The Swiss Army Knife of Option Analytics

8th January 2020 Editor 0

Vola Dynamics provides analytics for options trading and risk management,as well as portfolio, PnL, and scenario analysis. Since its founding in New York in 2016, it has quickly established itself as the only third-party vendor […]


Binary Backwards

29th October 2019 Editor 0

Anybody who writes exams or performs job interviews knows the value of questions. If they are based on true stories or statements, even better. To my delight this showed up in my Twitter timeline: (Let […]


Not-so-complex Logarithms in the Heston Model

5th February 2018 Editor 0

In Heston’s stochastic volatility framework [Heston 1993], semi-analytical formulæ for plain vanilla option prices can be derived. Unfortunately, these formulæ require the evaluation of logarithms with complex arguments during the involved inverse Fourier integration step. […]

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