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39 Answers

newest activity votes
2
Monte Carlo simulating Cox-Ingersoll-Ross process
may 30 at 14:37
1
Non-arbitrage theory and existence of a risk premium
apr 9 at 8:03
4
Are BSDE's used in practice?
mar 25 at 16:40
11
What concepts are the most dangerous ones in quantitative finance work?
feb 3 '11 at 23:05
11
Monte carlo methods for vanilla european options and Ito's lemma.
jun 16 '11 at 19:09
3
Cross Currency Swap Pricing in nowadays environment
mar 6 '12 at 11:02
3
Value-at-Risk of the sum of two dependent lognormal random variables
mar 17 '11 at 20:24
0
What is a Quant
feb 9 '11 at 12:27
3
Simulating conditional expectations
dec 21 '11 at 8:11
1
What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?
nov 20 '11 at 22:32
5
How to use Itô's formula to deduce that a stochastic process is a martingale?
nov 27 '11 at 13:39
5
How to extrapolate implied volatility for out of the money options?
oct 24 '11 at 21:22
4
What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)?
oct 24 '11 at 14:37
3
What is the forward rate for a Black-Karasinski interest rate model?
oct 20 '11 at 11:59
3
Reference on Markov chain Monte Carlo method for option pricing?
oct 11 '11 at 12:58
7
Skew arbitrage: How can you realize the skewness of the underlying?
oct 3 '11 at 10:00
4
At what point does someone using technical analysis become a Quant?
oct 3 '11 at 19:18
3
Which lags or percentiles should be run in a batch when calculating Value-at-Risk?
sep 20 '11 at 18:04
2
What is the connection between default probabilities calculated using the credit rating and the price of a CDS?
sep 13 '11 at 21:10
7
How useful is Markov chain Monte Carlo for quantitative finance?
feb 1 '11 at 13:36
8
What is Ito's lemma used for in quantitative finance?
jun 20 '11 at 22:13
2
Vanilla European options: Monte carlo vs BS formula
jun 19 '11 at 0:03
1
The Fair Value of Paying in Currency X for Goods Bought in Currency Y
apr 6 '11 at 6:40
0
Black-Scholes No Dividends assumption
apr 5 '11 at 7:06
0
How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?
mar 30 '11 at 8:24
3
How do practitioners use the Malliavin calculus (if at all)?
mar 12 '11 at 19:07
4
Rate interpolation in Libor Market Model
feb 12 '11 at 17:46
3
What is a cubature scheme?
feb 9 '11 at 22:00
2
What is a Structurer?
feb 9 '11 at 20:59
12
Paradoxes in quantitative finance
feb 7 '11 at 15:07
1 2