Quantitative Finance
Kurt G.
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About

That 3d plot of a Mexican hat I did around 1985 on a PC that did not even have 3d graphics (it took hours to finish). That such hat potentials play an important role in the standard model I learned much much later.

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6 Why this stochastic integral is calculated with Riemann integral Oct 14
4 Clarification on Paul Wilmott's derivation of Ito's Lemma Sep 28
4 Pricing interest rate derivatives Sep 30
4 Can gamma of an option be greater than its delta? Oct 13
3 what's the difference between instantaneous short rate and instantaneous forward rate? Sep 3
2 Change of numéraire for two risky assets without bank account (Margrabe’s formula?) Sep 8
2 FX option premium conversion from one currency to another Aug 24
2 How to evaluate the following integral? Oct 6
1 Delta hedging error in B-S (hedging with implied vol) question Oct 9
1 Convexity Adjustment of Daily Compounded Swap under Hull-White Model Aug 30
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