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Olórin
  • Member for 9 years, 4 months
  • Last seen more than a week ago
  • Gardens of Lórien, Aman
0 votes
0 answers
33 views

Pricing non-vanilla options on EuroStoxx50 dividend futures

2 votes
0 answers
133 views

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

0 votes
0 answers
151 views

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

2 votes
1 answer
219 views

Initial forward variance curve calibration

0 votes
0 answers
67 views

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

2 votes
1 answer
473 views

Convexity in interest rate curve bootstrapping

3 votes
0 answers
555 views

Fast implied volatility for american options

1 vote
0 answers
7k views

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

6 votes
2 answers
756 views

Architecture of a global pricing library with immutable payoffs

1 vote
1 answer
82 views

Port a model dependent swaption sensitivity to a new model

3 votes
2 answers
351 views

Regression techniques for bermudan Monte-Carlo

2 votes
1 answer
1k views

CMS spread vanilla options quotation

1 vote
0 answers
555 views

The "I want to price swaptions" request

1 vote
1 answer
3k views

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

1 vote
3 answers
6k views

A question about dates generation

3 votes
1 answer
847 views

Questions about Markit rates curve bootstrapping

2 votes
0 answers
97 views

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

3 votes
1 answer
248 views

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

1 vote
0 answers
230 views

Credit quotations with which ISDA models?

2 votes
2 answers
339 views

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

3 votes
0 answers
285 views

Variance swap "fast" models

14 votes
1 answer
627 views

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

1 vote
1 answer
47 views

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

12 votes
1 answer
990 views

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