User Olórin

14 votes

1 answer

624 views

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

asked Dec 18, 2016 at 17:11

12 votes

1 answer

978 views

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

asked Apr 2, 2015 at 7:05

6 votes

2 answers

715 views

Architecture of a global pricing library with immutable payoffs

asked Mar 6, 2019 at 8:54

3 votes

2 answers

346 views

Regression techniques for bermudan Monte-Carlo

asked Nov 15, 2018 at 15:47

3 votes

1 answer

837 views

Questions about Markit rates curve bootstrapping

asked Apr 11, 2017 at 16:09

3 votes

1 answer

231 views

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

asked Mar 27, 2017 at 19:42

3 votes

0 answers

283 views

Variance swap "fast" models

asked Mar 9, 2017 at 14:55

3 votes

0 answers

494 views

Fast implied volatility for american options

asked Jun 11, 2019 at 15:13

2 votes

1 answer

443 views

Convexity in interest rate curve bootstrapping

asked Jun 12, 2019 at 17:11

2 votes

1 answer

191 views

Initial forward variance curve calibration

asked Dec 4, 2022 at 20:13

2 votes

0 answers

105 views

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

asked Sep 8 at 14:53

2 votes

1 answer

1k views

CMS spread vanilla options quotation

asked May 12, 2018 at 14:06

2 votes

2 answers

331 views

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

asked Mar 26, 2017 at 19:59

2 votes

0 answers

96 views

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

asked Apr 4, 2017 at 15:39

1 vote

1 answer

47 views

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

asked Nov 5, 2016 at 17:01

1 vote

0 answers

222 views

Credit quotations with which ISDA models?

asked Mar 26, 2017 at 20:09

1 vote

3 answers

5k views

A question about dates generation

asked Apr 19, 2017 at 14:13

1 vote

1 answer

3k views

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

asked Dec 1, 2017 at 16:50

1 vote

0 answers

543 views

The "I want to price swaptions" request

asked May 4, 2018 at 14:01

1 vote

1 answer

76 views

Port a model dependent swaption sensitivity to a new model

asked Mar 1, 2019 at 7:25

1 vote

0 answers

6k views

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

asked Jun 3, 2019 at 9:45

0 votes

0 answers

33 views

Pricing non-vanilla options on EuroStoxx50 dividend futures

asked Sep 15 at 15:36

0 votes

0 answers

130 views

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

asked Sep 8 at 9:16

0 votes

0 answers

62 views

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

asked Dec 13, 2019 at 21:20

Stack Exchange Network

24 Questions

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

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

Architecture of a global pricing library with immutable payoffs

Regression techniques for bermudan Monte-Carlo

Questions about Markit rates curve bootstrapping

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

Variance swap "fast" models

Fast implied volatility for american options

Convexity in interest rate curve bootstrapping

Initial forward variance curve calibration

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

CMS spread vanilla options quotation

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

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

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

Credit quotations with which ISDA models?

A question about dates generation

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

The "I want to price swaptions" request

Port a model dependent swaption sensitivity to a new model

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

Pricing non-vanilla options on EuroStoxx50 dividend futures

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

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