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New Posts Normal vol 4 154 cchoong Sat Nov 01, 14 05:25 AM
by cchoong
New Posts Optimization for hedging portfolio 5 271 cchoong Fri Oct 31, 14 10:11 AM
by LocalVolatility
New Posts MC for Boundary Exercise American Option 1 52 irmapalupi4488 Fri Oct 31, 14 09:47 AM
by LocalVolatility
New Posts Using Finite DIfference to price Asians 15 97480 redsss Fri Oct 31, 14 05:16 AM
by b4byZ
New Posts Finite difference - CFD technique   Pages: 1 2 Last 482 227659 blade Fri Oct 31, 14 05:00 AM
by b4byZ
New Posts Stochastic volatility and jumps 0 51 b4byZ Fri Oct 31, 14 03:58 AM
by b4byZ
New Posts Multi-objective optimization method to match buyers and sellers in an exchange 1 171 louiscarruthers Wed Oct 22, 14 08:36 PM
by outrun
New Posts I have a c code for Sobol sequence generation 13 52713 chhu Thu Oct 16, 14 06:53 PM
by Dostoevsky
New Posts Levy HJM 0 226 mesiasalfeus Wed Oct 15, 14 07:16 AM
by mesiasalfeus
New Posts Pairs trading threshold 3 333 milano Mon Oct 13, 14 09:07 PM
by milano
New Posts High Dim Sobol 10 54994 helix Sun Oct 12, 14 01:16 PM
by Dostoevsky
New Posts Sobol Numbers 3 18981 animeshsaxena Sun Oct 12, 14 12:46 PM
by Dostoevsky
New Posts Quasi MC delusions and difficulties 7 25106 quartz Sun Oct 12, 14 11:44 AM
by Dostoevsky
New Posts Cumulant calculation 1 322 daveangel Fri Oct 03, 14 04:48 PM
by daveangel
New Posts Pricing Barrier Options Using a Crank-Nicolson Scheme 10 757 yihan360 Fri Sep 26, 14 07:20 AM
by Cuchulainn
New Posts Sobol Sequences and Dimensionality 1 390 topi Thu Sep 25, 14 09:07 PM
by outrun
New Posts Calibration of the HW 2F with swaptions 13 1057 MatthieuHanet Tue Sep 23, 14 08:54 AM
by MatthieuHanet
New Posts Calibrating Hull-White in Excel 7 5682 maraai Mon Sep 22, 14 03:19 PM
by Cuchulainn
New Posts SVI quasi explicit calibration 11 1307 fintamu Sat Sep 20, 14 03:35 PM
by pcaspers
New Posts Exponential weighting into CoVar Matrix 3 702 pvanvliet Fri Aug 29, 14 04:35 PM
by outrun
New Posts Two-factor UVM (Uncertain Volatility) Model 19 1233 Cuchulainn Fri Aug 29, 14 01:05 PM
by Cuchulainn
New Posts Cir2++ swaption formula 1 865 wallaeys Sun Aug 17, 14 09:00 PM
by wallaeys
New Posts GARCH parameter estimation 2 950 almostcutmyhair Fri Aug 15, 14 08:01 PM
by tagoma
New Posts Calibrating Heston model to FX market 2 1435 simonwu19830816 Fri Aug 08, 14 09:26 PM
by kermittfrog
New Posts Help needed with Cross Volga Formula (Exchange Options) 0 814 Jules11 Wed Aug 06, 14 10:54 PM
by Jules11
New Posts fitting distributions(s) to heavy-tailed data 19 2064 observer84 Mon Aug 04, 14 12:35 PM
by observer84
New Posts Help needed with Fast Gauss Transform 3 34066 Loop17 Thu Jul 31, 14 05:00 PM
by FrancoisBotha
New Posts recovery rate and CDS MtM 3 1234 moicwill Wed Jul 23, 14 01:30 AM
by bearish
New Posts Upper Bounds for Brems via Longstaff-Schwartz Monte Carlo 3 2336 overkill112358 Tue Jul 22, 14 01:51 AM
by mj
New Posts Eurobond z-spread - Reference g-curve 3 1151 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 1288 financengineer Tue Jul 22, 14 01:47 AM
by mj
New Posts Comparison of multicurve calibration methods 0 1060 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 2218 Cuchulainn Wed Jul 16, 14 04:14 PM
by outrun
New Posts Practical Issues in FDM Implementation 4 1287 artinia Wed Jul 16, 14 07:04 AM
by artinia
New Posts Correlation of portoflio to equities 2 1169 MatthewQuaife1 Tue Jul 15, 14 09:31 PM
by outrun
New Posts VBA code to determine eigenvalues & eigenvectors... 6 45268 cchoong Sat Jul 12, 14 09:49 AM
by purbani
New Posts Fast Fourier vs COS method   Pages: 1 2 29 27895 frolloos Tue Jul 08, 14 12:55 AM
by b4byZ
New Posts Greeks for Asians in Vecer PDE 14 2372 berndL Sun Jul 06, 14 04:59 PM
by Cuchulainn
New Posts FFT for Normal Inverse Gaussian Process 5 1794 vjokhadze Sat Jul 05, 14 04:59 PM
by Lapsilago
New Posts The Alternating Direction Explicit (ADE) Method Thread   Pages: 1 2 Last 146 164578 Cuchulainn Thu Jul 03, 14 08:53 PM
by Cuchulainn
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