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New Posts Does the Solvency II correlation matrix (or any other correlation matrix) imply Pearsn's rho and hence normality? 1 106 Tedypendah Mon Mar 30, 15 01:43 PM
by Tedypendah
New Posts Density of Stochastic Differential Equations with Stochastic Calculus of Standard Deviations   Pages: 1 2 Last 63 3862 Amin Mon Mar 30, 15 08:40 AM
by Amin
New Posts Commodity price sensitivity impacted by change in Delta in Delta based vol surfaces 0 68 thusi Mon Mar 30, 15 12:03 AM
by thusi
New Posts discrete hedging question   Pages: 1 2 26 62591 bdvinsky Sat Mar 28, 15 01:08 PM
by maw501
New Posts Distribution of max BM - BM 16 852 BerndSchmitz Thu Mar 26, 15 09:49 AM
by outrun
New Posts Pricing of CPPI using Markov Operators 1 511 Naucle Wed Mar 25, 15 10:07 PM
by lp
New Posts Vega Vega 2 276 wadwad1989 Wed Mar 25, 15 01:08 PM
by BramJ
New Posts best option model in the absence of existing options surface 6 1236 pb273 Tue Mar 24, 15 12:28 AM
by mtsm
New Posts Missing upper bound for option prices in the Bachelier model 10 568 BerndSchmitz Mon Mar 23, 15 10:20 AM
by BerndSchmitz
New Posts Cap / Floors Volatilities - huge problem 5 519 lePiddu Fri Mar 20, 15 08:50 PM
by Martinghoul
New Posts AM12 Day Count Convention 1 379 antaragini Fri Mar 20, 15 05:28 PM
by fulmerspot
New Posts Expected shortfall calculation   Pages: 1 2 20 223562 abhandari Fri Mar 20, 15 04:01 PM
by acastaldo
New Posts Run-time of BGM to Price 30Y PRDCs 1 448 tglauner Fri Mar 20, 15 03:36 PM
by mutley
New Posts Risk Management Multiple Liquidity Periods 2 691 LethalLavaLand Tue Mar 17, 15 05:07 PM
by DavidJN
New Posts SDE with level-independent drift and level-dependent vol 3 569 BerndSchmitz Tue Mar 17, 15 01:05 PM
by Alan
New Posts DV01 as function of time 6 565 liuzaogui Mon Mar 16, 15 07:15 PM
by pcaspers
New Posts High frequency data 1 666 Nour88 Mon Mar 16, 15 04:34 PM
by DominicConnor
New Posts Hagan remark on curve construction 0 497 tw813 Mon Mar 16, 15 02:15 PM
by tw813
New Posts Local Vol vs Implied Vol surface 6 810 TArc Mon Mar 16, 15 02:12 PM
by TArc
New Posts DVega/DSpot 3 612 TArc Mon Mar 16, 15 08:55 AM
by LocalVolatility
New Posts Estimator of vol of vol 4 544 woodsdevil Fri Mar 13, 15 11:56 AM
by gelfand
New Posts Equivalence of Closed-Form Density and Eigenfunction Representation of Density 9 761 Orbit Thu Mar 12, 15 07:05 PM
by Orbit
New Posts Common ways to price VIX Options 14 5533 chengcj Thu Mar 12, 15 05:05 PM
by GabrielePompa
New Posts Inflation swap convention 1 512 quanteric Wed Mar 11, 15 07:02 PM
by Martinghoul
New Posts Stochastic Volatility in current market environment 8 738 Catchitup Sun Mar 08, 15 11:50 AM
by Alan
New Posts Shifted SABR / CMS 2 1129 pcaspers Thu Mar 05, 15 04:50 PM
by pcaspers
New Posts Smooth OIS-Libor Spread 1 675 GoldDigga Wed Mar 04, 15 08:10 AM
by Martinghoul
New Posts Uses of Frank Copula 0 747 Tedypendah Sun Mar 01, 15 05:08 PM
by Tedypendah
New Posts Complex logarithm in Heston Model 14 183852 yoki Thu Feb 26, 15 02:48 PM
by GabrielePompa
New Posts Feller Condition 7 90329 ClosetChartist Thu Feb 26, 15 01:50 PM
by GabrielePompa
New Posts Calibrating Volatility Surfaces via Relative-Entropy Minimization (Avellaneda et al. - 1999)   Pages: 1 2 23 2904 lampalork Thu Feb 26, 15 08:07 AM
by Cuchulainn
New Posts characteristic function SVJJ model - complex logarithm 2 838 GabrielePompa Wed Feb 25, 15 03:49 PM
by GabrielePompa
New Posts The characteristic function in Heston SV model 13 129694 tw813 Wed Feb 25, 15 11:10 AM
by GabrielePompa
New Posts Simulation of SABR/LMM a la Rebonato 5 2371 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 1309 Tedypendah Tue Feb 24, 15 03:47 AM
by Tedypendah
New Posts Good reference for RWA, SLA and capital charges 3 1941 mixmasterdeik Wed Feb 18, 15 09:00 PM
by ishakh
New Posts Is there a closed expression for KIKO type 2 & 3? 12 1546 stampeding Wed Feb 18, 15 04:11 AM
by stampeding
New Posts FVA - pricing and accounting 1 1042 ishakh Tue Feb 17, 15 09:11 PM
by ishakh
New Posts Correlation between two yield curves in HW 1 factor model 0 1196 idkid113 Mon Feb 09, 15 06:56 AM
by idkid113
New Posts non-Markov switching models 9 178416 alainruttiens Wed Feb 04, 15 12:19 AM
by anfego22
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