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New Posts how to hedge a barrier option 0 153 hdzhang Sat Mar 28, 15 11:58 PM
by hdzhang
New Posts Question on the risk free rate in dynamic hedging 0 139 hdzhang Sat Mar 28, 15 11:49 PM
by hdzhang
New Posts warehouse CLO (collateralized loan obligation) valuation 0 238 simos Wed Mar 25, 15 10:14 AM
by simos
New Posts how to derive implied volatility from two swaption tenors 0 307 omega001 Mon Mar 23, 15 09:52 PM
by omega001
New Posts "Optimal diversification" mechanism 0 327 MrPerry Mon Mar 23, 15 05:07 PM
by MrPerry
New Posts Dynamic Creation of Pseudorandom Number Generators   Pages: 1 2 Last 149 3135 Cuchulainn Sat Mar 21, 15 01:00 PM
by outrun
New Posts Turbo-Charged MC for LSV 6 544 CrimsonKodo Fri Mar 20, 15 10:27 AM
by Cuchulainn
New Posts Continuous Asian Option Pricing Explicit Method 0 412 Derivatives101 Thu Mar 19, 15 11:52 PM
by Derivatives101
New Posts G2++ Risk measure Pricing <> Forward measure pricing 3 1640 MaximusDecimus Tue Mar 17, 15 03:35 PM
by savr
New Posts Calibration Local Volatility (Andrease)   Pages: 1 2 33 13482 dnxaque Sat Mar 07, 15 02:08 PM
by Cuchulainn
New Posts Spectral Decomposition 9 1037 CrimsonKodo Thu Mar 05, 15 02:12 PM
by davidhigh
New Posts Is HJB equation a local or global optimum? 1 1998 EdisonCruise Thu Mar 05, 15 12:57 PM
by davidhigh
New Posts construction of yield curves 15 16995 dnxaque Mon Feb 23, 15 08:17 PM
by Orbit
New Posts iv for all and all for iv   Pages: 1 2 Last 86 4500 tthrift Sun Feb 22, 15 08:23 PM
by AVt
New Posts Numerical sensitivities for IR derivatives 1 1363 AllanJonathan Sun Feb 22, 15 03:22 PM
by AllanJonathan
New Posts ADE vs Crank Nicolson - Comparative Test   Pages: 1 2 Last 98 52945 Ciportne Tue Feb 17, 15 10:28 AM
by Cuchulainn
New Posts negative probability   Pages: 1 2 37 68325 Mirror Thu Feb 12, 15 07:05 PM
by Cuchulainn
New Posts Event study methodology? 0 1619 louiscarruthers Wed Feb 04, 15 04:17 PM
by louiscarruthers
New Posts How to eliminate butterfly arb in SVI ?   Pages: 1 2 22 3081 hdzhang Thu Jan 22, 15 03:14 AM
by hdzhang
New Posts How to calibrate stochastic model with time series? 4 2191 EdisonCruise Wed Jan 21, 15 02:11 AM
by EdisonCruise
New Posts Precomputed Sobol Sequence 2 2216 artinia Thu Jan 15, 15 09:44 AM
by quartz
New Posts Sobol Sequences and Dimensionality 2 3022 topi Tue Jan 13, 15 06:43 PM
by Dostoevsky
New Posts Help with SVI 10 33845 estimator Wed Jan 07, 15 05:50 AM
by LesleYLyu
New Posts Tests statistics - fmincon Matlab 4 2117 GT0000 Fri Jan 02, 15 09:11 AM
by GT0000
New Posts Why pricing American option by free-boundary method and MC? 5 1997 EdisonCruise Wed Dec 24, 14 10:48 AM
by Cuchulainn
New Posts Model short term electricity price 3 2106 randommess Mon Dec 22, 14 09:21 AM
by randommess
New Posts Hull & White [$]\vartheta[$] and numerical differentiation 10 2042 DoubleTrouble Thu Dec 18, 14 02:07 PM
by Cuchulainn
New Posts Two-factor UVM (Uncertain Volatility) Model   Pages: 1 2 20 3550 Cuchulainn Sat Dec 06, 14 11:09 AM
by Cuchulainn
New Posts Greeks with Monte Carlo simulation 2 1999 balasuk Fri Nov 28, 14 04:22 PM
by balasuk
New Posts Calculation methods for long/short position w rebalancing 0 1565 lampis Fri Nov 28, 14 01:21 PM
by lampis
New Posts where are the webbased quant tools? 18 1856 outrun Thu Nov 27, 14 09:01 PM
by outrun
New Posts The Induced Dimension Reduction method (IDR) for solving Linear Systems of Equations 1 1288 outrun Mon Nov 24, 14 04:09 PM
by Cuchulainn
New Posts What algorithm to solve this integral similar to a normal CDF numerically?   Pages: 1 2 22 2184 Steve06 Wed Nov 12, 14 07:46 AM
by Cuchulainn
New Posts VBA code to determine eigenvalues & eigenvectors... 7 47813 cchoong Wed Nov 12, 14 06:08 AM
by cchoong
New Posts Pricing Barrier Options Using a Crank-Nicolson Scheme 16 2394 yihan360 Fri Nov 07, 14 12:29 PM
by Cuchulainn
New Posts Pricing basket options with local volatility 0 1287 balasuk Thu Nov 06, 14 08:03 PM
by balasuk
New Posts Bond Option through finite difference 2 1476 AllanJonathan Wed Nov 05, 14 08:37 PM
by AllanJonathan
New Posts FD for uncertain volatiliy model on portfolio   Pages: 1 2 Last 71 36878 BramJ Tue Nov 04, 14 12:56 PM
by Cuchulainn
New Posts Normal vol 4 1496 cchoong Sat Nov 01, 14 05:25 AM
by cchoong
New Posts Optimization for hedging portfolio 5 1575 cchoong Fri Oct 31, 14 10:11 AM
by LocalVolatility
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