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New Posts Heston - MC scheme respecting vol of Var 2 971 arnonra Mon Aug 03, 15 11:40 AM
by mj
New Posts how to use ADE when Fichera theory gives a no-boundary condition 5 249 AlexWernick1992 Sun Aug 02, 15 01:00 PM
by Cuchulainn
New Posts Monte Carlo simulation returns not normal distributed 3 1566 balasuk Thu Jul 30, 15 12:01 AM
by Sargera
New Posts Solving PDEs by mapping to reference domain   Pages: 1 2 24 561 Peter9002 Mon Jul 27, 15 05:32 PM
by list1
New Posts Heston model calibration 9 630 yeahmoon Mon Jul 27, 15 10:34 AM
by logos01
New Posts Bdt model in high volatility 1 353 Anis848 Fri Jul 24, 15 04:10 PM
by Cuchulainn
New Posts Who understands Black Scholes Boundary Conditions, really   Pages: 1 2 Last 163 173945 Cuchulainn Wed Jul 22, 15 01:23 AM
by Alan
New Posts Heston calibration ASA   Pages: 1 2 Last 65 65186 lombardovito Tue Jul 21, 15 11:52 PM
by yeahmoon
New Posts PDE : strongly convection dominated 3 576 MaxwellSheffield Sun Jul 19, 15 07:37 PM
by Cuchulainn
New Posts Levenberg-Marquardt with penalty functions 7 57456 lisconli Tue Jul 14, 15 01:19 PM
by Cuchulainn
New Posts Mulithreaded 1D PDE solver for black scholes equation 18 1183 horacioaliaga Tue Jul 14, 15 08:58 AM
by Cuchulainn
New Posts Finite difference and control variates   Pages: 1 2 Last 47 1876 mutley Fri Jul 03, 15 01:53 PM
by mutley
New Posts VBA code to determine eigenvalues & eigenvectors... 8 50085 cchoong Fri Jul 03, 15 09:23 AM
by skullx
New Posts C2 shape preserving cubic splines 15 1369 CrimsonKodo Wed Jul 01, 15 10:04 AM
by Quantuplet
New Posts SVI Quasi Explicit calibration 0 1162 yyang Mon Jun 29, 15 05:57 PM
by yyang
New Posts Richardson extrapolation method 4 2440 fmfreshman Wed Jun 24, 15 08:33 AM
by CrimsonKodo
New Posts Options vol & pricing - accounting for volume/OI of a contract? 0 1062 Searay Sun Jun 21, 15 11:01 PM
by Searay
New Posts Market price of risk 1 46283 monabs Sun Jun 21, 15 03:19 AM
by Akas
New Posts negative probability   Pages: 1 2 Last 45 71478 Mirror Sat Jun 13, 15 09:03 AM
by Cuchulainn
New Posts Natural cubic splines for interest rate curves interpolation   Pages: 1 2 38 2653 Islacanela Fri Jun 12, 15 05:01 PM
by Cuchulainn
New Posts Bivariate Normal Integral paper 19 25568 jambodev Mon Jun 08, 15 11:47 AM
by Cuchulainn
New Posts Highest Fibonacci number that can be computed recursively 14 1646 zumsel Sun Jun 07, 15 02:01 PM
by outrun
New Posts Bond expected return forecasting: monte carlo or state space? 0 1264 Monkeyfuzzle Fri Jun 05, 15 11:05 AM
by Monkeyfuzzle
New Posts quadri-variate normal distribution 4 4211 HOOK Mon Jun 01, 15 03:49 PM
by Cuchulainn
New Posts Heston Local stochastiv vol, Fokker-Planck Equation 12 5048 deltatwo Wed May 27, 15 10:52 AM
by DjejeBelfort
New Posts SABR/LMM : correlation between the volatily of foward rates 2 2227 wallaeys Tue May 26, 15 04:53 PM
by clw
New Posts The Nelson-Ramaswamy Method 14 2325 Cuchulainn Wed May 13, 15 09:07 AM
by Cuchulainn
New Posts how to hedge a barrier option 5 2903 hdzhang Tue May 12, 15 06:32 PM
by SeftonBoyd
New Posts Modeling market sentiment and pricing options by volume, open interest 1 1595 Searay Sat May 09, 15 04:12 PM
by muaddib
New Posts Valuation of Basket Cliquet Option 2 2525 caitoc Fri May 08, 15 02:53 PM
by muaddib
New Posts What does ?convergence? in Monte Carlo simulation mean?   Pages: 1 2 Last 96 3812 balasuk Tue May 05, 15 02:01 PM
by Cuchulainn
New Posts Proof of concept FHS with Garch GJM 0 1590 theblackcarpet Fri May 01, 15 06:50 PM
by theblackcarpet
New Posts speed ratio between closed form and pde pricing 13 1734 solal Tue Apr 28, 15 04:36 PM
by Cuchulainn
New Posts Numerical Integration and PDEs 15 20449 Cuchulainn Mon Apr 27, 15 04:02 PM
by spursfan
New Posts rollapply with Arima model: testing for stability of coefficients 2 1550 Nour88 Sat Apr 25, 15 05:00 PM
by Nour88
New Posts analytic pricing of swaptions using hull white 5 29042 pjha1 Fri Apr 24, 15 09:09 AM
by Piddoxou
New Posts Autocallable Structured Product Pricing 0 1290 roboch Thu Apr 16, 15 02:34 PM
by roboch
New Posts Question on the risk free rate in dynamic hedging 0 1569 hdzhang Sat Mar 28, 15 11:49 PM
by hdzhang
New Posts warehouse CLO (collateralized loan obligation) valuation 0 1659 simos Wed Mar 25, 15 10:14 AM
by simos
New Posts how to derive implied volatility from two swaption tenors 0 1734 omega001 Mon Mar 23, 15 09:52 PM
by omega001
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