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alexbougias
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4 votes
1 answer
765 views

Option order imbalance

4 votes
1 answer
716 views

Uniqueness of Risk-neutral measure: Probabilistic view

4 votes
1 answer
1k views

Bid-Ask spread in Roll's model: Negative autocovariance of returns and informational content

3 votes
1 answer
2k views

Implied volatility in Monte Carlo models

3 votes
1 answer
195 views

Missing observations in ICE Swap rates

2 votes
0 answers
333 views

Quantitative Finance books for Practitioners [duplicate]

2 votes
0 answers
56 views

Calibration of stock's intrinsic value under the gordon model

2 votes
1 answer
401 views

Merton's Jump diffusion model: Specify poisson rate

2 votes
1 answer
101 views

Gordon's dividend valuation model: Ignoring optionality

2 votes
1 answer
360 views

Manipulation of VIX

2 votes
1 answer
209 views

Settlement of VIX derivatives

1 vote
0 answers
240 views

Research topic on volatility

1 vote
0 answers
288 views

Yield curve estimaton using linear regression

1 vote
0 answers
42 views

Negative abnormal stock return and permanent impact

1 vote
0 answers
133 views

Correlated GBM and OU processes

1 vote
2 answers
312 views

Volatility clustering and Behavioral Finance, possible explanation

1 vote
0 answers
33 views

Sample distribution of cross-sectional statistics of returns

1 vote
1 answer
173 views

Levy process and random measure

1 vote
1 answer
177 views

Filter options used in the construction of implied volatility surface

1 vote
0 answers
38 views

Stochastic process with determinstic frequency of regime changes

1 vote
0 answers
65 views

Retrieve SYC from Par yields

1 vote
0 answers
34 views

Pricing barrier option under Levy process: Biased estimate?

1 vote
2 answers
258 views

Option quotes or trades: Which one is more informative?

1 vote
1 answer
99 views

Calibrate a model parameter with an error function

1 vote
0 answers
91 views

Searching for two papers of H.Leland with regards to capital structure

1 vote
2 answers
110 views

Difference between Stop sell and limit sell

1 vote
0 answers
164 views

Pairs trading strategy: Portfolio returns and NAV

0 votes
1 answer
242 views

Barrier option on a basket with arbitrary stochastic process

0 votes
1 answer
98 views

Short sale and zero investmest strategy

0 votes
0 answers
368 views

Interpretation of drift parameter $\mu$ in GBM