Quantitative Finance
mmencke
  • Member for 1 year, 4 months
Profile Activity
Stats
591
reputation
1k
reached
11
answers
0
questions
About
Apparently, this user prefers to keep an air of mystery about them.

Communities (2)

Top network posts

We respect a laser-like focus on one topic.

This user doesn’t have any gold badges yet.
1
silver badge
10
bronze badges
View all badges

Top tags (31)

Score 7
Posts 1
Posts % 9
Score 7
Posts 1
Score 7
Posts 1
Score 5
Posts 1
Score 5
Posts 1
Score 5
Posts 1
View all tags →

Top posts (11)

All Questions Answers
Votes Newest
7 Martingale measure and replicating portfolio in Risk Neutral Pricing of Defaultable Zero-Coupon Bonds Apr 7
5 Why do we need to split market and default information into 2 separate filtrations? May 26
5 Cash settled contracts price convergence at expiry Aug 30
4 Why does the definition of the riskless asset vary in discrete vs continuous time? Jun 30
3 Girsanov transform when drift coefficient is a function of the stock price Apr 28
2 Delta hedge error black-scholes by Mark Davis Apr 4
1 Is it possible to price a plain vanilla interest rate swap in Python and simulate the price using Hull White 1 Factor Model simultaneously? Sep 4
1 Correlated Wiener Process May 2
1 Sampling change in the driving brownian motion of a CIR process Jul 2
1 Hull White 1 Factor Formulas with Time Dependent Variables Jun 30
View all questions and answers →

Your privacy

By clicking “Accept all cookies”, you agree Stack Exchange can store cookies on your device and disclose information in accordance with our Cookie Policy.