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

20 answers
27 questions
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  • Member for 4 years, 8 months
  • 140 profile views
  • Last seen 4 hours ago

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Top Posts (47) All Questions Answers | Votes Newest

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