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KT8's user avatar
KT8's user avatar
KT8's user avatar
KT8
  • Member for 2 years, 8 months
  • Last seen this week
5 votes
Accepted

A good book on option pricing from theoretical and practical aspect

3 votes

Best practice in QuantLib Python to include borrow rate

3 votes
Accepted

Deriving eq. 5 in Carr & Madan 1998

3 votes
Accepted

Dupire's Formula by a Replicating Portfolio

2 votes

If CAPM holds, should alpha be zero for all assets?

2 votes

How is variance derived in BS?

2 votes
Accepted

Derivation in Jaeckel's "By Implication" paper

2 votes

Implied Distributions from forward prices

2 votes

Dupire's calibration

1 vote

Modelling SPX implied volatilities dynamics

1 vote

Is there an arbitrage opportunity if the forward price is different from the true expected value of the asset?

1 vote

ETF Market Making Hedging

1 vote

Conditions for market completeness

1 vote

Empirically validating GBM assumptions

1 vote
Accepted

Black-Scholes PDE transformation

1 vote

BKM risk neutral moments in python

1 vote

Determine forward rates for EUR/USD

1 vote

Implied volatilities for different options that track the same stock

1 vote

Estimate yield of coupon bond given yield of zero coupon bond

1 vote

Find the value of put option using a two-period binomial model

1 vote

Caplet delta hedging

0 votes

Importance sampling for Monte Carlo with local volatility in practice

0 votes

American Option Valuation - Induction algorithm

0 votes

Monte Carlo: How to interpolate Dupire's Local Volatility

0 votes

Why do I need fancy methods to calculate half-life of mean reversion?

0 votes
Accepted

Implication of unique risk neutral measure

0 votes

Volatility surface

0 votes

Gamma smoothing of vanilla options

0 votes

Necessary conditions to ensure that stochastic integral is a normal variable

0 votes

Questions about the replicating portfolio in the binomial model