user avatar
user avatar
user avatar
athos
  • Member for 10 years, 5 months
  • Last seen this week
  • Singapore
11 votes

Why Ito calculus?

8 votes
Accepted

Baye's rule for conditional expectations (Proof review)

4 votes

how to derive yield curve from interest rate swap?

3 votes
Accepted

Is Unexpected Loss ever used in Basel II?

3 votes

which product supports Basel III LCR (liquidity coverage ratio) reporting?

2 votes

American Swaption Pricing with Monte-Carlo method

2 votes

Why would there be a positive risk-free rate?

1 vote
Accepted

backtesting a 5% quantile model of a discrete value random variable?

1 vote
Accepted

Self-financing and Black-Scholes-Merton formula

0 votes

Version of Girsanov theorem with changing volatility

0 votes

Is stock price priced in the uncertainty?

0 votes
Accepted

What are the CMG-relevant banks according to Basel III?

0 votes

how to extend lognormal model so that $\sigma$ is correlated to $\mu$?