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AFK
  • Member for 8 years, 4 months
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28 votes
Accepted

Why dynamics of local volatility is wrong?

19 votes
Accepted

Why parameterize the Black Scholes implied volatility surface?

14 votes
Accepted

Why an option has sometimes and implied volatility greater than 100%?

12 votes
Accepted

Arbitragefree Pricing: Q vs. P

12 votes
Accepted

Relationships between white noise and random walk

12 votes
Accepted

Why linear interpolation not appropriate for volatility surface construction?

12 votes
Accepted

Why does the valuation of the floating leg of a swap only use the next payment?

11 votes

How to choose a risk-neutral measure when the market is incomplete?

8 votes

Determine $E[W_p W_q W_r]$

7 votes

Local volatility surface corresponding to the implied volatility surface

7 votes
Accepted

derivation of the hedging error in a black scholes setup

7 votes
Accepted

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

6 votes

How is the Wiener integral $\int{WdW}$ calculated?

6 votes
Accepted

Black Scholes: How does it help to transform uncertainty and still not be able to calculate a fair price?

6 votes
Accepted

Change of numeraire and reference asset

6 votes
Accepted

Plain Vanilla Interest Rate Swap

6 votes

Cash-settled swaptions

5 votes

A simple question: Cost of delta hedging when a call option is sold

5 votes

Gamma vs. Volatility Risk

5 votes
Accepted

derivation of heston pde in gatheral

5 votes

T-Forward Price on risk-neutral measure

5 votes
Accepted

Feynman Kac and choice of measure

5 votes

How to calibrate a volatility surface using SVI

4 votes

Basic LIBOR curve question

4 votes

European Call Option Delta Upper Bound

4 votes
Accepted

Intuitive understanding of Black-Scholes pricing

4 votes
Accepted

How to calculate the expected value of a function of a standard brownian motion (Wiener process)

4 votes

Black-Scholes under stochastic interest rates

3 votes

How to prove that markets are incomplete under the Stochastic Volatility model?

3 votes
Accepted

Effect of vol smile on risk neutral probability of ITM