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mepuzza's user avatar
mepuzza's user avatar
mepuzza
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  • Member for 12 years, 3 months
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11 votes

Time series of PCA - Sign change in factor loadings

9 votes
Accepted

Implementing a Fast Fourier Transform for Option Pricing

6 votes
Accepted

What's the best way to test/validate an interest rate lattice model

4 votes

Non-SQL methods for high-frequency accounting?

4 votes

How to value non-libor swaps (not basis swaps)?

3 votes
Accepted

Pricing callable range accruals on spreads

3 votes

Historical Level 2 Data (Market Depth)

3 votes

What are some useful approximations to the Black-Scholes formula?

2 votes

Vanna - any practical uses for risk or pnl attribution purposes?

2 votes

VaR implementation using quantlib?

1 vote
Accepted

Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)?

1 vote

Is the binomial model wrong?

0 votes

Vanna - any practical uses for risk or pnl attribution purposes?

0 votes

Utility to download historical Implied Volatility data from Interactive Brokers?