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9 votes
1 answer
560 views

Why were Laguerre polynomials a good choice of basis functions for American Monte Carlo?

4 votes
1 answer
608 views

Deriving the Heston-Hull-White PDE

3 votes
2 answers
1k views

How do you derive this Carr-Madan-like equation?

3 votes
1 answer
128 views

Justification for substituting "Itô differentials"

3 votes
1 answer
356 views

Non-constant Volatility of the Volatility in Stochastic Volatility Models

2 votes
1 answer
353 views

For what options does the "delta hedging rule" apply?

2 votes
2 answers
194 views

Sampling change in the driving brownian motion of a CIR process

1 vote
2 answers
466 views

Calculating the short rate from the discount curve

1 vote
0 answers
44 views

Hedging Options assuming a non-constant Yield Curve

1 vote
2 answers
265 views

What does it mean for a coupon bond to have "par value"?

1 vote
1 answer
143 views

Why should future short rates tend towards the current term structure of interest rates?

1 vote
0 answers
69 views

Dealing with the ru term in an ADI Finite Difference Scheme

1 vote
1 answer
281 views

What does it mean to "compute" an Itô integral?

0 votes
1 answer
84 views

Why are implied parameters preferred over expectations of future implied parameters?

0 votes
1 answer
115 views

When are parameters calibrated using one option type applicable to price other option types on the same underlying?