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New Posts negative transition probability   Pages: 1 2 Last 95 5391 fionahaas Fri May 27, 16 03:25 AM
by Traden4Alpha
New Posts Who understands Black Scholes Boundary Conditions, really   Pages: 1 2 Last 169 178906 Cuchulainn Tue May 24, 16 03:46 PM
by Alan
New Posts Heston - Reference Prices   Pages: 1 2 23 17262 tibbar Mon May 23, 16 07:15 PM
by Alan
New Posts Transformation of Black vol to Normal Vol   Pages: 1 2 29 2567 Robin82 Sun May 22, 16 10:58 PM
by doublebarrier2000
New Posts Discrepancies when calculating duration 1 103 Vetle Fri May 20, 16 07:02 PM
by bearish
New Posts G2++ and swaption calibration 1 1638 littlewhitepig Wed May 18, 16 11:23 PM
by MaxwellSheffield
New Posts Multivariate normal distribution/Monte Carlo simulation 4 255 MaxwellSheffield Thu May 12, 16 01:04 AM
by MaxwellSheffield
New Posts Heston model calibration 19 5418 yeahmoon Fri Apr 22, 16 03:24 PM
by Alan
New Posts How to calibrate a linear regression model to forecast asset return? 5 771 EdisonCruise Fri Apr 15, 16 06:30 AM
by Engy
New Posts atm volatility estimate 6 815 list1 Thu Apr 14, 16 12:15 AM
by list1
New Posts Barrier option with continuous monitoring solved by finite difference   Pages: 1 2 Last 42 35020 thecount Mon Apr 11, 16 09:33 AM
by Cuchulainn
New Posts Is there any open-source robust optimization software for portfolio selection? 1 836 EdisonCruise Thu Apr 07, 16 03:22 PM
by Alan
New Posts nonparametric estimation of SPD 3 1021 marcogentile91 Mon Apr 04, 16 09:26 AM
by marcogentile91
New Posts American options -- Reference prices   Pages: 1 2 Last 208 5978 Alan Thu Mar 31, 16 03:48 PM
by Billy7
New Posts Precision simple function again?? 5 1077 Collector Wed Mar 30, 16 02:16 PM
by Collector
New Posts Value at Risk Computation 3 1723 itzkova Wed Mar 02, 16 09:54 AM
by daveangel
New Posts Interpolation for strictly increasing functions   Pages: 1 2 28 2389 katastrofa Mon Feb 29, 16 08:57 AM
by katastrofa
New Posts Local Vol MC 8 2633 CrimsonKodo Thu Feb 25, 16 07:11 PM
by Alan
New Posts Problems calibrating Vasicek model 8 2499 Robin82 Wed Feb 24, 16 09:13 PM
by ISayMoo
New Posts Free-boundary SABR (Antonov, Konikov, Spector) 5 4087 matnos Wed Feb 24, 16 05:27 PM
by b23
New Posts Levenberg-Marquardt: Using Sherman?Morrison for Broyden's Rank-1 Update? 3 2263 stampeding Sun Feb 07, 16 12:00 PM
by Cuchulainn
New Posts C++ preferred linear algebra or tensor library 2 2010 mtsm Fri Feb 05, 16 06:18 PM
by mtsm
New Posts Measuring volatility of all positions to close/strike? 2 1986 topi Wed Feb 03, 16 07:36 PM
by topi
New Posts simulating CIR process 3 2394 almostcutmyhair Thu Jan 21, 16 03:26 PM
by Alan
New Posts Heston volswap price in Matlab - getting NaN sometimes 15 2991 frolloos Fri Jan 15, 16 06:30 PM
by frolloos
New Posts Cosine 90 degrees 11 2759 Collector Mon Dec 28, 15 10:06 AM
by Cuchulainn
New Posts Calculating the delta of an option using a monte-carlo simulation of the underlying   Pages: 1 2 Last 46 5797 barny Fri Dec 18, 15 06:28 AM
by londoner
New Posts Willow Tree Model for fast pricing of American equity options 18 3214 Schinzilord Wed Dec 16, 15 11:21 AM
by Cuchulainn
New Posts CoCo pricing 0 2626 Garno Thu Dec 03, 15 09:04 PM
by Garno
New Posts VBA code to determine eigenvalues & eigenvectors... 9 56344 cchoong Thu Nov 12, 15 07:49 AM
by geneboo
New Posts TRF Pricing with PDEs 6 3592 CrimsonKodo Fri Oct 30, 15 05:10 PM
by Cuchulainn
New Posts Monte-Carlo error on implied volatility 2 3463 gibuccheri Fri Oct 30, 15 01:13 PM
by Buscacio
New Posts near-zero values for log-return or simple return calculations 1 3037 almostcutmyhair Wed Oct 28, 15 08:27 PM
by Alan
New Posts Finite difference - CFD technique   Pages: 1 2 Last 483 235964 blade Wed Oct 14, 15 01:37 PM
by Cuchulainn
New Posts Symmetric Stable-Beta Levy Process 1 3269 Anto Mon Oct 05, 15 07:12 PM
by Alan
New Posts Risk-neutral random walk monte carlo simulation 11 3937 barny Wed Sep 30, 15 10:11 PM
by Cuchulainn
New Posts Time Series Length for Historical Volatility 4 13174 Fichy Wed Sep 30, 15 11:12 AM
by outrun
New Posts Hessian for Newton method for American options by front fixing 19 3475 financengineer Tue Sep 29, 15 10:06 PM
by Cuchulainn
New Posts Heston - MC scheme respecting vol of Var 4 5465 arnonra Wed Sep 23, 15 04:05 PM
by arnonra
New Posts Bootstrapping SurvivalProb from CDS spreads   Pages: 1 2 26 83350 amitk Tue Sep 22, 15 11:28 PM
by figoliuxi
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