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7 votes

2 answers

508 views

Black-Scholes: Volatility Smile "sharpens" with time to expiry

asked Jun 7, 2021 at 16:01

5 votes

2 answers

1k views

Dynamics of FX rate

asked May 24, 2022 at 12:21

5 votes

1 answer

160 views

Convergence rate of Bermudan to American option

asked Jan 14 at 10:28

5 votes

0 answers

299 views

Delta-hedge experiment of American Put option

asked Jun 7 at 14:57

3 votes

0 answers

130 views

Pathwise sensitivities of American options - Derivative of the American payoff function

asked May 4 at 15:12

2 votes

1 answer

317 views

Cholesky decomposition reduces volatility of simulated Wiener Process / Brownian Motions

asked Jun 7, 2022 at 14:06

2 votes

0 answers

46 views

ATM cap prices in Vasicek model (Filipovic)

asked Aug 31 at 20:17

2 votes

0 answers

76 views

Filipovic: Where is it used that the world is deterministic

asked Sep 12 at 8:17

2 votes

0 answers

353 views

Pricing a put-option in the Heston Model

asked Apr 4, 2022 at 21:00

2 votes

1 answer

226 views

Martingale proof: Call-prices must be increasing in maturity

asked Jun 8, 2021 at 19:01

2 votes

1 answer

147 views

From parameter risk (sensitivities) to market risk (sensitivities)

asked Oct 29 at 15:16

1 vote

1 answer

446 views

Integral of brownian motion wrt. time over [t;T]

asked Mar 14, 2022 at 10:30

1 vote

0 answers

100 views

Techniques for proxying time series / stock prices

asked Jun 3, 2022 at 12:49

1 vote

1 answer

122 views

Term Structure Modelling - Why model the state prices and not an asset or rate

asked Sep 25, 2022 at 10:44

0 votes

0 answers

66 views

LSMC for Out of The Money paths

asked May 16 at 17:00

0 votes

1 answer

128 views

Monte Carlo methods: Choosing the best measure

asked Sep 22 at 14:15

0 votes

0 answers

66 views

Why are we so focused on Zero Coupon Bonds?

asked Oct 28 at 21:50

0 votes

1 answer

249 views

Does the put-call-parity hold for the Heston model? [closed]

asked Apr 5, 2022 at 7:02

0 votes

0 answers

59 views

What is the P-probability of an unhedged call-arbitrage to lose money at expiration

asked Feb 28, 2022 at 11:39

0 votes

1 answer

238 views

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

asked Mar 12, 2022 at 16:42

0 votes

0 answers

14 views

Fuzzy Logic - Smoothing of payoff function: Linear vs. Sigmoid

asked Nov 29 at 11:29

Stack Exchange Network

21 Questions

Black-Scholes: Volatility Smile "sharpens" with time to expiry

Dynamics of FX rate

Convergence rate of Bermudan to American option

Delta-hedge experiment of American Put option

Pathwise sensitivities of American options - Derivative of the American payoff function

Cholesky decomposition reduces volatility of simulated Wiener Process / Brownian Motions

ATM cap prices in Vasicek model (Filipovic)

Filipovic: Where is it used that the world is deterministic

Pricing a put-option in the Heston Model

Martingale proof: Call-prices must be increasing in maturity

From parameter risk (sensitivities) to market risk (sensitivities)

Integral of brownian motion wrt. time over [t;T]

Techniques for proxying time series / stock prices

Term Structure Modelling - Why model the state prices and not an asset or rate

LSMC for Out of The Money paths

Monte Carlo methods: Choosing the best measure

Why are we so focused on Zero Coupon Bonds?

Does the put-call-parity hold for the Heston model? [closed]

What is the P-probability of an unhedged call-arbitrage to lose money at expiration

Zero Coupon Bond - Price and Yield when interest rate is a diffusion process and 0 "price of market risk"

Fuzzy Logic - Smoothing of payoff function: Linear vs. Sigmoid