User bcf

6

15

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3

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3k

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Estimating Parameters - Vasicek

Sep 20 '19 at 20:01 Community♦ 1

4

13

votes

2

answers

3k

views

What's Risk-Neutral in an Interest Rate Model?

interest-rates risk-neutral-measure

Feb 22 '17 at 12:16 zer0hedge 1,562

2

12

votes

2

answers

1k

views

Distribution of Geometric Brownian Motion

monte-carlo probability simulations brownian-motion

Jul 8 '16 at 20:30 Community♦ 1

5

11

votes

1

answer

1k

views

Why Must Dividends Be Reinvested to Use Risk-Neutral Pricing?

derivatives

Jun 30 '16 at 19:50 AFK 3,626

11

10

votes

3

answers

5k

views

Option Pricing Model Calibration In Practice

option-pricing calibration heston modelling

Jun 26 '15 at 18:51 Olaf 1,729

7

9

votes

1

answer

5k

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Multidimensional Ito's Lemma for Vector-Valued functions

stochastic-calculus itos-lemma

May 27 '15 at 2:56 quasi 1,710

1

8

votes

1

answer

420

views

Derivation of Stochastic Vol PDE

options option-pricing

Jun 9 '16 at 11:47 Quantuple 13k

2

8

votes

2

answers

407

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What's the point of discounting in risk-neutral pricing?

options option-pricing

May 25 '15 at 15:02 experquisite 1,042

7

votes

2

answers

190

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“Economic” Variables in Short Rate Models

interest-rates

Nov 5 '18 at 13:32 Calculon 565

4

6

votes

1

answer

739

views

Why must a replicating portfolio be self-financing?

options

May 20 '15 at 14:57 muaddib 191

5

votes

1

answer

188

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Interpreting Units of Short Rate Parameters

interest-rates stochastic-processes sde

Dec 31 '17 at 20:44 Community♦ 1

4

5

votes

3

answers

3k

views

Calibration of a GBM - what should dt be?

time-series simulations brownian-motion calibration

Jul 22 '17 at 16:41 Ana 1

3

5

votes

1

answer

413

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Radon-Nikodym: Changing Distribution vs Changing Random Variable

probability

Nov 27 '15 at 14:39 Gordon 19.1k

5

votes

2

answers

164

views

Interpretation of Correlation

time-series correlation

Jul 1 '15 at 19:01 Community♦ 1

1

5

votes

1

answer

307

views

Need for Binomial Representation Theorem

option-pricing

Jun 27 '15 at 21:17 Community♦ 1

4

votes

1

answer

72

views

Analytical Bond Price under Rendlemen-Bartter?

interest-rates stochastic-processes probability

Apr 19 '16 at 10:25 Ric 12.8k

2

4

votes

1

answer

263

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Estimating $\mu$ - only increasing $T$ improves estimate?

calibration

Jul 17 '15 at 20:04 phdstudent 6,143

1

4

votes

2

answers

166

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Joint probability distribution only measures product sets?

probability

Jul 6 '15 at 13:56 Ulysses 1,414

4

votes

2

answers

526

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Importance Sampling - where to center the sampling distribution?

option-pricing monte-carlo

Jun 16 '15 at 22:09 AFK 3,626

3

votes

0

answers

80

views

ODE Solution in Carr's Randomized American Put

options option-pricing american-options differential-equations

Feb 12 '17 at 22:30 bcf 2,560

1

3

votes

1

answer

192

views

Implied Vol in Different Payoffs

options implied-volatility

Jul 26 '16 at 20:54 Quantuple 13k

3

votes

0

answers

548

views

Ridiculous Bond Prices under Vasicek Model

interest-rates

Jan 31 '16 at 21:01 bcf 2,560

3

votes

2

answers

891

views

Proving Derivative Property of Moment-Generating Function

probability

Nov 19 '15 at 0:04 LazyCat 1,511

3

votes

1

answer

431

views

Monte Carlo Convergence

statistics monte-carlo

Nov 7 '15 at 9:27 Mark Joshi 6,423

2

3

votes

1

answer

130

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Underlying Sample Space in Continuous Market Model

stochastic-processes

Jun 30 '15 at 6:13 Ric 12.8k

3

votes

2

answers

952

views

Interpretation of Drift

calibration

Jun 20 '15 at 19:56 Community♦ 1

2

3

votes

1

answer

241

views

Density of Geometric BM via Fokker-Planck

distribution density

May 21 '15 at 14:47 Gordon 19.1k

1

3

votes

2

answers

728

views

Stock Returns Distribution in Heston Model

option-pricing distribution heston

Apr 28 '15 at 1:46 Community♦ 1

1

2

votes

1

answer

224

views

Physical Measure in Weather Derivatives — Hull

option-pricing derivatives

Jul 30 '17 at 19:01 Community♦ 1

2

votes

1

answer

375

views

Deep ITM Call Implied Vol via Monte Carlo

options monte-carlo

Jun 8 '16 at 15:17 Quantuple 13k

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51 Questions

Estimating Parameters - Vasicek

What's Risk-Neutral in an Interest Rate Model?

Distribution of Geometric Brownian Motion

Why Must Dividends Be Reinvested to Use Risk-Neutral Pricing?

Option Pricing Model Calibration In Practice

Multidimensional Ito's Lemma for Vector-Valued functions

Derivation of Stochastic Vol PDE

What's the point of discounting in risk-neutral pricing?

“Economic” Variables in Short Rate Models

Why must a replicating portfolio be self-financing?

Interpreting Units of Short Rate Parameters

Calibration of a GBM - what should dt be?

Radon-Nikodym: Changing Distribution vs Changing Random Variable

Interpretation of Correlation

Need for Binomial Representation Theorem

Analytical Bond Price under Rendlemen-Bartter?

Estimating $\mu$ - only increasing $T$ improves estimate?

Joint probability distribution only measures product sets?

Importance Sampling - where to center the sampling distribution?

ODE Solution in Carr's Randomized American Put

Implied Vol in Different Payoffs

Ridiculous Bond Prices under Vasicek Model

Proving Derivative Property of Moment-Generating Function

Monte Carlo Convergence

Underlying Sample Space in Continuous Market Model

Interpretation of Drift

Density of Geometric BM via Fokker-Planck

Stock Returns Distribution in Heston Model

Physical Measure in Weather Derivatives — Hull

Deep ITM Call Implied Vol via Monte Carlo