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Arrigo's user avatar
Arrigo's user avatar
Arrigo's user avatar
Arrigo
  • Member for 10 years, 3 months
  • Last seen more than 2 years ago
  • Italy
5 votes
Accepted

Libor Market Model: numeraire change

5 votes

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

4 votes
Accepted

Pricing a bond contract from the yield curve

3 votes
Accepted

Gamma is always positive on both put and call

3 votes
Accepted

Why square root of volatility in Heston model?

3 votes

Implication of the Greeks under jump diffusion model

2 votes

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

2 votes

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

2 votes

Calibration of a GBM - what should dt be?

1 vote
Accepted

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

1 vote
Accepted

Historical Value At Risk on option portfolio

1 vote

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

0 votes
Accepted

Options pricing exercise - American call option on a futures contract