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New Posts Who understands Black Scholes Boundary Conditions, really   Pages: 1 2 Last 166 174869 Cuchulainn Tue Sep 01, 15 08:46 AM
by Cuchulainn
New Posts Quartic spline library 2 146 stas Mon Aug 31, 15 02:48 PM
by ExSan
New Posts Heston model calibration 12 1479 yeahmoon Mon Aug 31, 15 10:23 AM
by VivienB
New Posts Is volatility forecastable? To any extent? 10 955 kartashove Wed Aug 19, 15 06:01 PM
by list1
New Posts IR Swaps Break Even Rate 0 612 Ronnie36 Thu Aug 13, 15 04:55 PM
by Ronnie36
New Posts Monte Carlo Greeks: Smoothed Perturbation Analysis help 1 681 kevalamin01 Sun Aug 09, 15 04:08 PM
by kevalamin01
New Posts Heston - MC scheme respecting vol of Var 2 1758 arnonra Mon Aug 03, 15 11:40 AM
by mj
New Posts how to use ADE when Fichera theory gives a no-boundary condition 5 994 AlexWernick1992 Sun Aug 02, 15 01:00 PM
by Cuchulainn
New Posts Monte Carlo simulation returns not normal distributed 3 2310 balasuk Thu Jul 30, 15 12:01 AM
by Sargera
New Posts Solving PDEs by mapping to reference domain   Pages: 1 2 24 1336 Peter9002 Mon Jul 27, 15 05:32 PM
by list1
New Posts Bdt model in high volatility 1 1075 Anis848 Fri Jul 24, 15 04:10 PM
by Cuchulainn
New Posts Heston calibration ASA   Pages: 1 2 Last 65 65985 lombardovito Tue Jul 21, 15 11:52 PM
by yeahmoon
New Posts PDE : strongly convection dominated 3 1304 MaxwellSheffield Sun Jul 19, 15 07:37 PM
by Cuchulainn
New Posts Levenberg-Marquardt with penalty functions 7 58196 lisconli Tue Jul 14, 15 01:19 PM
by Cuchulainn
New Posts Mulithreaded 1D PDE solver for black scholes equation 18 1913 horacioaliaga Tue Jul 14, 15 08:58 AM
by Cuchulainn
New Posts Finite difference and control variates   Pages: 1 2 Last 47 2599 mutley Fri Jul 03, 15 01:53 PM
by mutley
New Posts VBA code to determine eigenvalues & eigenvectors... 8 50660 cchoong Fri Jul 03, 15 09:23 AM
by skullx
New Posts C2 shape preserving cubic splines 15 1697 CrimsonKodo Wed Jul 01, 15 10:04 AM
by Quantuplet
New Posts SVI Quasi Explicit calibration 0 1500 yyang Mon Jun 29, 15 05:57 PM
by yyang
New Posts Richardson extrapolation method 4 2561 fmfreshman Wed Jun 24, 15 08:33 AM
by CrimsonKodo
New Posts Options vol & pricing - accounting for volume/OI of a contract? 0 1193 Searay Sun Jun 21, 15 11:01 PM
by Searay
New Posts Market price of risk 1 46416 monabs Sun Jun 21, 15 03:19 AM
by Akas
New Posts negative probability   Pages: 1 2 Last 45 71696 Mirror Sat Jun 13, 15 09:03 AM
by Cuchulainn
New Posts Natural cubic splines for interest rate curves interpolation   Pages: 1 2 38 2847 Islacanela Fri Jun 12, 15 05:01 PM
by Cuchulainn
New Posts Bivariate Normal Integral paper 19 25740 jambodev Mon Jun 08, 15 11:47 AM
by Cuchulainn
New Posts Highest Fibonacci number that can be computed recursively 14 1766 zumsel Sun Jun 07, 15 02:01 PM
by outrun
New Posts Bond expected return forecasting: monte carlo or state space? 0 1378 Monkeyfuzzle Fri Jun 05, 15 11:05 AM
by Monkeyfuzzle
New Posts quadri-variate normal distribution 4 4345 HOOK Mon Jun 01, 15 03:49 PM
by Cuchulainn
New Posts Heston Local stochastiv vol, Fokker-Planck Equation 12 5203 deltatwo Wed May 27, 15 10:52 AM
by DjejeBelfort
New Posts SABR/LMM : correlation between the volatily of foward rates 2 2337 wallaeys Tue May 26, 15 04:53 PM
by clw
New Posts The Nelson-Ramaswamy Method 14 2479 Cuchulainn Wed May 13, 15 09:07 AM
by Cuchulainn
New Posts how to hedge a barrier option 5 3048 hdzhang Tue May 12, 15 06:32 PM
by SeftonBoyd
New Posts Modeling market sentiment and pricing options by volume, open interest 1 1704 Searay Sat May 09, 15 04:12 PM
by muaddib
New Posts Valuation of Basket Cliquet Option 2 2658 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 4016 balasuk Tue May 05, 15 02:01 PM
by Cuchulainn
New Posts Proof of concept FHS with Garch GJM 0 1705 theblackcarpet Fri May 01, 15 06:50 PM
by theblackcarpet
New Posts speed ratio between closed form and pde pricing 13 1846 solal Tue Apr 28, 15 04:36 PM
by Cuchulainn
New Posts Numerical Integration and PDEs 15 20591 Cuchulainn Mon Apr 27, 15 04:02 PM
by spursfan
New Posts rollapply with Arima model: testing for stability of coefficients 2 1671 Nour88 Sat Apr 25, 15 05:00 PM
by Nour88
New Posts analytic pricing of swaptions using hull white 5 29202 pjha1 Fri Apr 24, 15 09:09 AM
by Piddoxou
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