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UmaN

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implied-volatility

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10 Questions

Votes Activity Newest Views

1

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Implied Volatility Calculation for Deep In The Money Calls, Numerical Issues

black-scholes implied-volatility numerical-methods

Jan 22 '15 at 9:36 Community♦ 1

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9

votes

2

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879

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CDS spread scenarios from historical market data

risk-management historical-data simulations value-at-risk cds

Apr 1 '18 at 19:58 Brian B 13.7k

3

4

votes

1

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803

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Volatility Surface Constituents, do's and dont's

options volatility implied-volatility volatility-smile best-practices

Dec 3 '15 at 14:22 onlyvix.blogspot.com 2,335

2

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0

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757

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GARCH filtering and extreme value theory

volatility risk garch

Aug 18 '15 at 9:42 UmaN 473

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5

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2

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562

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Multifractal Model, Generating Sample Paths with Correlations between Assets

time-series correlation returns fractals

Jan 8 '14 at 15:28 vanguard2k 2,854

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536

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SVI calibration, why fit to option prices and not implied volatilities

stochastic-volatility calibration volatility-smile

Nov 6 '15 at 23:46 Community♦ 1

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5

votes

1

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394

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Growth of Order Book size during day

market-microstructure orderbook

Dec 7 '13 at 8:10 lehalle 9,130

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2

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291

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What are some examples of non-solvable SDE where Monte Carlo discretization is necessary

monte-carlo brownian-motion euler

Jun 16 '19 at 19:56 Glorfindel 203

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166

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OHLC inconsistencies in bloomberg

bloomberg price quote ohlc

Jun 26 '18 at 12:49 UmaN 473

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Intraday Value at Risk approximations

monte-carlo value-at-risk delta gamma

Nov 13 '15 at 15:04 UmaN 473

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