Quantitative Finance
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Frido
  • Member for 11 months
  • Last seen more than a week ago
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Top posts
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All Questions Answers
Score Newest
question
17
What is the point of mental arithmetic tests?
Jun 9
answer
10
Three mathematical mistakes in Black-Scholes-Merton option pricing?
May 29
answer
6
Is variance swap long volatility of volatility?
Mar 1
answer
5
Assuming perfect liquidity
May 20
answer
5
Value of a European Call option with Infinite maturity
Jan 30
question
5
Most relevant papers on IR / discount rate(s) modelling in the last 5 years
Apr 4
answer
5
How to structure a trade using vanilla equity options to get vega exposure to forward volatility?
Apr 26
question
4
BS price as the first term of option price expansion
May 18
answer
4
Why does the volatility smile flatten as maturities increase?
Jan 21
answer
4
Can the risk neutral pdf derived from Breeden-Litzenberger Method be used to calculate vega and theta?
Jul 27
Top network posts
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6
affine function of random variable
5
Malliavin derivative wrt time changed Brownian motion
5
Is $U(\Lambda,a)\hat\phi(x) U^{-1}(\Lambda,a) = R(\Lambda,a) \hat\phi(\Lambda^{-1}x + a)$ an axiom or can be it derived?

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