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Quantitative Finance
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NN2
  • Member for 7 years, 10 months
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4
Strategy of replicating a portfolio with payoff $\int_0^T \frac{dS_t}{S_t}$
Mar 6, 2021
4
Pricing Call Option on Coupon Bond under Vasicek
Mar 6, 2021
4
How to compute the Present Value of this path-dependent option?
Jun 4, 2021
4
If returns are correlated, are Sharpe ratios correlated?
Feb 1, 2023
4
Estimating the knockout probability of a discretely observed autocall note
Apr 1, 2023
3
Affine Structure Resolution for the Vasicek model
Mar 17, 2021
3
Initial forward variance curve $\xi_0(t)$ in the Rough Bergomi model
Apr 22, 2021
3
Construction of stochastic volatility model from a given local volatility model
Jun 15, 2023
3
Finding price of the power option
Nov 4, 2019
2
Copula analytic formula for $max(S_T^1 - K, 0) 1_{\{L<S_T^2<U\}}$
Dec 13, 2020