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Magic is in the chain's user avatar
Magic is in the chain's user avatar
Magic is in the chain's user avatar
Magic is in the chain
  • Member for 5 years, 9 months
  • Last seen more than 1 year ago
  • London, UK
10 votes

What are the most crucial research areas currently in quantitative finance/interesting subfields?

9 votes
Accepted

Show that $\frac{\partial c(t))}{\partial \sigma^2 }>0 \text{ if and only if } S(t)<Xe^{-r(r+\frac{1}{2} \sigma^2 )(T-t)}.$

9 votes

More questions about integral of Brownian Motion w.r.t time

8 votes

Why is volatility skew/smile for long term options flatter compare to short term options?

8 votes

Value of a European Call option with Infinite maturity

8 votes
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Spot/Next and Tom/Next FX forward swaps

7 votes
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Par Yield, Bond Yield and Zero Rate

7 votes
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Why isn't this IV calc correct?

6 votes

FX smile extrapolation

6 votes

Valuation of repurchase agreement (classic repo)

6 votes

Proof of Feller condition for CIR square root process. Any reference?

6 votes

Itos Lemma Derivation notation

6 votes
Accepted

Discretization of Wiener process

5 votes
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Cannot Understand The Ticket Line Question From Interview Book

5 votes

Stochastic Calculus problem with three processes? (Itô calculus)

5 votes
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The most general conditions under which Ito lemma holds

5 votes

How can a deep discount bond with a longer time to maturity have a LOWER duration than an otherwise identical bond with a shorter time to maturity?

5 votes
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Differential of integrating factor $d(e^{at}r_t)$ in Vasicek model

5 votes
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Annualized actual probability

5 votes
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Log of square of Geometric Brownian Motion

5 votes
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Deriving the risk neutral probability with the arrow debreu Price vector

5 votes
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How to prove martingality of forward rate under T-forward measure

5 votes
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How to calculate necessary gain to compensate a loss in a financial transaction?

4 votes

Are questions in Joshi's book really asked at Quant interviews?

4 votes

How to comprehend this notation?

4 votes
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Currency Hedged Excess Return

4 votes

Probability that the price of stock following a brownian motion goes under a certain value

4 votes

What does "Gamma profit/loss" mean?

4 votes
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HJM in infinite dimensions

4 votes

Question on Gÿongy' lemma proof

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