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New Posts payoff scripting for Monte Carlo in Quantlib 4 187 ishakh Sat May 23, 15 03:50 PM
by studenttt
New Posts Confusion about paragraph in Mercurio's 'Pricing Inflation-Indexed Derivatives' 2 1255 LarsMaurath Sat May 23, 15 12:28 PM
by LarsMaurath
New Posts Expected Value of a Put option hedge on a basket of assets!   Pages: 1 2 25 1912 Tedypendah Sat May 23, 15 10:08 AM
by Tedypendah
New Posts Indicator regressions: standard errors 0 57 Gerry105 Sat May 23, 15 12:32 AM
by Gerry105
New Posts Yield on coupon bearing bonds vs ZCB 6 291 Tedypendah Thu May 21, 15 04:48 PM
by Martinghoul
New Posts Incremental Risk Charge 3 2173 quant83 Thu May 21, 15 02:30 PM
by ishakh
New Posts Good reference for RWA, SLA and capital charges 5 2323 mixmasterdeik Thu May 21, 15 09:45 AM
by pimpel
New Posts Risk Neutral Valuation 11 1339 muaddib Thu May 14, 15 11:00 PM
by crmorcom
New Posts PnL Attribution Q : Cross effect or Cross Gamma ? How do I measure this ? 0 422 Venkster Wed May 13, 15 12:14 AM
by Venkster
New Posts LMM Markovian Projection per Andersen/Piterbarg in Practice. 3 579 rh303 Tue May 12, 15 11:53 AM
by Gamal
New Posts Moments in a Stochastic Volatility Model with Jumps 7 1218 Phunfactory Fri May 08, 15 03:10 PM
by kermittfrog
New Posts Jarrow-Yildirim inflation model: strange observation. 3 11062 BustopherJones Thu May 07, 15 02:58 PM
by Orbit
New Posts SABR Parameter Time-Series Instability 6 922 shrtvega Wed May 06, 15 04:44 AM
by Alan
New Posts integrated CIR process 9 7975 CroackingToad Fri May 01, 15 08:21 PM
by chufateng
New Posts Formula for Combining Call and Put Vols 2 905 muaddib Thu Apr 30, 15 11:40 PM
by muaddib
New Posts How good are z spreads as a proxy for credit spreads 1 739 thusi Thu Apr 30, 15 11:50 AM
by bearish
New Posts Estimating Underlying From Order Book 4 898 muaddib Sun Apr 26, 15 10:10 PM
by acastaldo
New Posts Methods for estimating time varying volatility 2 958 muaddib Fri Apr 24, 15 02:57 PM
by muaddib
New Posts Exponential Decay for covariance matrix scaling 3 942 LH1984 Thu Apr 23, 15 11:18 AM
by LH1984
New Posts How to Price a Swap with a floating start date 2 947 Diskiss Wed Apr 22, 15 09:21 AM
by daveangel
New Posts What happened to LT EUR swaptions? 7 1184 slslsl Wed Apr 22, 15 08:42 AM
by GoldDigga
New Posts FTD 0 777 Dantas Wed Apr 22, 15 04:19 AM
by Dantas
New Posts Model provision 0 773 largeN Mon Apr 20, 15 11:02 PM
by largeN
New Posts Clarification on par par asset swap 3 15276 Andry83 Mon Apr 20, 15 08:16 PM
by Martinghoul
New Posts Capturing skew risk in IV swaption surface in VaR Framework 11 1616 Samsaveel Fri Apr 17, 15 03:40 PM
by Samsaveel
New Posts help with a stochastic integral 4 1182 tw Mon Apr 13, 15 12:20 PM
by tw
New Posts Hedging instruments for the jump contribution in a model with jumps 5 31147 FinancialAlex Fri Apr 10, 15 03:56 AM
by yeahmoon
New Posts Common ways to price VIX Options   Pages: 1 2 22 6993 chengcj Thu Apr 09, 15 07:56 PM
by Engy
New Posts Cap / Floors Volatilities - huge problem 10 1661 lePiddu Thu Apr 09, 15 01:55 PM
by lePiddu
New Posts Exact Calculation of Stochastic Time Integrals with an Application Towards High Order Monte Carlo of Non-Linear SDE's 0 721 Amin Thu Apr 09, 15 01:24 PM
by Amin
New Posts EONIA fixing 3 1126 GoldDigga Wed Apr 08, 15 03:56 PM
by BerndSchmitz
New Posts Moneyness of a quanto EQD 3 843 karfey Wed Apr 08, 15 11:32 AM
by bearish
New Posts vega -- hull white 2 1039 seeki Tue Apr 07, 15 04:10 PM
by seeki
New Posts Question on Hagan's LGM Model 0 798 matrixpower Tue Apr 07, 15 03:27 PM
by matrixpower
New Posts Simulating from Multivariate distributions or Copulas 5 979 Tedypendah Sat Apr 04, 15 09:11 AM
by Tedypendah
New Posts Does the Solvency II correlation matrix (or any other correlation matrix) imply Pearsn's rho and hence normality? 6 1111 Tedypendah Fri Apr 03, 15 06:48 AM
by Tedypendah
New Posts Volatility surface interpolation 10 20320 Dzertyx Thu Apr 02, 15 03:04 PM
by Jhammer
New Posts Run-time of BGM to Price 30Y PRDCs 2 1166 tglauner Thu Apr 02, 15 03:42 AM
by mj
New Posts Missing upper bound for option prices in the Bachelier model 11 1296 BerndSchmitz Thu Apr 02, 15 03:40 AM
by mj
New Posts Adjustment of Local Vol model 2 761 TimM2 Wed Apr 01, 15 08:56 PM
by Orbit
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