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KT8
  • Member for 2 years, 6 months
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0 votes
1 answer
111 views

Market data and machine learning

4 votes
0 answers
202 views

Gatheral pseudo-probabilities inverse Fourier transform

0 votes
0 answers
53 views

Gatheral clock time explanation

1 vote
0 answers
98 views

Books on Finite Differences by Duffy

2 votes
0 answers
107 views

State-of-the-art grid construction techniques

1 vote
0 answers
123 views

Infering the discounting rate for an illiquid company

4 votes
2 answers
318 views

Complex Integral in Rouah's Heston book

0 votes
0 answers
72 views

Question from Duffie and Kan (1996)

0 votes
0 answers
92 views

Vanna-Volga consistency result

0 votes
1 answer
636 views

Limit of digital call and put price when volatility goes to infinity

3 votes
1 answer
303 views

Market price of risk ($\lambda$) - Brigo and Mercurio

0 votes
0 answers
92 views

Discounting power derivatives

2 votes
2 answers
340 views

Continuation value definition in Longstaff and Schwartz