STELLA
Knowledge System
A structured reference for quantitative finance — derivatives pricing, volatility models, and structured products.
Notes
Autocall Hedging: LSV vs LV
→Long spot skew, short forward skew, hedge P&L dynamics — how LV and LSV models differ for autocall hedging, SSR, and calibration.
7 min read
Implied Skew Reconstruction — Decrement Baskets
→How to build an implied vol surface for a basket with no listed options — from single-name calibrations through Monte Carlo to autocall pricing impacts.
9 min read