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New Posts The Induced Dimension Reduction method (IDR) for solving Linear Systems of Equations 0 12 outrun Sat Nov 22, 14 02:04 PM
by outrun
New Posts What algorithm to solve this integral similar to a normal CDF numerically?   Pages: 1 2 22 678 Steve06 Wed Nov 12, 14 07:46 AM
by Cuchulainn
New Posts VBA code to determine eigenvalues & eigenvectors... 7 45721 cchoong Wed Nov 12, 14 06:08 AM
by cchoong
New Posts Pricing Barrier Options Using a Crank-Nicolson Scheme 16 1146 yihan360 Fri Nov 07, 14 12:29 PM
by Cuchulainn
New Posts Pricing basket options with local volatility 0 213 balasuk Thu Nov 06, 14 08:03 PM
by balasuk
New Posts Bond Option through finite difference 2 306 AllanJonathan Wed Nov 05, 14 08:37 PM
by AllanJonathan
New Posts FD for uncertain volatiliy model on portfolio   Pages: 1 2 Last 71 35274 BramJ Tue Nov 04, 14 12:56 PM
by Cuchulainn
New Posts Normal vol 4 400 cchoong Sat Nov 01, 14 05:25 AM
by cchoong
New Posts Optimization for hedging portfolio 5 473 cchoong Fri Oct 31, 14 10:11 AM
by LocalVolatility
New Posts MC for Boundary Exercise American Option 1 262 irmapalupi4488 Fri Oct 31, 14 09:47 AM
by LocalVolatility
New Posts Using Finite DIfference to price Asians 15 97705 redsss Fri Oct 31, 14 05:16 AM
by b4byZ
New Posts Finite difference - CFD technique   Pages: 1 2 Last 482 228192 blade Fri Oct 31, 14 05:00 AM
by b4byZ
New Posts Stochastic volatility and jumps 0 257 b4byZ Fri Oct 31, 14 03:58 AM
by b4byZ
New Posts Multi-objective optimization method to match buyers and sellers in an exchange 1 351 louiscarruthers Wed Oct 22, 14 08:36 PM
by outrun
New Posts I have a c code for Sobol sequence generation 13 52903 chhu Thu Oct 16, 14 06:53 PM
by Dostoevsky
New Posts Levy HJM 0 397 mesiasalfeus Wed Oct 15, 14 07:16 AM
by mesiasalfeus
New Posts Pairs trading threshold 3 584 milano Mon Oct 13, 14 09:07 PM
by milano
New Posts High Dim Sobol 10 55172 helix Sun Oct 12, 14 01:16 PM
by Dostoevsky
New Posts Sobol Numbers 3 19167 animeshsaxena Sun Oct 12, 14 12:46 PM
by Dostoevsky
New Posts Quasi MC delusions and difficulties 7 25289 quartz Sun Oct 12, 14 11:44 AM
by Dostoevsky
New Posts Cumulant calculation 1 494 daveangel Fri Oct 03, 14 04:48 PM
by daveangel
New Posts Sobol Sequences and Dimensionality 1 557 topi Thu Sep 25, 14 09:07 PM
by outrun
New Posts Calibration of the HW 2F with swaptions 13 1228 MatthieuHanet Tue Sep 23, 14 08:54 AM
by MatthieuHanet
New Posts Calibrating Hull-White in Excel 7 5925 maraai Mon Sep 22, 14 03:19 PM
by Cuchulainn
New Posts SVI quasi explicit calibration 11 1508 fintamu Sat Sep 20, 14 03:35 PM
by pcaspers
New Posts Exponential weighting into CoVar Matrix 3 890 pvanvliet Fri Aug 29, 14 04:35 PM
by outrun
New Posts Two-factor UVM (Uncertain Volatility) Model 19 1410 Cuchulainn Fri Aug 29, 14 01:05 PM
by Cuchulainn
New Posts Cir2++ swaption formula 1 1030 wallaeys Sun Aug 17, 14 09:00 PM
by wallaeys
New Posts GARCH parameter estimation 2 1125 almostcutmyhair Fri Aug 15, 14 08:01 PM
by tagoma
New Posts Calibrating Heston model to FX market 2 1601 simonwu19830816 Fri Aug 08, 14 09:26 PM
by kermittfrog
New Posts Help needed with Cross Volga Formula (Exchange Options) 0 974 Jules11 Wed Aug 06, 14 10:54 PM
by Jules11
New Posts fitting distributions(s) to heavy-tailed data 19 2242 observer84 Mon Aug 04, 14 12:35 PM
by observer84
New Posts Help needed with Fast Gauss Transform 3 34252 Loop17 Thu Jul 31, 14 05:00 PM
by FrancoisBotha
New Posts recovery rate and CDS MtM 3 1418 moicwill Wed Jul 23, 14 01:30 AM
by bearish
New Posts Upper Bounds for Brems via Longstaff-Schwartz Monte Carlo 3 2540 overkill112358 Tue Jul 22, 14 01:51 AM
by mj
New Posts Eurobond z-spread - Reference g-curve 3 1324 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 1452 financengineer Tue Jul 22, 14 01:47 AM
by mj
New Posts Comparison of multicurve calibration methods 0 1224 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 2413 Cuchulainn Wed Jul 16, 14 04:14 PM
by outrun
New Posts Practical Issues in FDM Implementation 4 1456 artinia Wed Jul 16, 14 07:04 AM
by artinia
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