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Jan Stuller's user avatar
Jan Stuller's user avatar
Jan Stuller's user avatar
Jan Stuller
  • Member for 4 years, 5 months
  • Last seen this week
  • London, UK
20 votes
5 answers
6k views

Good Quant-Finance Interview Questions

11 votes
4 answers
5k views

Implied Vol Smile: from Calls, Puts or Both?

11 votes
4 answers
2k views

Intuition for Stock Price Numeraire Drift

11 votes
1 answer
987 views

Numeraire correlated to the traded asset

6 votes
2 answers
1k views

Caplet "in arrears" pricing formula

6 votes
1 answer
479 views

Is publication of Black-Scholes in 1973 and founding of CBEO in 1973 coincidental?

5 votes
1 answer
278 views

Forward starting zero-coupon bonds

5 votes
1 answer
3k views

Term SOFR rate formula

5 votes
3 answers
4k views

The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation

5 votes
1 answer
713 views

On Girsanov Theorem to switch from Risk-Neutral to Stock Numeraire

5 votes
2 answers
362 views

Can a Process with a Stochastic Drift be a Martingale?

4 votes
2 answers
2k views

Replacing USD OIS discounting based on FED Funds Rate with SOFR discounting

4 votes
2 answers
794 views

Is Local Volatility a function of the Strike or the Underlying price?

4 votes
1 answer
442 views

Current liquidity of USD OIS-SOFR Swaps

4 votes
1 answer
2k views

Is there a difference between JPY TONA and JPY TONAR?

3 votes
1 answer
773 views

Inflation effect on FX rates

3 votes
1 answer
842 views

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

3 votes
2 answers
1k views

Normality or Log-Normality of Regular Returns

2 votes
1 answer
2k views

Change of Numeraire formula

2 votes
1 answer
308 views

Intuition for consistent Derivative Prices under different Numeraires and Measures

2 votes
3 answers
2k views

Ito Integral of functions of Brownian motion

2 votes
1 answer
685 views

Pricing Swaption Analytically using Libor Market Model

2 votes
0 answers
54 views

Solution to Stock Price SDE with mean reversion [duplicate]

2 votes
1 answer
274 views

Any good papers on Fixed Income Option pricing?

2 votes
0 answers
82 views

Stock price under Bond numeraire

2 votes
0 answers
132 views

Why does higher volatility for ATM Call Option lead to a lower risk-neutral probability of expiring ITM?

2 votes
0 answers
199 views

Hybrid Derivatives Modelling

2 votes
1 answer
186 views

Expressing Volatility Smile as One Number

1 vote
2 answers
779 views

Bond price distribution if yield assumed log-normal

1 vote
2 answers
471 views

Normal vs. Lognormal Greeks for Negative Rates Options