Monthly Archives: February 2015

What is the risk-neutral measure?

Originally posted on Fermat's Last Spreadsheet:
Here is a short list of the most common ‘big-concept’ questions that I was asked throughout my years as a quant (whether coming from people on the trading floor, in control functions, or…

Posted in Uncategorized | Leave a comment

Ito’s product and quotient rules as described by a trader

Originally posted on Fermat's Last Spreadsheet:
Ito’s product and quotient rules are a corollary of the Ito lemma, and are one of the ┬ámost important parts of the stochastic-calculus toolkit. When I first started working as a quant I…

Posted in Uncategorized | Leave a comment