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New Posts Calibration of the HW 2F with swaptions 3 331 MatthieuHanet Sun Aug 31, 14 06:07 PM
by Cuchulainn
New Posts Exponential weighting into CoVar Matrix 3 216 pvanvliet Fri Aug 29, 14 04:35 PM
by outrun
New Posts Two-factor UVM (Uncertain Volatility) Model 19 733 Cuchulainn Fri Aug 29, 14 01:05 PM
by Cuchulainn
New Posts SVI quasi explicit calibration 4 521 fintamu Fri Aug 22, 14 01:36 PM
by pcaspers
New Posts Cir2++ swaption formula 1 389 wallaeys Sun Aug 17, 14 09:00 PM
by wallaeys
New Posts GARCH parameter estimation 2 472 almostcutmyhair Fri Aug 15, 14 08:01 PM
by tagoma
New Posts Calibrating Heston model to FX market 2 940 simonwu19830816 Fri Aug 08, 14 09:26 PM
by kermittfrog
New Posts Help needed with Cross Volga Formula (Exchange Options) 0 376 Jules11 Wed Aug 06, 14 10:54 PM
by Jules11
New Posts fitting distributions(s) to heavy-tailed data 19 1602 observer84 Mon Aug 04, 14 12:35 PM
by observer84
New Posts Help needed with Fast Gauss Transform 3 33552 Loop17 Thu Jul 31, 14 05:00 PM
by FrancoisBotha
New Posts recovery rate and CDS MtM 3 765 moicwill Wed Jul 23, 14 01:30 AM
by bearish
New Posts Upper Bounds for Brems via Longstaff-Schwartz Monte Carlo 3 1887 overkill112358 Tue Jul 22, 14 01:51 AM
by mj
New Posts Eurobond z-spread - Reference g-curve 3 695 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 3 848 financengineer Tue Jul 22, 14 01:47 AM
by mj
New Posts Comparison of multicurve calibration methods 0 626 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 1667 Cuchulainn Wed Jul 16, 14 04:14 PM
by outrun
New Posts Practical Issues in FDM Implementation 4 844 artinia Wed Jul 16, 14 07:04 AM
by artinia
New Posts Correlation of portoflio to equities 2 725 MatthewQuaife1 Tue Jul 15, 14 09:31 PM
by outrun
New Posts VBA code to determine eigenvalues & eigenvectors... 6 44414 cchoong Sat Jul 12, 14 09:49 AM
by purbani
New Posts Fast Fourier vs COS method   Pages: 1 2 29 27276 frolloos Tue Jul 08, 14 12:55 AM
by b4byZ
New Posts Greeks for Asians in Vecer PDE 14 1884 berndL Sun Jul 06, 14 04:59 PM
by Cuchulainn
New Posts FFT for Normal Inverse Gaussian Process 5 1374 vjokhadze Sat Jul 05, 14 04:59 PM
by Lapsilago
New Posts The Alternating Direction Explicit (ADE) Method Thread   Pages: 1 2 Last 146 163765 Cuchulainn Thu Jul 03, 14 08:53 PM
by Cuchulainn
New Posts keller box scheme 7 22698 omidfuture Tue Jul 01, 14 10:54 AM
by Cuchulainn
New Posts Heston - Reference Prices 13 10598 tibbar Sun Jun 29, 14 06:50 PM
by JustusQuant
New Posts Please help!! Archimedean copulas satisfying grounded property 2 1823 jchircop123 Tue Jun 24, 14 07:08 PM
by jchircop123
New Posts Options VaR 7 87656 risk41 Mon Jun 23, 14 07:01 PM
by logfinance
New Posts CIR bond process with absorption   Pages: 1 2 Last 82 16415 Alan Fri Jun 20, 14 01:52 PM
by Alan
New Posts Finite Difference Method boundary conditions 4 1382 borabora Fri Jun 20, 14 09:31 AM
by Cuchulainn
New Posts Basis swap = 0? 6 1203 wormeer Wed Jun 18, 14 11:59 AM
by bearish
New Posts characteristic functions of Lecy models, and integration 1 1197 yeahmoon Mon Jun 16, 14 11:53 AM
by FaridMoussaoui
New Posts Numerical methods for local stochastic volatility models 2 1356 FinancialAlex Sun Jun 15, 14 01:28 PM
by Cuchulainn
New Posts FDM error 2 1182 kwantyfi Fri Jun 13, 14 07:23 PM
by kwantyfi
New Posts analytic pricing of swaptions using hull white 4 26101 pjha1 Wed Jun 11, 14 03:31 PM
by Wellwn
New Posts Numerical Integration and PDEs 12 17561 Cuchulainn Sun Jun 08, 14 05:13 PM
by Cuchulainn
New Posts Monte Carlo error 7 1542 borabora Fri Jun 06, 14 12:51 PM
by outrun
New Posts Mean of Log-normal distribution 3 1449 Farhad Wed Jun 04, 14 05:10 PM
by acastaldo
New Posts Granger Causality Spreadsheet 5 36839 Pascoe Wed Jun 04, 14 02:30 PM
by Tdenton8772
New Posts Copulas and implied vol of cc3/cc2 knowing implied vol surfaces of cc1/cc2 and cc1/cc3 : a 2D integration issue 10 2308 rockinsquat Wed Jun 04, 14 09:10 AM
by geneboo
New Posts Implementation of Volatility for Foreign Equity Calls Struck in Domestic Currency 3 1557 dcmjlive Sun Jun 01, 14 02:15 PM
by geneboo
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