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Lisa Ann's user avatar
Lisa Ann's user avatar
Lisa Ann
  • Member for 11 years, 8 months
  • Last seen this week
18 votes
2 answers
4k views

Parameter estimation of Ornstein–Uhlenbeck and CIR processes

16 votes
2 answers
397 views

Quantitative features of asset price bubbles beginning

14 votes
1 answer
2k views

Does your Parkinson volatility ratio work as Taleb explained?

14 votes
2 answers
978 views

Implied term structure from risky discount curve: does it make sense?

13 votes
2 answers
3k views

Beta vs. Implied Volatility statistical arbitrage using options

13 votes
1 answer
2k views

Risk management tools for long term Gamma/Vega sellers subject to margin calls

11 votes
1 answer
467 views

From VG and NIG processes to GBM

8 votes
4 answers
10k views

Basket option pricing: step by step tutorial for beginners

8 votes
1 answer
605 views

From $AR(p)$ to SDE

7 votes
1 answer
3k views

QuantLib: Black / BSM processes and pricing via volatility surface. Different results?

7 votes
1 answer
3k views

About Option Adjusted Spread, rate curves and bonds comparison

7 votes
1 answer
967 views

Definition of gearings, spreads and curve in RQuantLib's Floating Rate Bond function

7 votes
1 answer
4k views

What is the best solution to use QuantLib within Excel?

6 votes
1 answer
242 views

BlackProcess' constructor $x_{0}$ argument in QuantLib

6 votes
1 answer
922 views

Does Bakshi, Kapadia and Madan (2003) VIX building approach underestimate volatility?

6 votes
0 answers
833 views

Callable bond price sensitivity to Hull-White volatility changes

6 votes
1 answer
2k views

Pricing Fixed-To-Floater bond in QuantLib

5 votes
1 answer
1k views

VXV vs. VIX futures: arbitrage opportunities?

4 votes
1 answer
223 views

Pricing an "equity protection" derivative: a practical example

4 votes
1 answer
651 views

Expected Delta hedging frequency as function of implied (and realized) volatility

4 votes
1 answer
288 views

Fixed Income free research available online

4 votes
1 answer
2k views

How to manage evaluation date changes in QuantLib while using ImpliedTermStructure Class

4 votes
1 answer
921 views

Black model: Delta - strike relationship regardless of expiry?

4 votes
1 answer
2k views

How to price a bond at specified dates in QuantLib

4 votes
0 answers
272 views

Rolling window Kendall's tau against APARCH(1,1) correlation

4 votes
2 answers
1k views

Regime switching in mean reverting stochastic process

4 votes
0 answers
296 views

RQuantLib: any difference between FixedRateBond() and FixedRateBondPriceByYield() with flat term structure?

3 votes
0 answers
1k views

Yield Curve Volatility

3 votes
1 answer
2k views

QuantLib error with qlPiecewiseYieldCurveData() on qlPiecewiseYieldCurve() with ZeroYield and ForwardRate

3 votes
1 answer
876 views

CallableFloatingRateBond in QuantLib: just a matter of multiple inheritance?