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Aldo Shumway

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Girsanov Theorem for Quanto/Compo adjustment

stochastic-calculus

Jul 17 at 7:52 Quantuple 13k

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What is the correct convexity adjustment for an Interest Rate Swap with unnatural reset lag?

interest-rate-swap convexity irs

Apr 1 '20 at 11:44 user35980 401

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Girsanov Theorem and Quadratic Variation

stochastic-calculus girsanov

Nov 26 '14 at 14:46 emcor 5,409

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Change of numeraire in options with currency exchange features

fx finance-mathematics numerairechange girsanov

Jul 2 '18 at 14:30 ahr1729 85

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How to derive equivalent martingale measure using Ito's Lemma

martingale itos-lemma

May 17 '14 at 15:19 math 1,494

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Estimating implied volatility of an index component with no vanilla options market

options volatility estimation

Jul 11 '18 at 9:19 Quantuple 13k

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Probability in different measures

probability risk-neutral-measure

Nov 3 '17 at 10:19 ragoragino 471

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