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Apparently, this user prefers to keep an air of mystery about them.

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  • Member for 5 years, 6 months
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Top posts (54) All Questions Answers | Votes Newest

12 Probability of touching Jun 25 '14
9 Geometric Brownian motion - Volatility Interpretation (in the drift term) Mar 24 '14
8 Jim Gatheral's ansatz Feb 8 '18
8 Jim Gatheral's assertion on ATM implied volatility vs. square root variance Apr 10 '18
7 What really is Gamma scalping? Dec 17 '17
7 European Call Option Delta Upper Bound Dec 6 '15
7 Definition of Return of A Long/short Portfolio Mar 14 '14
5 Motivation of the singular perturbation solution formulation for local volatility model Mar 11 '18
5 Variance of options returns Feb 12 '18
4 How do I prove that $\lim_{K\searrow0}\frac{P(K,T)}{K} = \mathbb P(S_T=0)$? Jun 27 '14
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