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New Posts Hedge in Heston model 3 132 AlexRub Sat Feb 06, 16 10:41 PM
by frolloos
New Posts SABR approximations - best practice?   Pages: 1 2 Last 99 61337 nielses Thu Feb 04, 16 10:40 PM
by Cuchulainn
New Posts CVA 11 874 mj Wed Feb 03, 16 11:36 PM
by cenperro
New Posts Exact no-arbitrage conditions for SSVI / S3 vol curve 0 163 klassen Wed Feb 03, 16 03:57 PM
by klassen
New Posts Piterbarg Collateral paper, Stochastic Rates? 0 171 wwwQuant Wed Feb 03, 16 02:01 PM
by wwwQuant
New Posts HJM/Cheyette model with non-parametric local vol function ? 8 23392 woodsdevil Wed Feb 03, 16 08:14 AM
by Gamal
New Posts Real world credit spread model? 0 207 Church Tue Feb 02, 16 01:02 PM
by Church
New Posts local volatility   Pages: 1 2 27 1008 list1 Sun Jan 31, 16 09:54 PM
by list1
New Posts Quanto adjustment with no Black vol 2 1552 Jamjam1729 Thu Jan 28, 16 04:02 PM
by virtualphoton
New Posts EUR curves 8 746 mtsm Thu Jan 28, 16 01:59 PM
by mtsm
New Posts Gauthier's Smart Parameters for Heston Calibration 2 508 DoubleTrouble Wed Jan 27, 16 06:45 PM
by DoubleTrouble
New Posts Estimating of lower and upper bounds of Error 2 664 PfistOs Wed Jan 20, 16 03:43 PM
by Alan
New Posts Machine Learning for financial time series 2 1219 JinhuaColin Tue Jan 19, 16 10:47 PM
by JinhuaColin
New Posts Historical Bloomberg data has gaps? 2 720 donnylee Mon Jan 18, 16 01:59 PM
by acastaldo
New Posts Is there any industrial standard method to hedge option while need to roll future? 4 826 EdisonCruise Mon Jan 18, 16 01:00 AM
by EdisonCruise
New Posts Volatility Forecast GARCH(1,1) 1 701 armadari Sat Jan 16, 16 09:40 PM
by Alan
New Posts Derivation of zeroth order ATM skew in SABR 3 832 BerndSchmitz Fri Jan 15, 16 04:30 PM
by Alan
New Posts callable range accrual pricing 5 13001 kelang Tue Jan 12, 16 09:46 PM
by Jhammer
New Posts Forecast the term structure of crude oil futures prices 0 678 PfistOs Tue Jan 12, 16 03:31 PM
by PfistOs
New Posts Frequency of payment for Sterling Overnight Index Swap 4 1556 NE1 Tue Jan 12, 16 12:04 AM
by Martinghoul
New Posts model calibration using Monte Carlo 0 677 caperover Fri Jan 08, 16 10:34 PM
by caperover
New Posts buy on dips notes: is there any option sturcture? 1 668 stary2night Fri Jan 08, 16 07:32 PM
by Alan
New Posts USCPI inflation swaps seasonality 7 1185 Randor Thu Jan 07, 16 02:02 PM
by Martinghoul
New Posts Inflation Index curve construction less than 1 year 3 1257 antaragini Thu Jan 07, 16 01:54 PM
by Martinghoul
New Posts Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded 12 1896 Church Wed Jan 06, 16 04:35 PM
by Orbit
New Posts Sign of shares number in BS portfolio 5 693 list1 Tue Jan 05, 16 06:03 PM
by list1
New Posts The carry of an IRS   Pages: 1 2 24 97093 edgar Thu Dec 24, 15 10:11 AM
by DocToc
New Posts Is the forwardSwapRate still a martingale in the multiCurve world? 4 3574 BerndSchmitz Wed Dec 23, 15 02:27 PM
by BerndSchmitz
New Posts Forward Rate analysis error? 2 908 DocToc Tue Dec 22, 15 01:44 PM
by DocToc
New Posts Monotonicity of Implied Volatility with Volatility of Volatility 4 1119 lovenatalya Mon Dec 21, 15 10:08 AM
by Antonio
New Posts USD cashflow under EUR collateral 2 1404 quanteric Fri Dec 18, 15 11:58 AM
by BerndSchmitz
New Posts Elegant proof and derivation of the following 3 1088 BerndSchmitz Fri Dec 18, 15 09:42 AM
by BerndSchmitz
New Posts Does mixed-frequency Vector Autoregression help to improve forecasting performance? 0 867 EdisonCruise Thu Dec 17, 15 09:54 AM
by EdisonCruise
New Posts Stochastic bridge in combination with stochastic volatility and jumps 8 1614 Church Mon Dec 14, 15 06:03 PM
by eh
New Posts VaR with SABR Model 2 33483 realwindfly Mon Dec 14, 15 11:58 AM
by BerndSchmitz
New Posts RAROC for foreign currency loan portfolio 1 1102 bizanalyst Sat Dec 12, 15 02:17 PM
by luke75
New Posts SABR vs Heston in rates modelling 8 3474 BerndSchmitz Fri Dec 11, 15 09:10 AM
by BerndSchmitz
New Posts Singular Value Decomposition 1 1060 ralfbuesser Thu Dec 10, 15 06:09 PM
by mtsm
New Posts Adjusting CreditGrades for a Financial Firm 0 840 varunc777999 Thu Dec 10, 15 02:28 PM
by varunc777999
New Posts European Call Delta Upper Bound 8 1098 lovenatalya Thu Dec 10, 15 01:31 AM
by Alan
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