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New Posts I have a c code for Sobol sequence generation 13 52619 chhu Thu Oct 16, 14 06:53 PM
by Dostoevsky
New Posts Levy HJM 0 148 mesiasalfeus Wed Oct 15, 14 07:16 AM
by mesiasalfeus
New Posts Pairs trading threshold 3 229 milano Mon Oct 13, 14 09:07 PM
by milano
New Posts High Dim Sobol 10 54921 helix Sun Oct 12, 14 01:16 PM
by Dostoevsky
New Posts Sobol Numbers 3 18904 animeshsaxena Sun Oct 12, 14 12:46 PM
by Dostoevsky
New Posts Quasi MC delusions and difficulties 7 25026 quartz Sun Oct 12, 14 11:44 AM
by Dostoevsky
New Posts Cumulant calculation 1 261 daveangel Fri Oct 03, 14 04:48 PM
by daveangel
New Posts Pricing Barrier Options Using a Crank-Nicolson Scheme 10 682 yihan360 Fri Sep 26, 14 07:20 AM
by Cuchulainn
New Posts Sobol Sequences and Dimensionality 1 329 topi Thu Sep 25, 14 09:07 PM
by outrun
New Posts Calibration of the HW 2F with swaptions 13 994 MatthieuHanet Tue Sep 23, 14 08:54 AM
by MatthieuHanet
New Posts Calibrating Hull-White in Excel 7 5586 maraai Mon Sep 22, 14 03:19 PM
by Cuchulainn
New Posts SVI quasi explicit calibration 11 1198 fintamu Sat Sep 20, 14 03:35 PM
by pcaspers
New Posts Exponential weighting into CoVar Matrix 3 632 pvanvliet Fri Aug 29, 14 04:35 PM
by outrun
New Posts Two-factor UVM (Uncertain Volatility) Model 19 1170 Cuchulainn Fri Aug 29, 14 01:05 PM
by Cuchulainn
New Posts Cir2++ swaption formula 1 810 wallaeys Sun Aug 17, 14 09:00 PM
by wallaeys
New Posts GARCH parameter estimation 2 885 almostcutmyhair Fri Aug 15, 14 08:01 PM
by tagoma
New Posts Calibrating Heston model to FX market 2 1376 simonwu19830816 Fri Aug 08, 14 09:26 PM
by kermittfrog
New Posts Help needed with Cross Volga Formula (Exchange Options) 0 755 Jules11 Wed Aug 06, 14 10:54 PM
by Jules11
New Posts fitting distributions(s) to heavy-tailed data 19 2000 observer84 Mon Aug 04, 14 12:35 PM
by observer84
New Posts Help needed with Fast Gauss Transform 3 34000 Loop17 Thu Jul 31, 14 05:00 PM
by FrancoisBotha
New Posts recovery rate and CDS MtM 3 1173 moicwill Wed Jul 23, 14 01:30 AM
by bearish
New Posts Upper Bounds for Brems via Longstaff-Schwartz Monte Carlo 3 2281 overkill112358 Tue Jul 22, 14 01:51 AM
by mj
New Posts Eurobond z-spread - Reference g-curve 3 1098 kshemyakin Tue Jul 22, 14 01:48 AM
by bearish
New Posts Using brownian bridge for fast simulation of jump diffusion processes and barrier options 3 1230 financengineer Tue Jul 22, 14 01:47 AM
by mj
New Posts Comparison of multicurve calibration methods 0 1009 quartz Mon Jul 21, 14 04:07 PM
by quartz
New Posts Heston performance for a given accuracy (FDM only)   Pages: 1 2 Last 45 2134 Cuchulainn Wed Jul 16, 14 04:14 PM
by outrun
New Posts Practical Issues in FDM Implementation 4 1234 artinia Wed Jul 16, 14 07:04 AM
by artinia
New Posts Correlation of portoflio to equities 2 1117 MatthewQuaife1 Tue Jul 15, 14 09:31 PM
by outrun
New Posts VBA code to determine eigenvalues & eigenvectors... 6 45138 cchoong Sat Jul 12, 14 09:49 AM
by purbani
New Posts Fast Fourier vs COS method   Pages: 1 2 29 27803 frolloos Tue Jul 08, 14 12:55 AM
by b4byZ
New Posts Greeks for Asians in Vecer PDE 14 2304 berndL Sun Jul 06, 14 04:59 PM
by Cuchulainn
New Posts FFT for Normal Inverse Gaussian Process 5 1741 vjokhadze Sat Jul 05, 14 04:59 PM
by Lapsilago
New Posts The Alternating Direction Explicit (ADE) Method Thread   Pages: 1 2 Last 146 164466 Cuchulainn Thu Jul 03, 14 08:53 PM
by Cuchulainn
New Posts keller box scheme 7 23097 omidfuture Tue Jul 01, 14 10:54 AM
by Cuchulainn
New Posts Heston - Reference Prices 13 10997 tibbar Sun Jun 29, 14 06:50 PM
by JustusQuant
New Posts Please help!! Archimedean copulas satisfying grounded property 2 2198 jchircop123 Tue Jun 24, 14 07:08 PM
by jchircop123
New Posts Options VaR 7 88040 risk41 Mon Jun 23, 14 07:01 PM
by logfinance
New Posts CIR bond process with absorption   Pages: 1 2 Last 82 16892 Alan Fri Jun 20, 14 01:52 PM
by Alan
New Posts Finite Difference Method boundary conditions 4 1767 borabora Fri Jun 20, 14 09:31 AM
by Cuchulainn
New Posts Basis swap = 0? 6 1579 wormeer Wed Jun 18, 14 11:59 AM
by bearish
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