John Doe's user avatar
John Doe's user avatar
John Doe's user avatar
John Doe
  • Member for 5 years, 11 months
  • Last seen more than 1 year ago
10 votes
1 answer
5k views

SSR definition in Bergomi in relation to sticky strike and sticky delta

6 votes
2 answers
796 views

Portfolio Analysis Interview Question

2 votes
1 answer
251 views

Convertible Bond Pricer papers

2 votes
0 answers
67 views

Dimension reduction for worst of basket on $min(S_1, S_2)$

1 vote
2 answers
2k views

Marking implied vol surface daily with sticky strike and sticky delta

1 vote
0 answers
272 views

Vega with SVI Gatheral bumps

1 vote
0 answers
237 views

AFV Model Implementation for Convertible Bonds

0 votes
1 answer
504 views

Algo trading execution simulation

0 votes
0 answers
95 views

Preferred Stock pricing model

0 votes
0 answers
33 views

Longstaff Schwartz with future conditional coupons

0 votes
1 answer
139 views

Price a contingent claim with payoff $(S_T-K)1_{\{S_T>K\}}1_{\{L\leq X_T\leq U\}}$

-1 votes
2 answers
881 views

Hedging with machine learning