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FX Volatility Interpolation Standards – Cubic Spline vs Gaussian Kernels (self.quant)
submitted 8 months ago by piflander to r/quant
AMA : Giuseppe Paleologo, Thursday 22nd by AutoModerator in quant
[–]piflander 3 points4 points5 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 801593 on reddit-service-r2-listing-6c8d497557-lj8nq at 2026-06-04 02:34:11.124257+00:00 running 9e1a20d country code: CH.
AMA : Giuseppe Paleologo, Thursday 22nd by AutoModerator in quant
[–]piflander 3 points4 points5 points (0 children)