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New Posts Calibrating Hull-White in Excel 7 5255 maraai Mon Sep 22, 14 03:19 PM
by Cuchulainn
New Posts SVI quasi explicit calibration 11 897 fintamu Sat Sep 20, 14 03:35 PM
by pcaspers
New Posts Pricing Barrier Options Using a Crank-Nicolson Scheme 4 256 yihan360 Wed Sep 17, 14 09:16 AM
by VivienB
New Posts Calibration of the HW 2F with swaptions 12 727 MatthieuHanet Tue Sep 09, 14 11:53 AM
by bearish
New Posts Exponential weighting into CoVar Matrix 3 412 pvanvliet Fri Aug 29, 14 04:35 PM
by outrun
New Posts Two-factor UVM (Uncertain Volatility) Model 19 938 Cuchulainn Fri Aug 29, 14 01:05 PM
by Cuchulainn
New Posts Cir2++ swaption formula 1 585 wallaeys Sun Aug 17, 14 09:00 PM
by wallaeys
New Posts GARCH parameter estimation 2 657 almostcutmyhair Fri Aug 15, 14 08:01 PM
by tagoma
New Posts Calibrating Heston model to FX market 2 1138 simonwu19830816 Fri Aug 08, 14 09:26 PM
by kermittfrog
New Posts Help needed with Cross Volga Formula (Exchange Options) 0 548 Jules11 Wed Aug 06, 14 10:54 PM
by Jules11
New Posts fitting distributions(s) to heavy-tailed data 19 1779 observer84 Mon Aug 04, 14 12:35 PM
by observer84
New Posts Help needed with Fast Gauss Transform 3 33744 Loop17 Thu Jul 31, 14 05:00 PM
by FrancoisBotha
New Posts recovery rate and CDS MtM 3 950 moicwill Wed Jul 23, 14 01:30 AM
by bearish
New Posts Upper Bounds for Brems via Longstaff-Schwartz Monte Carlo 3 2062 overkill112358 Tue Jul 22, 14 01:51 AM
by mj
New Posts Eurobond z-spread - Reference g-curve 3 872 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 1016 financengineer Tue Jul 22, 14 01:47 AM
by mj
New Posts Comparison of multicurve calibration methods 0 796 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 1854 Cuchulainn Wed Jul 16, 14 04:14 PM
by outrun
New Posts Practical Issues in FDM Implementation 4 1010 artinia Wed Jul 16, 14 07:04 AM
by artinia
New Posts Correlation of portoflio to equities 2 895 MatthewQuaife1 Tue Jul 15, 14 09:31 PM
by outrun
New Posts VBA code to determine eigenvalues & eigenvectors... 6 44725 cchoong Sat Jul 12, 14 09:49 AM
by purbani
New Posts Fast Fourier vs COS method   Pages: 1 2 29 27495 frolloos Tue Jul 08, 14 12:55 AM
by b4byZ
New Posts Greeks for Asians in Vecer PDE 14 2058 berndL Sun Jul 06, 14 04:59 PM
by Cuchulainn
New Posts FFT for Normal Inverse Gaussian Process 5 1530 vjokhadze Sat Jul 05, 14 04:59 PM
by Lapsilago
New Posts The Alternating Direction Explicit (ADE) Method Thread   Pages: 1 2 Last 146 164002 Cuchulainn Thu Jul 03, 14 08:53 PM
by Cuchulainn
New Posts keller box scheme 7 22867 omidfuture Tue Jul 01, 14 10:54 AM
by Cuchulainn
New Posts Heston - Reference Prices 13 10766 tibbar Sun Jun 29, 14 06:50 PM
by JustusQuant
New Posts Please help!! Archimedean copulas satisfying grounded property 2 1983 jchircop123 Tue Jun 24, 14 07:08 PM
by jchircop123
New Posts Options VaR 7 87820 risk41 Mon Jun 23, 14 07:01 PM
by logfinance
New Posts CIR bond process with absorption   Pages: 1 2 Last 82 16602 Alan Fri Jun 20, 14 01:52 PM
by Alan
New Posts Finite Difference Method boundary conditions 4 1552 borabora Fri Jun 20, 14 09:31 AM
by Cuchulainn
New Posts Basis swap = 0? 6 1364 wormeer Wed Jun 18, 14 11:59 AM
by bearish
New Posts characteristic functions of Lecy models, and integration 1 1366 yeahmoon Mon Jun 16, 14 11:53 AM
by FaridMoussaoui
New Posts Numerical methods for local stochastic volatility models 2 1530 FinancialAlex Sun Jun 15, 14 01:28 PM
by Cuchulainn
New Posts FDM error 2 1339 kwantyfi Fri Jun 13, 14 07:23 PM
by kwantyfi
New Posts analytic pricing of swaptions using hull white 4 26281 pjha1 Wed Jun 11, 14 03:31 PM
by Wellwn
New Posts Numerical Integration and PDEs 12 17724 Cuchulainn Sun Jun 08, 14 05:13 PM
by Cuchulainn
New Posts Monte Carlo error 7 1704 borabora Fri Jun 06, 14 12:51 PM
by outrun
New Posts Mean of Log-normal distribution 3 1608 Farhad Wed Jun 04, 14 05:10 PM
by acastaldo
New Posts Granger Causality Spreadsheet 5 37065 Pascoe Wed Jun 04, 14 02:30 PM
by Tdenton8772
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