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43 Questions

Views Newest Activity Votes

votes

answers

49k

views

how to derive yield curve from interest rate swap?

Sep 20 at 19:15 Rodrigo de Azevedo 233

votes

answers

views

Self-financing and Black-Scholes-Merton formula

black-scholes stochastic-calculus

Nov 23 at 16:09 emcor 5,165

votes

answer

views

Girsanov Theorem and Quadratic Variation

stochastic-calculus girsanov

Nov 26 '14 at 14:46 emcor 5,165

votes

answers

627

views

Filtration and measure change

stochastic-processes stochastic-calculus

Sep 13 '14 at 3:21 Community♦ 1

votes

answers

615

views

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

option-pricing black-scholes modeling pricing-formulae

Mar 13 '12 at 13:36 Robert 661

votes

answers

views

Looking for a recommendation for a Fund Transfer Pricing modelling book

modeling pricing books

Aug 7 '18 at 13:39 Ali Fathi 321

votes

answers

16k

views

How to tune Kalman filter's parameter?

modeling kalman parameter

Apr 2 '17 at 17:11 Amanda G. 171

votes

answers

views

Usage of Brownian Bridge?

monte-carlo brownian-motion numerical-methods

Apr 29 '14 at 12:32 deprecated 366

votes

answers

304

views

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

modeling

Mar 22 '13 at 8:36 Ric 12.5k

votes

answers

views

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

backtesting modeling var

Mar 20 '13 at 13:43 athos 1,867

votes

answers

277

views

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

differential-equations stochastic-processes

Aug 31 '14 at 2:10 Sergio Almada 331

votes

answer

views

Does pricing quant still have bright future?

career

Jun 25 '14 at 5:33 lehalle 8,112

votes

answer

528

views

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

options

Mar 17 '17 at 8:26 zer0hedge 1,316

votes

answers

views

Is Unexpected Loss ever used in Basel II?

risk-management credit-risk basel

May 30 '13 at 9:09 Quartz 1,513

votes

answer

views

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

pricing macro-economics

Mar 3 '17 at 17:03 Community♦ 1

votes

answer

views

Numéraire — couldn't understand the wiki explanation

risk-neutral-measure numerairechange

Apr 1 '14 at 7:34 Community♦ 1

votes

answer

418

views

Soft American Options

american-options

Apr 12 '17 at 11:50 zer0hedge 1,316

votes

answers

views

Brownian Bridge's first passage time distribution

brownian-motion distribution

Nov 22 '16 at 10:30 Plamen 111

votes

answers

469

views

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

stochastic-calculus market-model lmm

Aug 13 '14 at 3:02 athos 1,867

votes

answers

421

views

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

basel liquidity-risk products

Jun 26 '14 at 8:36 user7056 708

votes

answer

655

views

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

backtesting normal-distribution vasicek

Aug 7 '13 at 13:44 Brian B 12.9k

votes

answer

255

views

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

backtesting

Mar 13 '13 at 6:52 athos 1,867

votes

answers

views

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

interest-rates modeling

Jan 15 '19 at 21:12 lampishthing 21

votes

answer

127

views

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

option-pricing convexity

Sep 10 '15 at 0:07 Mark Joshi 6,133

votes

answers

490

views

“Stable-Floating” model for non-maturing deposit for FTP purpose

modeling pricing ftp

May 29 '14 at 10:41 athos 1,867

votes

answer

165

views

Assumptions based on non-martingale?

martingale emh

Mar 12 '12 at 13:59 Alexey Kalmykov 3,047

votes

answers

985

views

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

swaps delta

Mar 28 '17 at 15:06 athos 1,867

votes

answers

400

views

How to calibrate volatility surface for Interest Rate Cap&Floor pricing

volatility pricing calibration black

Apr 23 '15 at 12:13 Quantopik 2,283

votes

answer

views

Discount Curve built-up

bloomberg discount-factor-curve

Apr 23 '15 at 8:30 Helin 8,908

votes

answer

114

views

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

basel

Apr 15 '14 at 8:04 athos 1,867

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43 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?

Looking for a recommendation for a Fund Transfer Pricing modelling book

How to tune Kalman filter's parameter?

Usage of Brownian Bridge?

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

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

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

Does pricing quant still have bright future?

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

Is Unexpected Loss ever used in Basel II?

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

Numéraire — couldn't understand the wiki explanation

Soft American Options

Brownian Bridge's first passage time distribution

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

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

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

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

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

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

“Stable-Floating” model for non-maturing deposit for FTP purpose

Assumptions based on non-martingale?

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

How to calibrate volatility surface for Interest Rate Cap&Floor pricing

Discount Curve built-up

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