feb 22, 2017 at 14:00

Stack Exchange Network

38 Answers

Simulation scheme for SABR beside the standard Euler discretization

4th Order Brownian Motion Martingale

Why can't the curve find the least squares parameters when I used it in SABR model? (SABR Calibration)

Understanding Vega calculation in black Scholes model

Why is the LMM with mixture dynamics (Brigo & Mercurio) inconsistent for the pricing of exotics?

Pricing & hedging vanilla interest rate options with SABR LMM

Cholesky decomposition reduces volatility of simulated Wiener Process / Brownian Motions

Implementing a Fast Fourier Transform for Option Pricing

Normal vs Log normal implied volatility

Bachelier model call option pricing formula

How to derive portfolio weights from risk budget

Vasicek interest rate of T-forward measure

Derive vega for Black-Scholes call from this formula?

Put Call derivation using two approaches [ Some confusion of getting different results ]

Numerical simulation of Heston model

Simulation of Heston model, best reference?

Problems with exact Heston simulations

Stocks' returns distribution

Non-convergence in Monte Carlo

clarification to use collocation methods to get arbitrage free sabr

Reference: Vanna, volga, vega approximations

Normal Inverse Gaussian distribution - any consensus on an accurate quantile function?

Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)

Foresight bias in least square monte carlo

Is there a good closed-form approximation for Black-Scholes implied volatility?

SABR Normal Volatility when F = K

How to price a futures spread option?

Basket option pricing: step by step tutorial for beginners

USD-Federal Funds for OIS swaps vs USD-Federal Funds for Basis swaps

FX forward curve building