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river_rat
  • Member for 2 years, 9 months
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5 votes

Which process is the most commonly used for modeling stock prices?

5 votes

Market convention for building the front-end of the SOFR discounting curve

4 votes

For options on futures why is there no discounting?

4 votes

How are currency exchange rates on yahoo finance computed?

4 votes

Trading OTC FX options: choosing expiries

3 votes

FX option quotation in interbank market

3 votes
Accepted

How would one construct a volatility surface given only the spot price?

3 votes

Calibrate Stochastic Volatility Model

3 votes
Accepted

true or false: the risk-neutral measure is useless in this situation

2 votes

Are bid-ask spreads in options related to bid-ask spreads in their underlying?

2 votes
Accepted

Why is overnight more expensive than spot in an increasing forward swap values table?

2 votes

Forward skew generated by Local Vol model

2 votes

FX quoting convention

2 votes

Canonical text on numerical PDEs in finance

2 votes

Stochastic Volatility Models - are they complete markets?

2 votes
Accepted

Calibration and pricing with the Stochastic Local Volatility model

2 votes
Accepted

Is the moneyness of a barrier option based on the strike value or the barrier when mapping to a volatility surface?

2 votes

Stochastic Volatility vs Vanna-Volga

1 vote

How is calculated the futures/forward convexity adjustment for FX?

1 vote

Market neutral strategy with quarterly futures and perpetual swaps?

1 vote

FX hedged investments

1 vote

When you rollover a FX Forward, do enter the FX swap at the spot rate or previous forward rate?

1 vote

Why were cross-currency swap basis so close to zero before the financial crisis?

1 vote

Correlation effect in Quanto options

1 vote

How is forex market Quote-Driven?

1 vote
Accepted

Compute forward swap rate from spot swap rate?

1 vote

Barrier shift consideration in delta hedging down and in puts (PDI)?

1 vote
Accepted

Is an 18 month OIS a bullet?

1 vote

Under what conditions will both European and American put options worth the same?

1 vote

How do market makers chose the size that they quote?