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New Posts Help needed with Fast Gauss Transform 3 33036 Loop17 Thu Jul 31, 14 05:00 PM
by FrancoisBotha
New Posts Calibrating Heston model to FX market 1 425 simonwu19830816 Thu Jul 24, 14 06:01 PM
by Alan
New Posts recovery rate and CDS MtM 3 358 moicwill Wed Jul 23, 14 01:30 AM
by bearish
New Posts Upper Bounds for Brems via Longstaff-Schwartz Monte Carlo 3 1514 overkill112358 Tue Jul 22, 14 01:51 AM
by mj
New Posts Eurobond z-spread - Reference g-curve 3 324 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 3 471 financengineer Tue Jul 22, 14 01:47 AM
by mj
New Posts Comparison of multicurve calibration methods 0 251 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 1256 Cuchulainn Wed Jul 16, 14 04:14 PM
by outrun
New Posts Practical Issues in FDM Implementation 4 486 artinia Wed Jul 16, 14 07:04 AM
by artinia
New Posts Correlation of portoflio to equities 2 374 MatthewQuaife1 Tue Jul 15, 14 09:31 PM
by outrun
New Posts VBA code to determine eigenvalues & eigenvectors... 6 43726 cchoong Sat Jul 12, 14 09:49 AM
by purbani
New Posts fitting distributions(s) to heavy-tailed data 18 1121 observer84 Thu Jul 10, 14 02:45 AM
by observer84
New Posts Fast Fourier vs COS method   Pages: 1 2 29 26821 frolloos Tue Jul 08, 14 12:55 AM
by b4byZ
New Posts Greeks for Asians in Vecer PDE 14 1534 berndL Sun Jul 06, 14 04:59 PM
by Cuchulainn
New Posts FFT for Normal Inverse Gaussian Process 5 1043 vjokhadze Sat Jul 05, 14 04:59 PM
by Lapsilago
New Posts The Alternating Direction Explicit (ADE) Method Thread   Pages: 1 2 Last 146 163104 Cuchulainn Thu Jul 03, 14 08:53 PM
by Cuchulainn
New Posts keller box scheme 7 22354 omidfuture Tue Jul 01, 14 10:54 AM
by Cuchulainn
New Posts Heston - Reference Prices 13 10250 tibbar Sun Jun 29, 14 06:50 PM
by JustusQuant
New Posts Please help!! Archimedean copulas satisfying grounded property 2 1497 jchircop123 Tue Jun 24, 14 07:08 PM
by jchircop123
New Posts Options VaR 7 87302 risk41 Mon Jun 23, 14 07:01 PM
by logfinance
New Posts CIR bond process with absorption   Pages: 1 2 Last 82 16024 Alan Fri Jun 20, 14 01:52 PM
by Alan
New Posts Finite Difference Method boundary conditions 4 1051 borabora Fri Jun 20, 14 09:31 AM
by Cuchulainn
New Posts Basis swap = 0? 6 871 wormeer Wed Jun 18, 14 11:59 AM
by bearish
New Posts characteristic functions of Lecy models, and integration 1 851 yeahmoon Mon Jun 16, 14 11:53 AM
by FaridMoussaoui
New Posts Numerical methods for local stochastic volatility models 2 1022 FinancialAlex Sun Jun 15, 14 01:28 PM
by Cuchulainn
New Posts FDM error 2 860 kwantyfi Fri Jun 13, 14 07:23 PM
by kwantyfi
New Posts analytic pricing of swaptions using hull white 4 25747 pjha1 Wed Jun 11, 14 03:31 PM
by Wellwn
New Posts Numerical Integration and PDEs 12 17219 Cuchulainn Sun Jun 08, 14 05:13 PM
by Cuchulainn
New Posts Monte Carlo error 7 1203 borabora Fri Jun 06, 14 12:51 PM
by outrun
New Posts Mean of Log-normal distribution 3 1124 Farhad Wed Jun 04, 14 05:10 PM
by acastaldo
New Posts Granger Causality Spreadsheet 5 36286 Pascoe Wed Jun 04, 14 02:30 PM
by Tdenton8772
New Posts Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue 10 1979 rockinsquat Wed Jun 04, 14 09:10 AM
by geneboo
New Posts Implementation of Volatility for Foreign Equity Calls Struck in Domestic Currency 3 1219 dcmjlive Sun Jun 01, 14 02:15 PM
by geneboo
New Posts Gaussian copula questions 1 1244 rango123 Sun Jun 01, 14 12:48 PM
by geneboo
New Posts Closed form solution for optimising correlation? 12 1276 MartinGale7 Fri May 30, 14 09:19 AM
by MartinGale7
New Posts Modeling the distribution of options OI & volume? 3 1216 Searay Fri May 23, 14 08:48 AM
by outrun
New Posts Approximations for pricing caps? 2 1295 observer84 Mon May 19, 14 11:51 PM
by observer84
New Posts Garch forecasting volatility from hourly data 2 1207 cshl Mon May 19, 14 03:13 PM
by acastaldo
New Posts Interest expense (net) - how to calculate 0 1094 mirkov Sat May 17, 14 05:02 PM
by mirkov
New Posts PWOQF, Crank-Nicolson, American options w/ discrete dividends 2 73129 Stylz Thu May 15, 14 05:18 PM
by berndL
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