User user54908

9 votes

1 answer

753 views

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

asked Jun 10, 2021 at 17:39

4 votes

1 answer

770 views

Deriving the Heston-Hull-White PDE

asked Jul 14, 2021 at 12:44

3 votes

2 answers

1k views

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

asked May 25, 2021 at 11:01

3 votes

1 answer

137 views

Justification for substituting "Itô differentials"

asked Apr 28, 2021 at 14:59

3 votes

1 answer

502 views

Non-constant Volatility of the Volatility in Stochastic Volatility Models

asked May 19, 2021 at 6:24

2 votes

1 answer

411 views

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

asked Apr 30, 2021 at 2:50

2 votes

2 answers

225 views

Sampling change in the driving brownian motion of a CIR process

asked Jul 2, 2021 at 1:14

1 vote

2 answers

584 views

Calculating the short rate from the discount curve

asked Jul 7, 2021 at 1:52

1 vote

0 answers

47 views

Hedging Options assuming a non-constant Yield Curve

asked May 18, 2021 at 1:38

1 vote

2 answers

311 views

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

asked May 19, 2021 at 14:01

1 vote

1 answer

148 views

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

asked Jul 17, 2021 at 3:12

1 vote

0 answers

76 views

Dealing with the ru term in an ADI Finite Difference Scheme

asked Jul 27, 2021 at 1:09

1 vote

1 answer

321 views

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

asked Apr 21, 2021 at 11:00

0 votes

1 answer

91 views

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

asked Jul 30, 2021 at 17:27

0 votes

1 answer

144 views

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

asked May 27, 2021 at 18:44

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15 Questions

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

Deriving the Heston-Hull-White PDE

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

Justification for substituting "Itô differentials"

Non-constant Volatility of the Volatility in Stochastic Volatility Models

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

Sampling change in the driving brownian motion of a CIR process

Calculating the short rate from the discount curve

Hedging Options assuming a non-constant Yield Curve

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

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

Dealing with the ru term in an ADI Finite Difference Scheme

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

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

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