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Jesper Tidblom
  • Member for 2 years
  • Last seen this week
  • Stockholm
9 votes

Book/ Articles recommendation for Volatility models

4 votes

Autocall pricing: what does "Lipschitz continuous parameterization" mean?

4 votes

Boundary condition issues for Black-Scholes PDE using finite-differences

3 votes

What are the advantages and limitations of predicting future stock prices using stochastic differential equations?

3 votes

Value of Call Option as Volatility goes to Infinity

2 votes

calibration of a local volatility model

2 votes

Three questions regarding local volatility implementation (based on the Andreasen, Huge article "Volatility interpolation")

2 votes

Discount factor in Hull-White model

1 vote

Normal vs Log normal implied volatility

1 vote

Implied volatility quote vs. Price quote

1 vote

Calibrating Hull-White 1 Factor

0 votes

Do portfolio mean and portfolio variance have probability distributions?

0 votes

Anticipating stochastic integral $\int_0^T W_T dW_t$

0 votes

Short Maturity Implied Volatility in Heston Model