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Gordon

Toronto, ON, Canada

Quantitative role in various areas

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63
Integral of Brownian motion w.r.t. time
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33
Variance replication using options
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29
Arbitrage opportunity interview question
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27
Carr-Madan Formula
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23
Gamma Pnl vs Vega Pnl
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20
Bachelier model call option pricing formula
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20
Black Scholes differential
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19
Black-Scholes under stochastic interest rates
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13
Convexity Adjustment for Futures
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13
Hull-White formula on wikipedia, correct?
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13
Solve the following SDE: $\mathrm{d}X_t = a(b-X_t) \,\mathrm{d}t + c X_t \, \mathrm{d}W_t$
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13
How to exploit calendar arbitrage?
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13
Link between Vega and Gamma
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12
How to derive the price of a square-or-nothing call option?
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11
Ho and lee derivation for short rates model
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11
Finding Arbitrage in two Puts
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11
How were these SDE derived?
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11
How to use the stock as a numeraire to price a derivative with payoff of the form $(S_T f(S_T))^+$?
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10
Proof behind solution for theta in Hull-White with time-dependent volatility and mean reversion?
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10
Convergence of $\sum_{n=1}^{\infty}(\sqrt[n]{e}-1)$
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10
What's Risk-Neutral in an Interest Rate Model?
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10
Correlation between stochastic processes
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10
Intuition for Stock Price Numeraire Drift
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10
FX forward with stochastic interest rates pricing
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9
Prove that $\lim_\limits{x\to 0}{\frac{e^x-1}{x}}=1$ without derivatives
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9
Expectation of Gamma times S$^2$ in Black-Scholes model
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9
Why does one-factor short-rate model tend to produce parallel shift of the yield curve?
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9
What is implied volatility?
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9
Caplet "in arrears" pricing formula
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9
What are the properties of Max and Min functions?
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