Articles

The Swiss Army Knife of Option Analytics

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 […]

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Binary Backwards

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 […]

Wilmott Inner Circle

Knock-in/out Margrabe

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Wilmott Inner Circle

Option Pricing and the Dirichlet Problem

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Wilmott Inner Circle

A Look In The Antimatter Mirror

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Not-so-complex Logarithms in the Heston Model

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. […]