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fwd_T
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5 votes
1 answer
476 views

Hedging vega risk with varswaps

5 votes
0 answers
235 views

Hedging : effect of not matching the term structure of skew

4 votes
0 answers
206 views

Angular bracket notation (physics)

4 votes
1 answer
329 views

Are all change of measure operations between equivalent probability measures Doléans-Dade exponentials?

3 votes
0 answers
272 views

Rigorous proof of Dupire formula (e.g. using Gyöngy's theorem)

3 votes
1 answer
277 views

The most general conditions under which Ito lemma holds

3 votes
1 answer
269 views

Gamma squeeze - mathematical explanation

2 votes
0 answers
97 views

Risk-managing vanilla books (sell-side)

2 votes
0 answers
114 views

Last step step in Girsanov's theorem proof

2 votes
1 answer
455 views

Relationship between time decay and gamma

1 vote
0 answers
202 views

Derivation of Bergomi model

1 vote
1 answer
96 views

Canonical text on numerical PDEs in finance

1 vote
1 answer
169 views

Serial correlation, quadratic variation and variance of returns

1 vote
0 answers
69 views

Terminology : definition of skew for a volatility smile

0 votes
0 answers
49 views

Estimating difference in implied volatility from difference in PV

0 votes
0 answers
41 views

Reference request: Approximate mapping of a multi-factor stochastic volatility model to single-factor stochastic volatility model