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New Posts Simulation of SABR/LMM a la Rebonato 0 88 Joerg Wed Dec 17, 14 04:17 PM
by Joerg
New Posts Feller Condition 6 87822 ClosetChartist Wed Dec 17, 14 02:55 PM
by Alan
New Posts Option Pricing with Mean Reverting SDEs using Girsanov Theorem 2 758 Amin Wed Dec 17, 14 06:57 AM
by Amin
New Posts Incremental Risk Charge 1 174 quant83 Tue Dec 16, 14 07:53 AM
by cm27874
New Posts Calculating VaR for illiquid portfolios 2 368 quant83 Sun Dec 14, 14 06:34 AM
by quant83
New Posts Copula implied by overlapping returns 7 609 erstwhile Wed Dec 10, 14 01:04 PM
by erstwhile
New Posts Vanna and Risk Reversal sensitivity 3 69955 HITECH Sun Dec 07, 14 09:58 PM
by drinkwhisky
New Posts Comparing straddles of different underlyings with alpha-normalizing gamma 0 224 pepiolas Thu Dec 04, 14 10:42 AM
by pepiolas
New Posts Solution of Stochastic Volatility Models using Variance Transition Probabilities and Path Integrals   Pages: 1 2 Last 55 12508 Amin Tue Dec 02, 14 08:05 AM
by Amin
New Posts SABR approximations - best practice?   Pages: 1 2 Last 70 50952 nielses Thu Nov 27, 14 06:22 PM
by leo2000
New Posts Stochastic process with ACF [$]\exp(-s^2)[$] 2 411 cfp Tue Nov 25, 14 02:47 PM
by cfp
New Posts Pricing IRBS using Avg Arithmetic Fed Funds 1 343 rogered Mon Nov 24, 14 05:42 AM
by MaxwellSheffield
New Posts G2++ and markovian property 4 389 MaxwellSheffield Mon Nov 24, 14 05:39 AM
by MaxwellSheffield
New Posts Convexity Adjustment-Fed Funds/Libor basis spread 2 469 rogered Sun Nov 23, 14 06:13 PM
by rogered
New Posts tenor basis and currency basis swap pricing 1 361 spak Sun Nov 23, 14 02:49 AM
by MaxwellSheffield
New Posts Is the forwardSwapRate still a martingale in the multiCurve world? 3 458 BerndSchmitz Sun Nov 23, 14 02:04 AM
by MaxwellSheffield
New Posts From a volatility index to a volatility surface 12 574 pcerutti Sat Nov 22, 14 11:36 PM
by erstwhile
New Posts Calibration of Cheyette / Quasi Gaussian short rate model   Pages: 1 2 30 32668 Kiri Thu Nov 20, 14 03:56 PM
by Gamal
New Posts Is there a good way to predict using discrete fourier transform? 3 374 yyang Thu Nov 20, 14 07:58 AM
by neuroguy
New Posts Funding beyond discounting 10 2586 tw813 Wed Nov 19, 14 04:50 AM
by andrewk
New Posts Pricing of US vs European Basis swaps 0 382 rogered Tue Nov 18, 14 09:09 AM
by rogered
New Posts Average of Statistics and Principal Component Analysis 11 1245 pcerutti Thu Nov 13, 14 02:12 PM
by Cuchulainn
New Posts New stress test / risk model: The Economic Genome 3 504 MBSADVISORS Mon Nov 10, 14 11:06 PM
by trackstar
New Posts Can anyone price this basket option 4 1374 fordem Mon Nov 10, 14 06:59 PM
by MBSADVISORS
New Posts LSMC for bond options 3 659 Poskok2 Mon Nov 10, 14 06:49 PM
by MBSADVISORS
New Posts Sensitivity analysis in finance 10 188532 sergei Mon Nov 10, 14 06:46 PM
by MBSADVISORS
New Posts exercise prob via LS least square MC simulation 0 449 kelang Mon Nov 10, 14 04:20 PM
by kelang
New Posts How to price an option on downgrade 8 684 karfey Thu Nov 06, 14 12:38 PM
by MHill
New Posts Delta-term surfaces question 1 509 mrzz Mon Nov 03, 14 06:44 PM
by sladner
New Posts estimate Hull White model parameters   Pages: 1 2 24 151076 noyghou Mon Nov 03, 14 03:07 PM
by quidni
New Posts FX option volatility 4 980 BlackFin123 Fri Oct 31, 14 06:35 AM
by cchoong
New Posts bloomberg FX stoc local vol model 15 8297 kelang Fri Oct 31, 14 05:56 AM
by cchoong
New Posts swaption realized volatility 12 812 mtsm Thu Oct 30, 14 02:23 AM
by bearish
New Posts Volatility smiles in practice 1 731 MiloRambaldi Tue Oct 28, 14 02:44 PM
by Alan
New Posts Brownian Bridge   Pages: 1 2 22 149165 Limassol3 Mon Oct 27, 14 04:12 PM
by Dostoevsky
New Posts HJM/Cheyette model with non-parametric local vol function ? 7 20450 woodsdevil Mon Oct 27, 14 02:30 PM
by Gamal
New Posts Sobol numbers from BRODA 8 141656 Suiunbek Mon Oct 27, 14 10:00 AM
by Dostoevsky
New Posts implementation of the SOBOL's sequences   Pages: 1 2 24 194281 mdekerever Sun Oct 26, 14 10:54 AM
by Dostoevsky
New Posts Delta of derivatives on futures contracts 1 625 af2tr Fri Oct 24, 14 02:20 PM
by Alan
New Posts What can we do during in delta-hedging when volatility increases? 7 773 EdisonCruise Fri Oct 24, 14 05:41 AM
by Engy
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