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lbf_1994
  • Member for 6 years, 1 month
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5 votes
2 answers
189 views

Literature recommendation on extreme asset price movements

4 votes
1 answer
5k views

How to get set the theta function in the Hull-White model to replicate the current yield curve

4 votes
1 answer
517 views

Discounted asset price is martingale in BS model

3 votes
1 answer
2k views

Obtaining swaption prices from lognormal volatility quotes

3 votes
0 answers
131 views

Equivalent martingale measure in time changed Levy models

2 votes
1 answer
336 views

Characteristic function of CGMY model

2 votes
1 answer
1k views

Definition of „getting picked off“ [closed]

1 vote
0 answers
42 views

Literature recommendation subordinator models

1 vote
1 answer
473 views

Dynamics of LIBOR foward rate under T-forward measure

1 vote
1 answer
2k views

Understanding DiscountCurve in quantlib

1 vote
1 answer
2k views

Details of calibration of Hull-White model