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Olórin
  • Member for 9 years, 7 months
  • Last seen more than a month ago
  • Gardens of Lórien, Aman
14 votes
1 answer
643 views

How to, from various hypotheses on the P&L, get known models (BS, Heston etc ...)

12 votes
1 answer
1k views

"Extract" the density of the underlying, given the implied volatility "surface"

6 votes
2 answers
811 views

Architecture of a global pricing library with immutable payoffs

3 votes
0 answers
600 views

Fast implied volatility for american options

3 votes
1 answer
262 views

Generating a P&L that is linear in the variation on an underlying at no cost

3 votes
2 answers
361 views

Regression techniques for bermudan Monte-Carlo

3 votes
1 answer
859 views

Questions about Markit rates curve bootstrapping

3 votes
0 answers
288 views

Variance swap "fast" models

2 votes
1 answer
298 views

Initial forward variance curve calibration

2 votes
0 answers
151 views

How do forward-looking forward rates in the Mercurio's and Lyashenko's normal or extended FMM model represent EURIBOR rates

2 votes
2 answers
348 views

Variance swap : ok for variance, but where's the square expectation?

2 votes
1 answer
1k views

CMS spread vanilla options quotation

2 votes
0 answers
97 views

An arbitrage strategy involving forward contracts to show that LIBOR rates are martingales

2 votes
1 answer
538 views

Convexity in interest rate curve bootstrapping

1 vote
0 answers
7k views

Swaption : Bloomberg Black implied volatility quotes and pricing in the Black model

1 vote
0 answers
234 views

Credit quotations with which ISDA models?

1 vote
1 answer
47 views

Passage from dates ranges to real numbers in modelling : which market practice?

1 vote
3 answers
6k views

A question about dates generation

1 vote
1 answer
3k views

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

1 vote
0 answers
570 views

The "I want to price swaptions" request

1 vote
1 answer
85 views

Port a model dependent swaption sensitivity to a new model

0 votes
0 answers
40 views

Pricing non-vanilla options on EuroStoxx50 dividend futures

0 votes
0 answers
190 views

A rates model for EUR and USD pricing in different underlyings (EURIBOR (yes) or ESTR, and SOFR)

0 votes
0 answers
70 views

Market model for european/american options on underlying paying discrete cash (and maybe proportional) dividends