user avatar
user avatar
user avatar
ir7
  • Member for 8 years, 6 months
  • Last seen this week
9 votes
Accepted

Gamma PnL from Itô's Lemma derivation

8 votes
Accepted

Ito multiplication

7 votes

Ito calculus is Gaussian (using method of characteristic function)

7 votes

Implied Vol Smile: from Calls, Puts or Both?

7 votes

Can I write Ito's Lemma as a taylor expension?

6 votes
Accepted

Integration on Wiener Process

6 votes

Good Quant-Finance Interview Questions

6 votes
Accepted

At-the-money forward implied volatility

6 votes

Which is riskier: a call option or the underlying?

6 votes
Accepted

Stochastic volatility model with exponential OU volatility

6 votes
Accepted

Reason for 0 in discounted stock price process

6 votes

How to compute $E[W(T)\exp(W(T)]$

5 votes

Reflection principle of the Brownian motion

5 votes

Derivation of static replication formula

5 votes
Accepted

Ito's lemma $f(t,W_t^2)$

5 votes
Accepted

Default intensity in Black-Cox model

5 votes
Accepted

Calibration Heston Local Stochastic Volatility (LSV) Model

5 votes

What is the distribution of the risk-free asset?

5 votes
Accepted

Calculate Ito integral $\int_0^t W_s^2\text dW_s$ from first principles

5 votes
Accepted

When we try to build curves, why we need fixings?

5 votes
Accepted

Implied volatility of hypothetical options market

5 votes
Accepted

Why do we not use copula for forward starting options?

5 votes
Accepted

Solution for a SDE for a Bond found in Bugard & Kjaer

4 votes
Accepted

Choosing which interest rate model to go with?

4 votes

Clarification of Ito's lemma

4 votes

Backtesting of Risk models

4 votes
Accepted

Heston Model - PDE and Monte Carlo

4 votes
Accepted

$\frac{\partial}{\partial a} E [\sqrt{a+X} ]$, $X > 0$ a.s., $a \geq 0$

4 votes
Accepted

How to choose the martingale measure in incomplete markets

4 votes
Accepted

Eurodollar future vs Eurodollar forward contracts

1
2 3 4 5