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Daneel Olivaw
  • Member for 6 years, 3 months
  • Last seen this week
  • London, UK
13 votes
2 answers
311 views

Why do we need to split market and default information into 2 separate filtrations?

7 votes
2 answers
3k views

Put-call parity for cash settled swaptions

7 votes
0 answers
168 views

Has a closed-form formula for the collateral choice option been found?

5 votes
1 answer
281 views

Change of measure's impact on parameter value

4 votes
1 answer
616 views

Risk-neutral expectation equation with collateral and funding costs

4 votes
1 answer
887 views

Why must the risk free rate be free from risk in risk neutral valuation?

3 votes
1 answer
2k views

How are Brownian Bridges used in derivatives pricing in practice?

3 votes
1 answer
65 views

Price of a prepayment-based claim

3 votes
2 answers
10k views

Funded equity collars and margin loans

3 votes
0 answers
53 views

Close-out in practice: default settlements and counterparty models

3 votes
1 answer
103 views

Modelling the instantaneous funding spread as a log-normal process

2 votes
1 answer
92 views

Data sources on derivative book composition for large investment banks

2 votes
1 answer
483 views

Isn't Black's approximation for American options inconsistent?

2 votes
1 answer
128 views

Operational aspects of repo funding trades

2 votes
2 answers
227 views

Nature of short VIX strategies

2 votes
0 answers
182 views

Risk-neutral measure(s) under collateralization and funding costs

1 vote
0 answers
195 views

Modelling roll-over and roll yield in a forward strategy

1 vote
0 answers
220 views

Markovianity of the short rate process in the HJM framework

1 vote
1 answer
74 views

Cash account growth in Burgard & Kjaer (2011)

1 vote
1 answer
179 views

Inequality involving Co-Terminal/Co-Initial American vs Bermudan Swaptions

1 vote
0 answers
31 views

Cash balance sign in hedging portfolio

0 votes
0 answers
26 views

Derivative balance sheet data for Eurozone banks

0 votes
1 answer
512 views

Question on volatility equation for CMS pricing

0 votes
1 answer
185 views

Extending an incomplete market to generate a complete one