quant_dev

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30 Answers

newest activity votes
1
Do taking in account the CSA create convexity effects in your stripping?
6
Why is C++ still a very popular language in quantitative finance?
7
What C++ math libraries are typically used by quants?
1
What benefits are there to employing agile software development methodologies for quants?
3
How stressful is work of quants?
8
Setting the r in put-call parity?
3
When is the LIBOR market model Markovian?
5
How good is managed code for algo trading?
6
Modern problems in financial mathematics
1
Financial Products Markup Language
1
Trading a stock (or other asset) based on Bollinger Bands.
0
Risk neutral probability in binomial lattice option coming greater than 1…what's wrong?
3
How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
1
Credit Valuation Adjustments — computation issues
1
Commodity hedging in non-financial companies - any literature available?
2
How to derive appropriate volatility for a binary option (with strike/term) from market data?
0
How do practitioners use the Malliavin calculus (if at all)?
1
Any example code implementing the Shelton CDO 'Back To Normal' Paper?
2
What are some computational bottlenecks that quants face?
0
Free data on swap options
1
What does it mean to modify the factor loadings of a credit risk model?
3
Video lectures and presentations on quantitative finance
2
on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
14
What is a martingale?
1
How do I price OANDA box options?
4
Black-Equivalent Volatility
0
Expected Growth
12
QuantLib in industry
0
Solving Path Integral Problem in Quantitative Finance using Computer
13
What are the limitations of Gaussian copulas in respect to pricing credit derivatives?