User byouness

17 votes

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Problems with local volatility models (vs stochastic volatility models)

answered May 7, 2018 at 13:02

10 votes

Why is there a convexity adjustment if the payment date differs from Libor end date?

answered Dec 15, 2018 at 22:28

8 votes

Cap/Floor ATM Rate

answered Dec 4, 2018 at 14:08

6 votes

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Expectation of Stochastic Differential

answered Jul 10, 2019 at 16:26

5 votes

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QuantLib Python: caplet/swaption pricing under dual curve

answered Dec 8, 2019 at 18:36

4 votes

CVA for options

answered May 21, 2021 at 10:18

4 votes

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Put Call Symmetry

answered May 31, 2018 at 18:02

4 votes

What is the point of the regression in Longstaff Schwartz method?

answered Jun 17, 2018 at 7:35

4 votes

What is the numeraire for the real world measure $\mathbb{P}$?

answered May 16, 2018 at 9:58

4 votes

Credit Valuation adjustment (CVA) Hedges

answered Jan 24, 2017 at 14:11

3 votes

CVA formula for a call option

answered Jan 24, 2017 at 13:40

3 votes

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QuantLib-Python: Getting a list of all holidays between D1 & D2 with function "holidayList"

answered May 13, 2018 at 19:35

3 votes

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Question about the Cameron-Martin-Girsanov (CMG) theorem

answered May 19, 2018 at 17:29

3 votes

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Fair value of a binary cash-or-nothing option with a barrier

answered Jan 8, 2019 at 23:36

3 votes

stochastic vol modelling not enough for smile

answered Jun 14, 2018 at 12:40

3 votes

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Quantlib derivative valuation from zero curve

answered Jul 26, 2018 at 10:37

3 votes

Why Quantlib Option NPV does not change when repricing?

answered Jan 23, 2019 at 9:20

3 votes

Pricing of compounded swaps

answered Nov 20, 2019 at 10:29

3 votes

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Negative Libor Simulation

answered Jul 23, 2019 at 14:20

3 votes

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EPE for interest rate swap

answered May 12, 2021 at 19:19

2 votes

Basis Swaps in Quantlib/Python

answered Sep 17, 2019 at 14:12

2 votes

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Cap price as bond options

answered Oct 11, 2019 at 12:49

2 votes

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QuantLib: Which CalibrationHelper to use for Normal Volatilities

answered Nov 20, 2019 at 13:15

2 votes

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How to change the Libor rate to Forward Libor rate in Swap?

answered Nov 18, 2019 at 21:13

2 votes

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Determining bond price based on diffusion process for the short rate model

answered Jun 1, 2021 at 20:22

2 votes

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How to price the FX forward contract under stochastic interest rates?

answered Jun 4, 2021 at 15:20

2 votes

Why is the yield return preferred to the price return for selecting hedges for bonds?

answered Jan 31, 2019 at 19:06

2 votes

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Change of numeraire in options with currency exchange features

answered Jun 19, 2018 at 9:42

2 votes

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QuantLib-Python: What is "index = Euribor1Y(term_structure)" doing?

answered Jun 2, 2018 at 21:29

2 votes

Value at Risk for a plain vanilla interest rate swap

answered May 7, 2018 at 14:04

Stack Exchange Network

63 Answers

Problems with local volatility models (vs stochastic volatility models)

Why is there a convexity adjustment if the payment date differs from Libor end date?

Cap/Floor ATM Rate

Expectation of Stochastic Differential

QuantLib Python: caplet/swaption pricing under dual curve

CVA for options

Put Call Symmetry

What is the point of the regression in Longstaff Schwartz method?

What is the numeraire for the real world measure $\mathbb{P}$?

Credit Valuation adjustment (CVA) Hedges

CVA formula for a call option

QuantLib-Python: Getting a list of all holidays between D1 & D2 with function "holidayList"

Question about the Cameron-Martin-Girsanov (CMG) theorem

Fair value of a binary cash-or-nothing option with a barrier

stochastic vol modelling not enough for smile

Quantlib derivative valuation from zero curve

Why Quantlib Option NPV does not change when repricing?

Pricing of compounded swaps

Negative Libor Simulation

EPE for interest rate swap

Basis Swaps in Quantlib/Python

Cap price as bond options

QuantLib: Which CalibrationHelper to use for Normal Volatilities

How to change the Libor rate to Forward Libor rate in Swap?

Determining bond price based on diffusion process for the short rate model

How to price the FX forward contract under stochastic interest rates?

Why is the yield return preferred to the price return for selecting hedges for bonds?

Change of numeraire in options with currency exchange features

QuantLib-Python: What is "index = Euribor1Y(term_structure)" doing?

Value at Risk for a plain vanilla interest rate swap