User athos

26 votes

6 answers

56k views

how to derive yield curve from interest rate swap?

asked Mar 1, 2013 at 1:52

15 votes

6 answers

7k views

Self-financing and Black-Scholes-Merton formula

black-scholes stochastic-calculus

asked Jun 25, 2014 at 8:47

14 votes

1 answer

3k views

Girsanov Theorem and Quadratic Variation

stochastic-calculus girsanov

asked Sep 18, 2014 at 4:38

12 votes

2 answers

871 views

Filtration and measure change

stochastic-processes stochastic-calculus

asked Sep 10, 2014 at 2:12

10 votes

3 answers

721 views

Is it possible to demonstrate that one pricing model is better than another?

option-pricing black-scholes modeling pricing-formulae

asked Mar 11, 2012 at 13:41

10 votes

3 answers

19k views

How to tune Kalman filter's parameter?

modeling kalman parameter

asked Jul 17, 2013 at 10:38

9 votes

2 answers

3k views

Looking for a recommendation for a Fund Transfer Pricing modelling book

modeling pricing books

asked Feb 26, 2013 at 13:07

9 votes

3 answers

5k views

Usage of Brownian Bridge?

monte-carlo brownian-motion numerical-methods

asked Apr 16, 2014 at 9:31

8 votes

1 answer

2k views

Does pricing quant still have bright future?

career

asked Jun 25, 2014 at 1:47

8 votes

0 answers

4k views

VaR model Unconditional Coverage Tests: Is this extension of Kupiec POF test correct?

backtesting modeling value-at-risk

asked Mar 8, 2013 at 10:14

8 votes

3 answers

358 views

How to justify a model that could not predict external factors?

modeling

asked Mar 21, 2013 at 7:15

7 votes

2 answers

5k views

Is Unexpected Loss ever used in Basel II?

risk-management credit-risk basel

asked May 18, 2013 at 14:29

7 votes

2 answers

308 views

How to get an analytic result for option price based on this model?

differential-equations stochastic-processes

asked Jun 3, 2012 at 15:57

7 votes

1 answer

835 views

"a straddle will be equal to two calls delta neutral or two puts delta neutral"?

options

asked Mar 16, 2017 at 15:05

6 votes

1 answer

713 views

Soft American Options

american-options

asked Mar 20, 2017 at 13:03

6 votes

1 answer

2k views

Numéraire -- couldn't understand the wiki explanation

risk-neutral-measure numerairechange

asked Apr 1, 2014 at 2:20

5 votes

1 answer

3k views

what's the difference between Peak-Load pricing and price discrimination?

pricing macro-economics

asked Nov 13, 2013 at 7:21

5 votes

2 answers

7k views

How popular is the Linear Gauss Markov (LGM) model?

interest-rates modeling

asked Jul 10, 2014 at 8:18

4 votes

2 answers

1k views

Brownian Bridge's first passage time distribution

brownian-motion distribution

asked Jul 27, 2014 at 18:00

4 votes

2 answers

499 views

question on Leif Andersen's "Interest Rate Modeling, vol 2 Term Structure Models"

stochastic-calculus market-model lmm

asked Aug 7, 2014 at 5:32

4 votes

1 answer

271 views

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

backtesting

asked Mar 11, 2013 at 13:45

4 votes

2 answers

468 views

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

basel liquidity-risk products

asked May 31, 2013 at 1:51

4 votes

1 answer

778 views

How to design back-testing (validation) for such modified Vasicek model?

backtesting normal-distribution vasicek

asked Aug 6, 2013 at 11:05

3 votes

1 answer

176 views

Assumptions based on non-martingale?

martingale emh

asked Mar 11, 2012 at 13:03

3 votes

0 answers

586 views

"Stable-Floating" model for non-maturing deposit for FTP purpose

modeling pricing ftp

asked May 19, 2014 at 10:56

3 votes

1 answer

134 views

How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?

option-pricing convexity

asked Sep 9, 2015 at 15:30

3 votes

0 answers

87 views

Why conversion shows $\frac{\partial C}{\partial T} > 0$?

option-pricing

asked Dec 27, 2021 at 11:55

2 votes

0 answers

1k views

how to calculate forward delta (not spot delta) of a swap?

swaps delta

asked Mar 28, 2017 at 15:06

2 votes

1 answer

129 views

if market is always assumed right, what happened when LIBOR was manupulated?

interest-rates modeling rate-distortion

asked Jun 21, 2013 at 6:27

2 votes

1 answer

396 views

What does it mean by "labor taxes cut is self-financed"?

economics

asked Dec 2, 2013 at 4:11

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46 Questions

how to derive yield curve from interest rate swap?

Self-financing and Black-Scholes-Merton formula

Girsanov Theorem and Quadratic Variation

Filtration and measure change

Is it possible to demonstrate that one pricing model is better than another?

How to tune Kalman filter's parameter?

Looking for a recommendation for a Fund Transfer Pricing modelling book

Usage of Brownian Bridge?

Does pricing quant still have bright future?

VaR model Unconditional Coverage Tests: Is this extension of Kupiec POF test correct?

How to justify a model that could not predict external factors?

Is Unexpected Loss ever used in Basel II?

How to get an analytic result for option price based on this model?

"a straddle will be equal to two calls delta neutral or two puts delta neutral"?

Soft American Options

Numéraire -- couldn't understand the wiki explanation

what's the difference between Peak-Load pricing and price discrimination?

How popular is the Linear Gauss Markov (LGM) model?

Brownian Bridge's first passage time distribution

question on Leif Andersen's "Interest Rate Modeling, vol 2 Term Structure Models"

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

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

How to design back-testing (validation) for such modified Vasicek model?

Assumptions based on non-martingale?

"Stable-Floating" model for non-maturing deposit for FTP purpose

How to calculate $E^{T_N}(L(T_i, T_{i+1}))$?

Why conversion shows $\frac{\partial C}{\partial T} > 0$?

how to calculate forward delta (not spot delta) of a swap?

if market is always assumed right, what happened when LIBOR was manupulated?

What does it mean by "labor taxes cut is self-financed"?