User Oscar

7 votes

3 answers

956 views

What are the biggest new advancements in the field of quantitative finance in the last 10 years?

asked May 10, 2020 at 16:45

5 votes

1 answer

685 views

What stochastic volatility models are industry standard for option pricing and how do they work?

asked Mar 22, 2020 at 15:30

5 votes

1 answer

616 views

How to interpolate on an implied volatility surface based on forward moneyness?

asked Nov 26, 2020 at 8:28

4 votes

2 answers

352 views

Is the volatility smile a thing of the past?

asked Oct 22, 2020 at 12:49

4 votes

3 answers

530 views

Why is it so rare for finance theory to depart from the normal distribution?

asked Mar 25, 2020 at 19:04

3 votes

1 answer

606 views

How does a volatility surface based on moneyness instead of strike stay consistent with put-call parity?

asked Oct 22, 2020 at 8:00

2 votes

1 answer

300 views

Is pricing options using the volatility surface implied by the Heston model equivalent to pricing using the Heston model directly for all options?

asked Mar 1, 2021 at 8:46

2 votes

0 answers

430 views

What interpolation methods are standard to use for interpolating on equity volatility surfaces?

asked Jul 28, 2021 at 7:58

2 votes

0 answers

79 views

What are the most difficult/computationally expensive/infeasible derivatives to price?

asked Jun 18, 2020 at 9:45

2 votes

2 answers

470 views

Effect of correlation on a best-of rainbow option

asked Jul 3, 2020 at 19:37

2 votes

1 answer

442 views

How do you handle implied volatility performing a VaR Monte-Carlo simulation using a stochastic volatility process calibrated on the underlying

asked Apr 2, 2020 at 17:38

2 votes

1 answer

139 views

What options are typically priced in practice by Monte-Carlo simulation?

asked Jul 9, 2020 at 20:06

2 votes

2 answers

840 views

Why can future forward interest rates be assumed to be lognormally distributed in the standard market model?

asked Sep 28, 2020 at 7:40

1 vote

1 answer

506 views

What is the correct implied volatility to use when valuing an FRA option?

asked Oct 12, 2020 at 13:28

1 vote

1 answer

259 views

Do you need to simulate the entire stock path for option pricing with GARCH?

asked Jun 1, 2020 at 9:32

1 vote

1 answer

1k views

How accurate is the square root of time rule for VaR for a portfolio containing several different types of instruments

asked Apr 23, 2020 at 7:37

1 vote

1 answer

811 views

Valuation of a REPO

asked May 7, 2020 at 8:41

1 vote

1 answer

2k views

Is this methodology for finding the minimum variance portfolio with no short-selling sound?

asked May 9, 2020 at 15:26

1 vote

1 answer

668 views

Relationship between Beta and implied volatility

asked Oct 21, 2020 at 9:13

1 vote

1 answer

163 views

Is the moneyness of a barrier option based on the strike value or the barrier when mapping to a volatility surface?

asked Oct 26, 2020 at 13:13

1 vote

1 answer

287 views

Correlation between assets used for valuing multi-asset options (Rainbow options, basket options etc.)

asked Jan 11, 2021 at 11:45

1 vote

0 answers

346 views

Cross-currency Swaps - discounting used for calculating collateral posting in different currencies

asked Jan 24 at 11:54

0 votes

0 answers

176 views

Clarity regarding Skew adjustment for binary options

asked Oct 29, 2021 at 13:55

0 votes

1 answer

70 views

Reconciling different specifications of drifts in the LMM

asked Feb 11, 2022 at 9:45

0 votes

2 answers

649 views

Negative values in CIR model

asked Feb 5, 2020 at 16:02

0 votes

1 answer

1k views

Correct way to calculate interest rate volatility for risk calculations

asked Jul 6, 2020 at 12:40

0 votes

1 answer

4k views

How does delta-gamma VaR work in practice and when can it be preferable to Monte-Carlo VaR?

asked Mar 30, 2020 at 17:23

0 votes

1 answer

105 views

How are non-equity derivatives handled in monte carlo Value at Risk simulations

asked Apr 28, 2020 at 19:38

0 votes

2 answers

729 views

How do you calculate value at risk on a portfolio of fixed income instruments

asked May 5, 2020 at 14:48

0 votes

1 answer

242 views

Is the differential between risk free rates the drift of an exchange rate only in the risk neutral world?

asked Jun 5, 2020 at 11:47

Stack Exchange Network

32 Questions

What are the biggest new advancements in the field of quantitative finance in the last 10 years?

What stochastic volatility models are industry standard for option pricing and how do they work?

How to interpolate on an implied volatility surface based on forward moneyness?

Is the volatility smile a thing of the past?

Why is it so rare for finance theory to depart from the normal distribution?

How does a volatility surface based on moneyness instead of strike stay consistent with put-call parity?

Is pricing options using the volatility surface implied by the Heston model equivalent to pricing using the Heston model directly for all options?

What interpolation methods are standard to use for interpolating on equity volatility surfaces?

What are the most difficult/computationally expensive/infeasible derivatives to price?

Effect of correlation on a best-of rainbow option

How do you handle implied volatility performing a VaR Monte-Carlo simulation using a stochastic volatility process calibrated on the underlying

What options are typically priced in practice by Monte-Carlo simulation?

Why can future forward interest rates be assumed to be lognormally distributed in the standard market model?

What is the correct implied volatility to use when valuing an FRA option?

Do you need to simulate the entire stock path for option pricing with GARCH?

How accurate is the square root of time rule for VaR for a portfolio containing several different types of instruments

Valuation of a REPO

Is this methodology for finding the minimum variance portfolio with no short-selling sound?

Relationship between Beta and implied volatility

Is the moneyness of a barrier option based on the strike value or the barrier when mapping to a volatility surface?

Correlation between assets used for valuing multi-asset options (Rainbow options, basket options etc.)

Cross-currency Swaps - discounting used for calculating collateral posting in different currencies

Clarity regarding Skew adjustment for binary options

Reconciling different specifications of drifts in the LMM

Negative values in CIR model

Correct way to calculate interest rate volatility for risk calculations

How does delta-gamma VaR work in practice and when can it be preferable to Monte-Carlo VaR?

How are non-equity derivatives handled in monte carlo Value at Risk simulations

How do you calculate value at risk on a portfolio of fixed income instruments

Is the differential between risk free rates the drift of an exchange rate only in the risk neutral world?