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15
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May
15
answered
What's the best way to test/validate an interest rate lattice model
May
8
answered
Is the binomial model wrong?
May
8
answered
Implementing a Fast Fourier Transform for Option Pricing
May
3
answered
Utility to download historical Implied Volatility data from Interactive Brokers?
May
3
answered
VaR implementation using quantlib?
May
2
answered
Pricing callable range accruals on spreads
Apr
25
answered
Calculate a discount rate given a PV at some point in the future
Apr
24
answered
How to value non-libor swaps (not basis swaps)?
Apr
10
answered
What are some useful approximations to the Black-Scholes formula?
Mar
22
answered
Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)?
Mar
21
answered
Non-SQL methods for high-frequency accounting?
Mar
20
answered
Time series of PCA - Sign change in factor loadings
Mar
15
answered
Vanna - any practical uses for risk or pnl attribution purposes?
Mar
15
answered
Historical Level 2 Data (Market Depth)
Mar
8
answered
Vanna - any practical uses for risk or pnl attribution purposes?
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