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Quantitative Finance
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Kevin's user avatar
Kevin's user avatar
Kevin
  • Member for 5 years, 1 month
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265 Answers

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4 votes
Accepted

Calculating vega in Heston?

4 votes
Accepted

Illustrating the change of measure in Black-Scholes-Merton

4 votes
Accepted

Discounted price process - martingale

4 votes
Accepted

Power Options & Forwards on Stock Squared

4 votes

Risk free rate's role in CAPM

4 votes
Accepted

Multiple Risk-Neutral measures in incomplete market

4 votes
Accepted

Ito formula for $Y_t=tB_t$

4 votes

Proof that $f$ is continuous if and only if it has 0 quadratic variation?

4 votes

Integration of a deterministic function w.r.t. a Brownian motion

4 votes
Accepted

Brownian motion and Stochastic Integration

3 votes
Accepted

Derivation of stock price formula John C. Hull 9th Ed p309

3 votes
Accepted

How to find characteristic function in Fourier Cosine method (COS method) by Fang and Oosterlee

3 votes
Accepted

Kou model implementation Python

3 votes
Accepted

Low volatility in factor regression

3 votes
Accepted

The relationship between volatility of underlying asset, leverage and the volatility of the derivative

3 votes
Accepted

Compute the price of a derivative which pays $\log(S_T)S_T$ in the Black Scholes world

3 votes

Covariance, stochastic discount factor (SDF) and risk aversion

3 votes
Accepted

Stochastic volatility Levy models

3 votes
Accepted

Solution to geometric Brownian motion with time dependent volatility and drift?

3 votes

Existence of an upper bound for risk-factor betas/coefficients

3 votes
Accepted

Derivations of the pricing PDE for the Heston-Hull-White or Heston-CIR models

3 votes
Accepted

How to correctly use Fama-French factors (from investment portfolio perspective)?

3 votes
Accepted

No free lunch with bounded and vanishing risk

3 votes
Accepted

Stochastic (volatility) models with the elements of fundamental analysis - are there such models and why not?

3 votes
Accepted

Replication of the payoff of a chooser option

3 votes
Accepted

Clarifying the Fundamental Difference Between Growth and Value Stocks

3 votes
Accepted

How to determine components of Affine Term Structure for an Ohrnstein-Uhlenbeck process?

3 votes
Accepted

Stock price value as a continuous-time stochastic process

3 votes

Formula for the discounted payoff of a digital option

3 votes
Accepted

Sharpe Ratio Formula

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