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jherek
  • Member for 8 years, 10 months
  • Last seen more than a week ago
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If you are there, you might be interested in the book I published:

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Top posts

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10
Normal vs Log normal implied volatility
Oct 9, 2020
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8
Calibrate a SABR model?
Jan 8, 2019
answer
6
Brennan-Schwartz algorithm for pricing American options
Aug 16, 2019
answer
6
Why SVI does not fit well short-maturity options?
Nov 27, 2020
answer
6
Bachelier model call option pricing formula
Dec 23, 2017
answer
6
B-splines: convexity in IV/Price
Sep 11, 2019
answer
6
Pricing of a Foreign Exchange Vanilla Option
Oct 1, 2019
answer
5
In the paper "By Implication" by Jaeckel, he says that put-call parity should never be used in practic
Mar 4
answer
4
Vega in the Heston model
Dec 16, 2020
answer
4
Is there a Dupire's Formula for put options?
Nov 20, 2020

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12
Why is the Mersenne Twister regarded as good?