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location Paris, France
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visits member for 3 years, 8 months
seen Oct 9 at 12:21

May
30
answered Monte Carlo simulating Cox-Ingersoll-Ross process
Apr
9
answered Non-arbitrage theory and existence of a risk premium
Mar
25
answered Are BSDE's used in practice?
Mar
6
answered Cross Currency Swap Pricing in nowadays environment
Feb
21
asked Cross Currency Swap Pricing in nowadays environment
Dec
21
answered Simulating conditional expectations
Dec
12
asked Law of an integrated CIR Process as sum of Independent Random Variables
Nov
27
answered How to use Itô's formula to deduce that a stochastic process is a martingale?
Nov
20
answered What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?
Nov
18
asked Convexity of BS Equation for Call and Put
Oct
27
asked Use of Local Times in Option Pricing
Oct
24
answered How to extrapolate implied volatility for out of the money options?
Oct
24
answered What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)?
Oct
20
answered What is the forward rate for a Black-Karasinski interest rate model?
Oct
11
answered Reference on Markov chain Monte Carlo method for option pricing?
Oct
3
answered At what point does someone using technical analysis become a Quant?
Oct
3
answered Skew arbitrage: How can you realize the skewness of the underlying?
Sep
20
answered Which lags or percentiles should be run in a batch when calculating Value-at-Risk?
Sep
13
answered What is the connection between default probabilities calculated using the credit rating and the price of a CDS?
Jun
20
answered What is Ito's lemma used for in quantitative finance?