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Mr Frog
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3 votes
1 answer
589 views

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

3 votes
2 answers
290 views

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

2 votes
1 answer
531 views

Obtaining the dynamics of the Vasicek model using Itô

2 votes
0 answers
232 views

How did Bachelier characterize the Brownian motion?

2 votes
0 answers
57 views

What are common parametric forms for VIX smiles?

1 vote
0 answers
115 views

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

1 vote
0 answers
79 views

How is it true that options can be equivalently seen as being written on the spot or its future?

1 vote
0 answers
252 views

Replicating portfolio in the Heston model

0 votes
0 answers
209 views

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

0 votes
1 answer
563 views

Do Fama-French factor portfolios require optimization?

0 votes
2 answers
102 views

Equity risk factors with daily rebalancing

0 votes
1 answer
293 views

Can we spot informed trading from market prices?

0 votes
1 answer
78 views

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

0 votes
0 answers
97 views

Why do we use OTM options to extract implied vol?