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byouness
  • Member for 7 years, 1 month
  • Last seen more than a week ago
  • Paris, France
17 votes
Accepted

Problems with local volatility models (vs stochastic volatility models)

10 votes

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

8 votes

Cap/Floor ATM Rate

6 votes
Accepted

Expectation of Stochastic Differential

5 votes
Accepted

QuantLib Python: caplet/swaption pricing under dual curve

4 votes

CVA for options

4 votes
Accepted

Put Call Symmetry

4 votes

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

4 votes

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

4 votes

Credit Valuation adjustment (CVA) Hedges

3 votes

CVA formula for a call option

3 votes
Accepted

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

3 votes
Accepted

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

3 votes
Accepted

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

3 votes

stochastic vol modelling not enough for smile

3 votes
Accepted

Quantlib derivative valuation from zero curve

3 votes

Why Quantlib Option NPV does not change when repricing?

3 votes

Pricing of compounded swaps

3 votes
Accepted

Negative Libor Simulation

3 votes
Accepted

EPE for interest rate swap

2 votes
Accepted

QuantLib-Python: where is the function to take Period to years?

2 votes

Basis Swaps in Quantlib/Python

2 votes
Accepted

Cap price as bond options

2 votes
Accepted

QuantLib: Which CalibrationHelper to use for Normal Volatilities

2 votes
Accepted

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

2 votes
Accepted

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

2 votes
Accepted

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

2 votes

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

2 votes
Accepted

Change of numeraire in options with currency exchange features

2 votes
Accepted

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