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user54908
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3 votes
2 answers
1k views

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

4 votes
1 answer
646 views

Deriving the Heston-Hull-White PDE

9 votes
1 answer
609 views

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

1 vote
2 answers
494 views

Calculating the short rate from the discount curve

3 votes
1 answer
389 views

Non-constant Volatility of the Volatility in Stochastic Volatility Models

2 votes
1 answer
370 views

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

1 vote
1 answer
297 views

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

1 vote
2 answers
279 views

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

2 votes
2 answers
198 views

Sampling change in the driving brownian motion of a CIR process

1 vote
1 answer
144 views

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

3 votes
1 answer
128 views

Justification for substituting "Itô differentials"

0 votes
1 answer
118 views

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

0 votes
1 answer
85 views

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

1 vote
0 answers
70 views

Dealing with the ru term in an ADI Finite Difference Scheme

1 vote
0 answers
47 views

Hedging Options assuming a non-constant Yield Curve