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UmaN

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10 Questions

Votes Activity Newest Views

1

vote

1

answer

1k

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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

5

9

votes

2

answers

841

views

CDS spread scenarios from historical market data

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

Apr 1 '18 at 19:58 Brian B 13.6k

3

4

votes

1

answer

756

views

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 2,325

3

votes

0

answers

741

views

GARCH filtering and extreme value theory

volatility risk garch

Aug 18 '15 at 9:42 UmaN 483

3

5

votes

2

answers

532

views

Multifractal Model, Generating Sample Paths with Correlations between Assets

time-series correlation returns fractals

Jan 8 '14 at 15:28 vanguard2k 2,844

1

vote

1

answer

494

views

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

stochastic-volatility calibration volatility-smile

Nov 6 '15 at 23:46 Community♦ 1

2

5

votes

1

answer

383

views

Growth of Order Book size during day

market-microstructure orderbook

Dec 7 '13 at 8:10 lehalle 8,942

2

2

votes

2

answers

279

views

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 201

0

votes

0

answers

160

views

OHLC inconsistencies in bloomberg

bloomberg price quote ohlc

Jun 26 '18 at 12:49 UmaN 483

3

votes

0

answers

90

views

Intraday Value at Risk approximations

monte-carlo value-at-risk delta gamma

Nov 13 '15 at 15:04 UmaN 483

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