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Jan Stuller

Have worked as a Rates trader as well as a desk Quant at various banks.

My LinkedIn.

My main interests are: XVA, Options on Interest Rates & the Libor Market Model.

Here are some questions on this site that I found particularly interesting and that I enjoyed answering the most:

1. How does Implied Vol affect the convexity of an option price?

2. Can a short option have a negative Theta?

3. What is the risk neutral measure?

4. Are forward Libor rates always log-normal?

5. How to choose the correct pricing measure?

6. Do Vertical Credit Option Spreads benefit from higher IV?

7. How does IV affect a put back-spread?

And here are some questions that I asked myself that have received some great answers:

1. Intuition for the drift induced by the Stock Numeraire

2. Can the Numeraire be correlated to other assets under one pricing measure?

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  • London, UK
  • Member for 11 months
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All Questions Answers
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13 Good Quant-Finance Interview Questions Jul 14
12 Option Price vs. Implied Volatility Oct 18
11 Swap curve construction Jul 8
10 Numeraire correlated to the traded asset Jun 6
8 Intuition for Stock Price Numeraire Drift Jan 1
7 Theoretical justification for technical analysis Aug 7
7 Negative theta for a short put Oct 13
6 Good Quant-Finance Interview Questions Jul 14
6 Option Pricing Formula Jun 7
6 How can we estimate new stock price after a large purchase? Jun 9
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