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12 Questions

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157

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Hedging : effect of not matching the term structure of skew

Oct 28 at 15:21 fwd_T 448

votes

answers

110

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Angular bracket notation (physics)

volatility implied-volatility stochastic-volatility volatility-smile sde

Oct 29 at 17:12 fwd_T 448

votes

answer

235

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Hedging vega risk with varswaps

volatility implied-volatility variance volatility-smile

Jul 3 at 15:55 ryc 306

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answer

246

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

stochastic-calculus risk-neutral-measure girsanov real-world-measure

Apr 16 '20 at 17:19 fwd_T 448

votes

answer

152

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The most general conditions under which Ito lemma holds

stochastic-processes stochastic-calculus itos-lemma

Jul 22 at 18:20 Magic is in the chain 5,849

votes

answers

157

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

stochastic-processes stochastic-calculus stochastic-volatility local-volatility

Jun 18 at 19:31 fwd_T 448

votes

answer

119

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Relationship between time decay and gamma

volatility volatility-smile gamma vega theta

Dec 31 at 16:23 fwd_T 448

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answers

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Last step step in Girsanov's theorem proof

risk-neutral-measure girsanov equivalent-measure

Apr 15 '20 at 20:20 fwd_T 448

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answer

views

Serial correlation, quadratic variation and variance of returns

time-series stochastic-calculus stochastic-volatility itos-lemma

Jul 15 at 7:03 Community♦ 1

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answers

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Terminology : definition of skew for a volatility smile

implied-volatility volatility-smile skew volatility-surface skewness

Jun 18 at 22:35 fwd_T 448

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answer

views

Canonical text on numerical PDEs in finance

reference-request finite-difference-method finite-difference pde

Jun 3 at 21:30 river_rat 451

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answers

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Dupire formula and stochastic rates

stochastic-volatility local-volatility stochastic-discount

Jun 16 at 17:40 fwd_T 448

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12 Questions

Hedging : effect of not matching the term structure of skew

Angular bracket notation (physics)

Hedging vega risk with varswaps

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

The most general conditions under which Ito lemma holds

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

Relationship between time decay and gamma

Last step step in Girsanov's theorem proof

Serial correlation, quadratic variation and variance of returns

Terminology : definition of skew for a volatility smile

Canonical text on numerical PDEs in finance

Dupire formula and stochastic rates