Kurt G.'s user avatar
Kurt G.'s user avatar
Kurt G.'s user avatar
Kurt G.
  • Member for 2 years, 6 months
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1 vote

American option under Ornstein-Uhlenbeck stock price

1 vote
Accepted

Why would valuation for a swap be the same on the backward and forward rate but not a caplet

1 vote

IR risk sensitivity to curve instruments

1 vote

Realizing the same PnL as Gamma Vs Vega

1 vote

SDE linear combination of stock price

0 votes
Accepted

Simple Forward Rate

0 votes

How to incorporate momentum in Ornstein Uhlenbeck to capture overshooting in financial markets?

0 votes

Covariance of the product of log normal process and normal procces

0 votes
Accepted

Volatility and drift of the instantaneous forward rate under risk neutral measure using the zero coupon bond

0 votes

Continuation value definition in Longstaff and Schwartz

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Gamma PnL when hedging with implied volatility - where is the mark to market PnL?

0 votes

How does the bank uses the provisioning amount and RWA based capital adequacy

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