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Kupoc
  • Member for 3 years, 9 months
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7 votes
0 answers
359 views

Solving option market making problem

4 votes
0 answers
123 views

How is the implied risk neutral density affected when changing numeraire?

2 votes
1 answer
101 views

Pricing multidimensional equity

2 votes
0 answers
120 views

Numerical scheme for this HJB equation

2 votes
0 answers
297 views

Skew of implied volatility and skewness of returns distribution

1 vote
2 answers
914 views

Correlation and implied volatility

1 vote
1 answer
88 views

FX pricing replication

1 vote
2 answers
457 views

Why are interest supposed deterministic for equity?

1 vote
1 answer
100 views

Best approximation of a function as sums of calls

1 vote
1 answer
174 views

Is there a way to get convexity adjustements for any CMS-payoffs?

0 votes
0 answers
115 views

Martingale optimal transport with two different nature of assets

0 votes
0 answers
86 views

Options Market making, what to do with ITM options