User Arrigo - Quantitative Finance Stack Exchange

Arrigo

Member for 9 years, 3 months
Last seen more than 1 year ago

Italy

13 Answers

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5 votes

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Libor Market Model: numeraire change

answered Dec 21, 2014 at 17:38

5 votes

Spot price and volatility has a correlation of -1, why?

answered Jul 21, 2015 at 22:02

4 votes

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Pricing a bond contract from the yield curve

answered Sep 14, 2014 at 15:10

3 votes

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Gamma is always positive on both put and call

answered Jan 5, 2015 at 20:42

3 votes

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Why square root of volatility in Heston model?

answered Jul 17, 2015 at 8:38

2 votes

Which risk free rate is assumed by market when pricing american options?

answered Dec 21, 2014 at 18:45

2 votes

Why is "full" Yield Curve (term structure of interest rates) 3 component based?

answered Sep 15, 2014 at 15:45

2 votes

Calibration of a GBM - what should dt be?

answered Oct 30, 2014 at 17:20

2 votes

Implication of the Greeks under jump diffusion model

answered Nov 23, 2014 at 14:05

1 vote

Where to find pricing formulas for affine stochastic volatility jump-diffusion models?

answered Oct 7, 2015 at 22:21

1 vote

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Mean Variance Analysis: what does the solution of the following exercise tells me?

answered Nov 2, 2014 at 21:05

1 vote

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Historical Value At Risk on option portfolio

answered Sep 25, 2014 at 20:27

0 votes

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Options pricing exercise - American call option on a futures contract

answered Oct 17, 2015 at 10:08