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4 votes

3 answers

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How to incorporate momentum in Ornstein Uhlenbeck to capture overshooting in financial markets?

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1

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1 answer

108 views

Should stock prices be modeled as a martingale under the physical measure?

QuantCalc.net

31

answered 2 days ago

9 votes

2 answers

1k views

Computing closed-form solutions for stochastic integrals

Rodrigo de Azevedo

402

modified Dec 7 at 22:58

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Deriving the stochastic process for a dividend-yielding stock (under Black-Scholes assumptions)

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1

modified Nov 15 at 18:01

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1 answer

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Necessary conditions to ensure that stochastic integral is a normal variable

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1

modified Oct 26 at 18:00

1 vote

1 answer

323 views

Martingale property of the CEV model

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1

modified Sep 25 at 1:08

2 votes

1 answer

128 views

Girsanov Implementation Question

Rylan

1,133

modified Sep 16 at 15:00

14 votes

1 answer

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open problems in mathematical finance

CommunityBot

1

modified Aug 30 at 7:42

1 vote

1 answer

916 views

Monte Carlo simulation for OTM options under stochastic volatility

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1

modified Aug 28 at 16:06

8 votes

5 answers

891 views

American put option. Exercise time is a random variable, calculation of expected payoff

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1

modified Aug 22 at 23:00

2 votes

0 answers

104 views

When can I switch the order of a Riemann integral and a stochastic integral?

Anouer Bhy

93

asked Aug 2 at 9:59

3 votes

1 answer

262 views

Differential of the Ornstein-Uhlenbeck solution

Enrico

455

modified Aug 2 at 6:45

35 votes

4 answers

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Explaining the Risk Neutral Measure

user86100

1

modified Jun 13 at 18:47

2 votes

0 answers

83 views

Replicating Parameter Estimates from Fergusson’s 2020 Inflation Forecasting Models

Luke Jones

21

modified Jun 2 at 15:54

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How to incorporate momentum in Ornstein Uhlenbeck to capture overshooting in financial markets?

Should stock prices be modeled as a martingale under the physical measure?

Computing closed-form solutions for stochastic integrals

Deriving the stochastic process for a dividend-yielding stock (under Black-Scholes assumptions)

Necessary conditions to ensure that stochastic integral is a normal variable

Martingale property of the CEV model

Girsanov Implementation Question

open problems in mathematical finance

Monte Carlo simulation for OTM options under stochastic volatility

American put option. Exercise time is a random variable, calculation of expected payoff

When can I switch the order of a Riemann integral and a stochastic integral?

Differential of the Ornstein-Uhlenbeck solution

Explaining the Risk Neutral Measure

Replicating Parameter Estimates from Fergusson’s 2020 Inflation Forecasting Models

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