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Olórin's user avatar
Olórin's user avatar
Olórin
  • Member for 9 years, 7 months
  • Last seen more than a month ago
  • Gardens of Lórien, Aman
8 votes

Transition Between Volatility Regimes

5 votes
Accepted

Markit recovery rates : assumed vs real

4 votes
Accepted

Swaption valuation across time using vcub

3 votes

What is the EUR swap curve on Bloomberg? I.e. what is the EUR equivalent of S23 curve on Bloomberg?

3 votes

How to price bitcoins?

2 votes

Find the brownian motion associated to a linear combination of dependant brownian motions

1 vote

Port a model dependent swaption sensitivity to a new model

1 vote

How to compute Overnight Index Swap (OIS) fixed rate?

1 vote
Accepted

From quoted spread and coupon to upfront, and vice versa : which recovery rates and when?

1 vote

Discounted Stock Price

1 vote
Accepted

Why is option value different from discounted CF

0 votes
Accepted

CDO tranche Pricing : Default probability

0 votes
Accepted

Initial forward variance curve calibration

0 votes
Accepted

Pricing fixed rate redeemable bond

0 votes

From Libor Curve rates to "forward" zero-coupons