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Frido

Physics and maths enthusiast.

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Top Questions

What is the point of mental arithmetic tests?

trading asked Jun 9, 2023 at 14:41

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What makes Python better suited to quant finance than Matlab / Octave, Julia, R and others?

programming asked Jul 4 at 8:47

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affine function of random variable

stochastic-calculus asked Aug 21, 2019 at 9:57

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Most relevant papers on IR / discount rate(s) modelling in the last 5 years

interest-rates swaps interest-rate-swap discounting cross-currency-basis asked Apr 4, 2023 at 21:52

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Is $U(\Lambda,a)\hat\phi(x) U^{-1}(\Lambda,a) = R(\Lambda,a) \hat\phi(\Lambda^{-1}x + a)$ an axiom or can be it derived?

quantum-field-theory special-relativity representation-theory asked Jun 13, 2023 at 8:38

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Malliavin derivative wrt time changed Brownian motion

stochastic-processes stochastic-calculus stochastic-analysis malliavin-calculus asked Jan 20, 2022 at 20:52

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Top Answers

Three mathematical mistakes in Black-Scholes-Merton option pricing?

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Is variance swap long volatility of volatility?

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Why does the volatility smile flatten as maturities increase?

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Value of a European Call option with Infinite maturity

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How to structure a trade using vanilla equity options to get vega exposure to forward volatility?

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Assuming perfect liquidity

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The derivation of vega/gamma relationship

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Calculating skew for an options structure

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