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Quantitative Finance
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Michael's user avatar
Michael
  • Member for 3 years, 1 month
  • Last seen more than a week ago
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33
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Posts
33
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3
Posts
33
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33
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Top posts
6
Is variance swap long volatility of volatility?
Mar 1, 2023
3
What's wrong with calibrating implied volatilities with polynomials?
Oct 24, 2023
2
Volatility Time and Interest Rate Time
Aug 25, 2023
2
Dupire's Formula by a Replicating Portfolio
Nov 6, 2021
2
Calibration and pricing with the Stochastic Local Volatility model
Apr 21, 2022
2
W-shaped Event Vol and Butterfly Arbitrage
Oct 8, 2022
1
What is the distribution of the trend-following strategy PnL?
Dec 27, 2021
1
How did Jim Gatheral come up with the SVI parameterization?
Sep 29, 2023
0
Implied Vol under CEV model
Jun 19