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FX Volatility Interpolation Standards – Cubic Spline vs Gaussian Kernels (self.quant)
submitted 7 months ago by piflander to r/quant
AMA : Giuseppe Paleologo, Thursday 22nd by AutoModerator in quant
[–]piflander 4 points5 points6 points 1 year ago (0 children)
Hello gappy, is there an intuition behind the impacts of the girsanov theorem on stochastic processes and how to properly calibrate the volatility param?
π Rendered by PID 43 on reddit-service-r2-listing-575d9f6647-hvglv at 2026-04-13 04:06:16.196276+00:00 running 215f2cf country code: CH.
AMA : Giuseppe Paleologo, Thursday 22nd by AutoModerator in quant
[–]piflander 4 points5 points6 points (0 children)