quant_dev

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45 Posts

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Mar
28
 answered How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
Mar
25
 answered Credit Valuation Adjustments — computation issues
Mar
24
 answered Commodity hedging in non-financial companies - any literature available?
Mar
22
 asked Cost function for hedging portfolio
Mar
22
 answered How to derive appropriate volatility for a binary option (with strike/term) from market data?
Mar
19
 answered How do practitioners use the Malliavin calculus (if at all)?
Mar
19
 answered Any example code implementing the Shelton CDO 'Back To Normal' Paper?
Feb
19
 asked Quanto CDS modeling
Feb
15
 answered What are some computational bottlenecks that quants face?
Feb
12
 asked Pricing callable range accruals on spreads
Feb
12
 asked Stochastic recovery rates
Feb
12
 asked Rate interpolation in Libor Market Model
Feb
12
 asked Correlation skew mapping
Feb
11
 answered Free data on swap options
Feb
11
 answered What does it mean to modify the factor loadings of a credit risk model?
Feb
11
 answered Video lectures and presentations on quantitative finance
Feb
10
 answered on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
Feb
9
 asked What is a Structurer?
Feb
9
 answered What is a martingale?
Feb
8
 answered How do I price OANDA box options?
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