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New Posts Shadow value of cash in a equity portfolio 2 193 deppytachyon Wed Sep 02, 15 01:40 AM
by bearish
New Posts CDS Spread sensitivity behavior 0 135 lorpiz Tue Sep 01, 15 04:50 PM
by lorpiz
New Posts Test if correct output on FFT Bates 14 673 volatilityMan Tue Sep 01, 15 02:16 AM
by volatilityMan
New Posts Vega risk factor specifications 0 193 BerndSchmitz Mon Aug 31, 15 02:01 PM
by BerndSchmitz
New Posts Pegged currency modelling 2 252 woodsdevil Sun Aug 30, 15 10:28 AM
by woodsdevil
New Posts Sign of Turns on overnight curve 1 572 GoldDigga Fri Aug 28, 15 07:17 AM
by Martinghoul
New Posts Convexity adjustment in bootstrapping the yield curve 10 30017 gorilla Thu Aug 27, 15 04:30 PM
by studenttt
New Posts Avoid negative interest rates in Hull White model 12 30955 Kiri Tue Aug 25, 15 12:47 PM
by Costeanu
New Posts Double (two-factor) Heston model 1 421 AlexRub Tue Aug 25, 15 07:51 AM
by kermittfrog
New Posts Analytic Bond prices for Hull White single-factor with time-dependent volatility   Pages: 1 2 Last 41 13776 MattNowak Fri Aug 21, 15 02:42 PM
by gerbijoe
New Posts Yield curve with policy meeting dates 2 613 quanteric Thu Aug 20, 15 09:43 AM
by GoldDigga
New Posts markovian Maket Model 0 552 DDUKON Wed Aug 19, 15 05:21 PM
by DDUKON
New Posts Gas Storage Valuation: Physical Measure vs Risk Neutral Measure 17 1083 dawo Wed Aug 19, 15 03:32 PM
by crmorcom
New Posts Debt to Assets ratio of a AAA rated company   Pages: 1 2 23 1020 Tedypendah Sat Aug 15, 15 02:25 PM
by Traden4Alpha
New Posts What is the practical usage for Kullback measure? 0 679 AndreyV Sat Aug 15, 15 05:48 AM
by AndreyV
New Posts Funding beyond discounting 11 4942 tw813 Fri Aug 14, 15 06:48 PM
by frolloos
New Posts Views on PCA when observations are less than variables 1 687 LaTuaStoria Fri Aug 14, 15 11:41 AM
by bearish
New Posts Matching numbers from a paper 6 884 0xdeadbeef Wed Aug 12, 15 12:15 PM
by acastaldo
New Posts Heath-Jarrow-Morton model for commodities 5 788 dawo Tue Aug 11, 15 01:06 PM
by dawo
New Posts Using implied volatility of OTM puts as crashopia KRI 18 1149 Tedypendah Tue Aug 11, 15 06:39 AM
by daveangel
New Posts ACM term premium paper 0 578 prodiptag Mon Aug 10, 15 04:10 PM
by prodiptag
New Posts Midcurve swaption skew 1 753 surya2cents Mon Aug 10, 15 04:03 PM
by prodiptag
New Posts Historical BasisSpread volatility based on fixings 2 488 BerndSchmitz Mon Aug 10, 15 12:07 PM
by BerndSchmitz
New Posts Finding the real world expected return with options prices   Pages: 1 2 Last 127 15672 frenchX Fri Aug 07, 15 02:41 PM
by TheStudent
New Posts Terminal correlation implied by 2 local vol processes 1 721 PaoloBiancardi Wed Aug 05, 15 03:35 PM
by Alan
New Posts Normal Model 0 693 alphawave Tue Aug 04, 15 01:43 PM
by alphawave
New Posts Stochast/Local Vol LMM   Pages: 1 2 Last 61 48836 Lapsilago Thu Jul 30, 15 05:25 PM
by MaxwellSheffield
New Posts Asian Options 12 189126 sgelb Thu Jul 30, 15 12:22 PM
by bearish
New Posts hard constraints vs soft constraints in portfolio optimization 1 761 pb273 Tue Jul 28, 15 02:29 PM
by Alan
New Posts Determining where the ATM strike is using Bloomberg and Excel for options analysis 4 1024 awd Tue Jul 28, 15 01:59 PM
by awd
New Posts Derivative of vega with respect to vol 2 998 BerndSchmitz Mon Jul 27, 15 10:26 AM
by BerndSchmitz
New Posts Phd thesis ;- Modelling Credit risk under jump diffusion, extending the Merton Model 9 2005 Tedypendah Mon Jul 27, 15 06:51 AM
by Tedypendah
New Posts Solution of Stochastic Volatility Models using Variance Transition Probabilities and Path Integrals   Pages: 1 2 Last 66 17791 Amin Fri Jul 24, 15 12:09 PM
by Amin
New Posts up to date reference on curves construction and risk 5 1552 mtsm Thu Jul 23, 15 06:11 PM
by BerndSchmitz
New Posts SABR density extrapolation 10 1297 Hugo60 Thu Jul 23, 15 02:22 PM
by Hugo60
New Posts Stochastic modelling of LIBOR under "OIS numeraire" 1 865 maraai Wed Jul 22, 15 02:16 PM
by MaxwellSheffield
New Posts curves building with sparse market data 0 746 mtsm Mon Jul 20, 15 10:24 PM
by mtsm
New Posts top rate curves building facilities in 3rd party quant analytics libraries 0 776 mtsm Mon Jul 20, 15 09:30 PM
by mtsm
New Posts Instantaneous Forward rates 6 2274 AtManZen Mon Jul 13, 15 01:12 PM
by AtManZen
New Posts Interpretation of Beta 4 1158 borabora Sat Jul 11, 15 09:43 PM
by bearish
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