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Amiro

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stochastic-calculus

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6 votes cast

Answers (6)

Votes Activity Newest

8	Stochastic Differential
1	SABR Implied Volatility and Option Prices
1	Negative Eonia rates
0	If floating leg in an arrears swap is paid on the date then valuing them is like predicting future
0	Model Price vs Market Price in terms of Fair Price (Options)

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Questions (4)

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8	How do we know if the volatility which is quoted in market is Normal (Bachelier model) or log normal (Black 76)?
3	General way to solve Partial differential equation using Feynman kac representation
1	negative discount and zero rate on swap bootstraping
0	American put on a foreign currency

Tags (23)

8 stochastic-calculus	1 implied-volatility
8 stochastic-processes	1 sabr
8 wienerprocess	1 interest-rates
8 probability	0 swaps × 2
1 models	0 put × 2

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Bookmarks (5)

Votes Activity Newest Views Added

16	Applicability of PCA to get historical volatilities to calibrate interest rates trees
8	How do we know if the volatility which is quoted in market is Normal (Bachelier model) or log normal (Black 76)?
5	The effect of negative interest rates on derivative pricing
5	Stochastic Differential
3	General way to solve Partial differential equation using Feynman kac representation

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