KevinT
  • Member for 1 year, 5 months
  • Last seen this week
2 answers
21 votes
10k views
21 bookmarks
Why dynamics of local volatility is wrong?
7 answers
16 votes
6k views
6 bookmarks
Why do institutional Traders prefer Short Selling instead of Buying Puts?
2 answers
9 votes
1k views
6 bookmarks
Expectation of Gamma times S$^2$ in Black-Scholes model
3 answers
9 votes
632 views
9 bookmarks
LIBOR Cessation: Construction of Term-RFRs as LIBOR Fallbacks; Forward vs. Backward Looking
1 answers
8 votes
1k views
4 bookmarks
Volatility adjustment for SOFR/OIS caplet referencing LIBOR vol
2 answers
7 votes
494 views
5 bookmarks
Caplet "in arrears" pricing formula
1 answers
5 votes
166 views
2 bookmarks
Forward starting zero-coupon bonds
3 answers
5 votes
2k views
7 bookmarks
The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation
3 answers
4 votes
1k views
3 bookmarks
Change of measure between T-forward and T*-forward contract?
2 answers
4 votes
3k views
2 bookmarks
Cash-settled swaptions
2 answers
2 votes
341 views
2 bookmarks
Cross Currency Swap - is par basis supposed to change while OIS discounting rate is changing?