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Kupoc
  • Member for 4 years, 4 months
  • Last seen more than a month ago
7 votes
0 answers
381 views

Solving option market making problem

4 votes
0 answers
124 views

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

2 votes
1 answer
105 views

Pricing multidimensional equity

2 votes
0 answers
129 views

Numerical scheme for this HJB equation

2 votes
0 answers
384 views

Skew of implied volatility and skewness of returns distribution

1 vote
1 answer
107 views

FX pricing replication

1 vote
2 answers
466 views

Why are interest supposed deterministic for equity?

1 vote
1 answer
102 views

Best approximation of a function as sums of calls

1 vote
2 answers
1k views

Correlation and implied volatility

1 vote
1 answer
204 views

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

0 votes
0 answers
127 views

Martingale optimal transport with two different nature of assets

0 votes
0 answers
95 views

Options Market making, what to do with ITM options

0 votes
1 answer
51 views

Model for this price dynamic