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New Posts best option model in the absence of existing options surface 3 195 pb273 Sun Mar 01, 15 09:33 PM
by Alan
New Posts Uses of Frank Copula 0 43 Tedypendah Sun Mar 01, 15 05:08 PM
by Tedypendah
New Posts Density of Stochastic Differential Equations with Stochastic Calculus of Standard Deviations   Pages: 1 2 35 2419 Amin Fri Feb 27, 15 12:50 PM
by Amin
New Posts Common ways to price VIX Options 10 4609 chengcj Thu Feb 26, 15 04:52 PM
by GabrielePompa
New Posts Complex logarithm in Heston Model 14 183152 yoki Thu Feb 26, 15 02:48 PM
by GabrielePompa
New Posts Feller Condition 7 89646 ClosetChartist Thu Feb 26, 15 01:50 PM
by GabrielePompa
New Posts Shifted SABR / CMS 1 324 pcaspers Thu Feb 26, 15 10:46 AM
by ZhuLiAn
New Posts Calibrating Volatility Surfaces via Relative-Entropy Minimization (Avellaneda et al. - 1999)   Pages: 1 2 23 2268 lampalork Thu Feb 26, 15 08:07 AM
by Cuchulainn
New Posts characteristic function SVJJ model - complex logarithm 2 285 GabrielePompa Wed Feb 25, 15 03:49 PM
by GabrielePompa
New Posts The characteristic function in Heston SV model 13 129163 tw813 Wed Feb 25, 15 11:10 AM
by GabrielePompa
New Posts Simulation of SABR/LMM a la Rebonato 5 1822 Joerg Tue Feb 24, 15 06:46 PM
by japanstar
New Posts Expected Value of a Put option hedge on a basket of assets! 11 807 Tedypendah Tue Feb 24, 15 03:47 AM
by Tedypendah
New Posts Good reference for RWA, SLA and capital charges 3 1477 mixmasterdeik Wed Feb 18, 15 09:00 PM
by ishakh
New Posts Is there a closed expression for KIKO type 2 & 3? 12 1092 stampeding Wed Feb 18, 15 04:11 AM
by stampeding
New Posts FVA - pricing and accounting 1 628 ishakh Tue Feb 17, 15 09:11 PM
by ishakh
New Posts Correlation between two yield curves in HW 1 factor model 0 797 idkid113 Mon Feb 09, 15 06:56 AM
by idkid113
New Posts non-Markov switching models 9 178066 alainruttiens Wed Feb 04, 15 12:19 AM
by anfego22
New Posts cubic interpolation in quantlib 1 997 tw813 Tue Feb 03, 15 04:33 PM
by tw813
New Posts Missing swap file for a matlab example 2 4438 MoonDragon Sat Jan 31, 15 10:19 PM
by tagoma
New Posts Discount curve from G2++ Eurodollar model 0 1014 Orbit Fri Jan 30, 15 09:12 PM
by Orbit
New Posts Question on yield curve 1 1274 quanteric Fri Jan 30, 15 02:55 PM
by MaxwellSheffield
New Posts Solution of Stochastic Volatility Models using Variance Transition Probabilities and Path Integrals   Pages: 1 2 Last 64 14998 Amin Tue Jan 27, 15 10:44 PM
by Amin
New Posts Realized Volatility Swaptions 6 1773 Pierre123 Thu Jan 22, 15 09:45 AM
by Pierre123
New Posts Advanced Implied Volatility Surface techniques 6 1647 volatilityMan Wed Jan 21, 15 09:46 PM
by Alan
New Posts Reference on Quantitative Equity Industry Selection Methods (Models) 0 1176 learningboy Mon Jan 19, 15 05:46 AM
by learningboy
New Posts Is there a good way to predict using discrete fourier transform? 4 1963 yyang Mon Jan 12, 15 11:03 PM
by Orbit
New Posts SVI fitting problem   Pages: 1 2 21 7970 almostcutmyhair Wed Jan 07, 15 01:29 AM
by LesleYLyu
New Posts binomial tree for time dependent Hull White model 0 1404 tw813 Wed Dec 31, 14 06:29 PM
by tw813
New Posts rate curves best practices 4 1678 mtsm Fri Dec 26, 14 12:08 AM
by mtsm
New Posts Swaption vol cube from proxies 8 1506 Jhammer Mon Dec 22, 14 06:51 PM
by Jhammer
New Posts Option Pricing with Mean Reverting SDEs using Girsanov Theorem 2 2289 Amin Wed Dec 17, 14 06:57 AM
by Amin
New Posts Incremental Risk Charge 1 1316 quant83 Tue Dec 16, 14 07:53 AM
by cm27874
New Posts Calculating VaR for illiquid portfolios 2 1345 quant83 Sun Dec 14, 14 06:34 AM
by quant83
New Posts Copula implied by overlapping returns 7 1567 erstwhile Wed Dec 10, 14 01:04 PM
by erstwhile
New Posts Vanna and Risk Reversal sensitivity 3 71003 HITECH Sun Dec 07, 14 09:58 PM
by drinkwhisky
New Posts Comparing straddles of different underlyings with alpha-normalizing gamma 0 1085 pepiolas Thu Dec 04, 14 10:42 AM
by pepiolas
New Posts SABR approximations - best practice?   Pages: 1 2 Last 70 53430 nielses Thu Nov 27, 14 06:22 PM
by leo2000
New Posts Stochastic process with ACF [$]\exp(-s^2)[$] 2 1192 cfp Tue Nov 25, 14 02:47 PM
by cfp
New Posts Pricing IRBS using Avg Arithmetic Fed Funds 1 1075 rogered Mon Nov 24, 14 05:42 AM
by MaxwellSheffield
New Posts G2++ and markovian property 4 1107 MaxwellSheffield Mon Nov 24, 14 05:39 AM
by MaxwellSheffield
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