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athos
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26 votes
6 answers
57k views

how to derive yield curve from interest rate swap?

15 votes
6 answers
7k views

Self-financing and Black-Scholes-Merton formula

14 votes
1 answer
3k views

Girsanov Theorem and Quadratic Variation

12 votes
2 answers
901 views

Filtration and measure change

10 votes
3 answers
728 views

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

10 votes
3 answers
20k views

How to tune Kalman filter's parameter?

9 votes
2 answers
3k views

Looking for a recommendation for a Fund Transfer Pricing modelling book

9 votes
3 answers
5k views

Usage of Brownian Bridge?

8 votes
1 answer
2k views

Does pricing quant still have bright future?

8 votes
0 answers
4k views

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

8 votes
3 answers
360 views

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

7 votes
2 answers
5k views

Is Unexpected Loss ever used in Basel II?

7 votes
2 answers
308 views

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

7 votes
1 answer
870 views

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

6 votes
1 answer
749 views

Soft American Options

6 votes
1 answer
2k views

Numéraire -- couldn't understand the wiki explanation

5 votes
1 answer
3k views

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

5 votes
2 answers
8k views

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

4 votes
2 answers
1k views

Brownian Bridge's first passage time distribution

4 votes
2 answers
503 views

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

4 votes
1 answer
271 views

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

4 votes
2 answers
469 views

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

4 votes
1 answer
797 views

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

3 votes
1 answer
178 views

Assumptions based on non-martingale?

3 votes
0 answers
592 views

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

3 votes
1 answer
136 views

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

3 votes
0 answers
88 views

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

2 votes
0 answers
1k views

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

2 votes
1 answer
129 views

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

2 votes
1 answer
396 views

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