共和国
发表于 2025-3-25 06:52:49
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inscribe
发表于 2025-3-25 09:47:31
Local Stochastic Volatility, stochastic volatility approach, we have seen that there are many possible models, each having the ability to generate a smile. This is rather unsatisfactory since it leaves us wondering which approach or which particular model we should use. There are further questions we have touched on but not ye
凝视
发表于 2025-3-25 12:49:18
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GRAIN
发表于 2025-3-25 16:57:15
Afterword,subject. The quality that can make any quantitative subject thrilling is the pure power of mathematics leading to simple conclusions that otherwise seem impossible or counterintuitive. Famous examples come from physics: quantum theory and relativity lead to remarkable unexpected conclusions about th
行业
发表于 2025-3-25 21:32:51
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要控制
发表于 2025-3-26 03:29:07
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贪婪性
发表于 2025-3-26 08:17:15
Dynamic Hedging and Replication,der could take on a new contract in a large notional amount and value it in a manner guaranteed to avoid arbitrage. All very well, but that does not help the bank manage the trade through its lifetime.
大沟
发表于 2025-3-26 12:12:07
Stochastic Volatility,atively, we could look at the one month volatility implied from at-the-money options over the last year. We would see that in both cases the volatility increases in times of political turmoil or uncertainty. As we cannot predict such events, it seems reasonable to model volatility itself as a stochastic process.
Ventricle
发表于 2025-3-26 15:37:03
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antiandrogen
发表于 2025-3-26 19:52:40
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