Quantitative Finance
Kurt G.'s user avatar
Kurt G.'s user avatar
Kurt G.'s user avatar
Kurt G.
  • Member for 2 years, 3 months
  • Last seen this week
Profile Activity

72 Answers

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7 votes
Accepted

How to derive forward price on stock with continuous dividend

6 votes

Question on Merton's self financing derivation

5 votes
Accepted

How is an exchange rate process a martingale under any measure?

5 votes

Why does the diffusion term remain the same when we change pricing measure?

5 votes

Clarification on Paul Wilmott's derivation of Ito's Lemma

5 votes
Accepted

Why this stochastic integral is calculated with Riemann integral

4 votes

Can gamma of an option be greater than its delta?

4 votes
Accepted

Pricing interest rate derivatives

4 votes
Accepted

Pricing (Single and Double) Window Barrier FX Options

3 votes
Accepted

GBM - How to make make annualized dividend reflected in one quarter

3 votes

what's the difference between instantaneous short rate and instantaneous forward rate?

3 votes

Three mathematical mistakes in Black-Scholes-Merton option pricing?

3 votes

Integrated Brownian motion

3 votes

Decomposing option payoffs

3 votes
Accepted

Difference HJM Framework versus Short rate model

3 votes

Quanto options, domestic = underlying

2 votes
Accepted

Option Extrinsic value representation

2 votes
Accepted

European option with payoff $X_T^2$

2 votes
Accepted

Can I replicate an option with time to expiry $t$ by trading in another with expiry $T > t$?

2 votes

For options on futures why is there no discounting?

2 votes
Accepted

Yield curve bootstrapping: direct market rates vs discount factors interpolation

2 votes
Accepted

What kind of interpolation is this?

2 votes
Accepted

Integration of exponential raised with Brownian Motion wrt the Brownian Motion

2 votes
Accepted

How do people 'lookup' values from calculated surfaces?

2 votes
Accepted

expression on page 90 of shreve's stochastic calculus for finance II

2 votes

Does discretizing a diffusion model make it look like a jump diffusion model?

2 votes
Accepted

Forward on a stock with Dividends

2 votes

How to value a bond with a credit spread

2 votes

Heston Riccati equation

2 votes

Discrete self financing strategy

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