User Kevin

9 votes

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

answered Oct 19, 2020 at 19:22

9 votes

Why aren't american put options martingales?

answered Sep 15, 2020 at 15:33

8 votes

Hull-White model applied in practice

answered Aug 14, 2020 at 20:12

8 votes

Accepted

Why are interest supposed deterministic for equity?

answered Jul 3, 2020 at 18:08

8 votes

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A stochastic differential equation

answered Feb 25, 2021 at 9:56

8 votes

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Risk Neutral Valuation, Drifts and Calibration

answered May 24, 2021 at 12:26

8 votes

Boundary for European Put Option

answered Jan 26, 2020 at 15:24

8 votes

What the expectation of S^2 is from GBM?

answered Oct 17, 2019 at 17:14

8 votes

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Numeric example to understand the effect of option gamma

answered Nov 11, 2019 at 18:14

7 votes

Finding price of the power option

answered Nov 4, 2019 at 7:33

7 votes

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Probability Density Function of a Wiener Process Minimum

answered Nov 1, 2019 at 12:11

7 votes

Why isn't the Vasicek model arbitrage-free?

answered Oct 26, 2019 at 15:34

7 votes

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Stock Prices are Lognormal - Formal Definition

answered Jan 8, 2020 at 9:22

7 votes

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Proof that $\exp(aW(t)-0.5a^2t)$ is a martingale

answered Dec 12, 2019 at 18:05

7 votes

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Solution to SDE being Evolution of Price Process

answered Feb 16, 2020 at 9:07

7 votes

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Do Perpetual American Options have closed form functions to compute the Greeks?

answered Jul 18, 2019 at 19:49

7 votes

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What is the Radon-Nikodym derivative in the Heston model?

answered Apr 7, 2021 at 21:12

7 votes

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Given $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, what is $\mathbb{E}[f(X)]$

answered Oct 9, 2022 at 10:08

7 votes

Probability of success given expected return and volatility

answered Dec 5 at 13:16

7 votes

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Parametric VaR, Normality and Subadditivity

answered Mar 11, 2021 at 23:33

7 votes

What mechanisms does the market use to brining an asset back to the market line, as defined by CAPM?

answered Jan 23, 2021 at 19:14

7 votes

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Which is riskier: a call option or the underlying?

answered Jul 12, 2020 at 14:53

6 votes

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Integration over function of Wiener process

answered Aug 1, 2020 at 11:37

6 votes

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Black-Scholes formula given arbitrary value of $S_{T}$

answered Aug 27, 2020 at 13:27

6 votes

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Most accurate Fourier transform method for extreme OTM options

answered Aug 31, 2020 at 11:50

6 votes

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Interpretation of parameters in the CGMY model

answered Sep 15, 2020 at 10:35

6 votes

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Idea of using logarithm for solving SDE in Black-Scholes model

answered Apr 21, 2020 at 18:58

6 votes

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Boundary conditions Heston's stochastic volatility model

answered Dec 9, 2020 at 10:12

6 votes

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Pricing an Option with payoff $\left(1-\frac{K}{S_t}\right)^{+}$

answered Nov 15, 2020 at 16:31

6 votes

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Risk-Neutrality: Discount factors of the $P$ world according to risk preferences?

answered Oct 1, 2020 at 22:53

Stack Exchange Network

259 Answers

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

Why aren't american put options martingales?

Hull-White model applied in practice

Why are interest supposed deterministic for equity?

A stochastic differential equation

Risk Neutral Valuation, Drifts and Calibration

Boundary for European Put Option

What the expectation of S^2 is from GBM?

Numeric example to understand the effect of option gamma

Finding price of the power option

Probability Density Function of a Wiener Process Minimum

Why isn't the Vasicek model arbitrage-free?

Stock Prices are Lognormal - Formal Definition

Proof that $\exp(aW(t)-0.5a^2t)$ is a martingale

Solution to SDE being Evolution of Price Process

Do Perpetual American Options have closed form functions to compute the Greeks?

What is the Radon-Nikodym derivative in the Heston model?

Given $\mathbb{E}[X]$, $\mathbb{E}[\max(0,X)]$, and $\mathbb{E}[\min(0,X)]$, what is $\mathbb{E}[f(X)]$

Probability of success given expected return and volatility

Parametric VaR, Normality and Subadditivity

What mechanisms does the market use to brining an asset back to the market line, as defined by CAPM?

Which is riskier: a call option or the underlying?

Integration over function of Wiener process

Black-Scholes formula given arbitrary value of $S_{T}$

Most accurate Fourier transform method for extreme OTM options

Interpretation of parameters in the CGMY model

Idea of using logarithm for solving SDE in Black-Scholes model

Boundary conditions Heston's stochastic volatility model

Pricing an Option with payoff $\left(1-\frac{K}{S_t}\right)^{+}$

Risk-Neutrality: Discount factors of the $P$ world according to risk preferences?