User opt - Quantitative Finance Stack Exchange

opt

Member for 8 years, 6 months
Last seen more than 1 year ago

12 Questions

Score Activity Newest Views

8 votes

1 answer

1k views

Do intraday volume and volatility share the same properties?

asked Mar 5, 2014 at 13:54

7 votes

1 answer

3k views

Mixed local-stochastic volatility model in Quantlib

asked Feb 26, 2019 at 14:20

7 votes

1 answer

5k views

SABR calibration: simple explanation and implementation

asked Oct 28, 2014 at 13:20

7 votes

3 answers

7k views

What is an efficient method to find implied volatility?

asked Oct 29, 2014 at 12:09

4 votes

1 answer

720 views

LSV model calibration with only few quotes per maturity

asked Mar 15, 2019 at 13:43

4 votes

1 answer

4k views

Quantlib-Python: use zero rates to get the originally bootstrapped curve

asked Mar 21, 2019 at 16:19

3 votes

1 answer

2k views

Basis Swaps in Quantlib/Python

asked Sep 17, 2019 at 10:03

3 votes

1 answer

2k views

Bootstrap ESTER and SOFR curves with Quantlib Python

asked Oct 22, 2019 at 10:22

2 votes

1 answer

819 views

Some questions about implied volatilities and how to generate theoretical prices when market prices are not available

asked Jan 9, 2015 at 11:06

2 votes

1 answer

1k views

HAR-RV, realized GARCH and HEAVY model for realized volatility

asked Aug 29, 2014 at 22:06

1 vote

1 answer

776 views

What is market standard model in equity, FX and interest rates exotics?

asked Mar 5, 2019 at 15:51

1 vote

1 answer

4k views

Option greeks as dollar P&L

asked Aug 1, 2018 at 14:42