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Mr Frog
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3 votes
1 answer
576 views

What is the Radon-Nikodym derivative in the Heston model?

3 votes
2 answers
284 views

What is the Q-dynamics of affine bond prices when r is described by the given model?

2 votes
1 answer
517 views

Obtaining the dynamics of the Vasicek model using Itô

2 votes
0 answers
227 views

How did Bachelier characterize the Brownian motion?

2 votes
0 answers
54 views

What are common parametric forms for VIX smiles?

1 vote
0 answers
84 views

How does delta adjustment relate to skew stickiness ratio (SSR)?

1 vote
0 answers
247 views

Replicating portfolio in the Heston model

0 votes
0 answers
207 views

Is the market price of risk deterministic or stochastic in the Heston model?

0 votes
1 answer
557 views

Do Fama-French factor portfolios require optimization?

0 votes
2 answers
99 views

Equity risk factors with daily rebalancing

0 votes
1 answer
286 views

Can we spot informed trading from market prices?

0 votes
1 answer
77 views

Value of the logcontract $Q^T(t,S)$ with payoff $Q(T,S)=-2lnS_T$

0 votes
0 answers
87 views

Why do we use OTM options to extract implied vol?