Quantitative Finance
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Matt's user avatar
Matt's user avatar
Matt
  • Member for 4 years, 4 months
  • Last seen this week
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Top posts
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All Questions Answers
Score Newest
question
2
Interesting finding... "Adjusted Kirk's" and "Bjerksund-Stensland" are exactly the same ??? Spread option calculation
Apr 13, 2022
question
2
Gamma for a basket option in Python - Finite Differences vs. AAD Autograd library using Heaviside Approximation
Mar 22
answer
1
Physical commodity trading quantitative risk return model
Jan 21, 2021
answer
1
Do basket options have a closed form valuation formula?
Apr 18, 2022
question
1
Finite Differences Vega calculation - confirmation on proper approach
Feb 4, 2022
question
1
Extend basket analytic solution (equal weighted) to a various weight basket, also put formula
Apr 5, 2022
question
0
Efficient method for expanding 1 sim routine to the number of simulations? Brownian Bridge used with multiple underlying assets in a MC simulation,
Oct 24, 2021
question
0
Brownian Bridge from timestep 1 to timestep @ expiration, proper mathematical way to generate
Nov 19, 2021
question
0
Bachelier Spread formula - input spread volatility question
Jan 7, 2022
question
0
Is there a modified Bachelier's futures spread option model with adjustments for skew and kurtosis?
Apr 14, 2022
Top network posts
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15
Gauss-Legendre over intervals -x -> infinity: adaptive algorithm to transform weights and nodes efficiently
8
adding character to start of each value in column pandas
7
Adding config modes to Plotly.Py offline - modebar
6
Creating a .mat file of v7.3 in python
5
Matplotlib Candlestick (Intraday) Chart is One Big Blob

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