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Quantitative Finance
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user9078057
  • Member for 5 years, 10 months
  • Last seen more than 1 year ago
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Top posts
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7
Why does the diffusion term remain the same when we change pricing measure?
Jan 24, 2022
4
How am I supposed to understand the following statement on the convexity adjusted rate
Jan 27, 2022
4
Advantages of pathwise calculus over stochastic calculus in continuous self-financing trading models
Mar 16, 2020
3
Why are quadratic variation and rough paths so important in quantitative finance?
Mar 12, 2020
3
Where does the term $\gamma$ come from when moving from measure $\mathbb Q^{N}$ to $\mathbb Q^{M}$?
Jan 29, 2022
2
Analytical evaluation of the following caplet-type product under lognormal assumptions
Feb 15, 2022
2
If $\Delta \log(V_{t})$ behaves like the increments of fractional Brownian motion, why do we model the rough volatility as follows
Jun 27, 2022
2
Finding the distribution of $I(T_{1},T_{n})$ under an appropriate measure if the forwards are lognormal? [duplicate]
Jan 26, 2022
2
If any zero coupon bond $P(T)$ can be chosen as a numéraire, then why can the rolling bond for any time discretization be chosen as numéraire
Jan 21, 2022
1
Functional Analysis or Ordinary Differential Equations? [closed]
Feb 1, 2019
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9
$\mu$ is $\sigma$-finite $\iff \exists$ function $f \in \mathcal{L}^{1}(\mu)$ with $f(x)>0$ for all $x \in X$
6
Misconception on Jordan Canonical Form
5
Intuition: $]0,\infty[: \{x \mapsto \arctan{(nx)}: n \in \mathbb N\}$
5
Show that $P(\lim\limits_{n\to \infty} X_{n}=0 \operatorname{or} 1)=1$ and if $X_{0}=\theta$ then $P(\lim\limits_{n\to \infty} X_{n}=1)=\theta$
5
Show that $\mathbb E[\exp(-\lambda(T_{a}\land T_{b}))]=\cosh(\frac{a+b}{2}\sqrt{2\lambda})/\cosh(\frac{a-b}{2}\sqrt{2\lambda})$