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stochastic-calculus

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12 Questions

Votes Activity Newest Views
1
6
votes
0
answers
157
views

Hedging : effect of not matching the term structure of skew

stochastic-volatility local-volatility volatility-smile volatility-surface
Oct 28 at 15:21 fwd_T 448
1
4
votes
0
answers
110
views

Angular bracket notation (physics)

volatility implied-volatility stochastic-volatility volatility-smile sde
Oct 29 at 17:12 fwd_T 448
1
4
votes
1
answer
235
views

Hedging vega risk with varswaps

volatility implied-volatility variance volatility-smile
Jul 3 at 15:55 ryc 306
3
4
votes
1
answer
246
views

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
1
3
votes
1
answer
152
views

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
3
3
votes
0
answers
157
views

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
 
2
votes
1
answer
119
views

Relationship between time decay and gamma

volatility volatility-smile gamma vega theta
Dec 31 at 16:23 fwd_T 448
 
2
votes
0
answers
89
views

Last step step in Girsanov's theorem proof

risk-neutral-measure girsanov equivalent-measure
Apr 15 '20 at 20:20 fwd_T 448
1
1
vote
1
answer
99
views

Serial correlation, quadratic variation and variance of returns

time-series stochastic-calculus stochastic-volatility itos-lemma
Jul 15 at 7:03 Community♦ 1
 
1
vote
0
answers
40
views

Terminology : definition of skew for a volatility smile

implied-volatility volatility-smile skew volatility-surface skewness
Jun 18 at 22:35 fwd_T 448
1
1
vote
1
answer
58
views

Canonical text on numerical PDEs in finance

reference-request finite-difference-method finite-difference pde
Jun 3 at 21:30 river_rat 451
 
0
votes
0
answers
40
views

Dupire formula and stochastic rates

stochastic-volatility local-volatility stochastic-discount
Jun 16 at 17:40 fwd_T 448
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