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lbf_1994
  • Member for 4 years, 10 months
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2 votes
1 answer
632 views

Definition of „getting picked off“ [closed]

4 votes
1 answer
410 views

Discounted asset price is martingale in BS model

2 votes
1 answer
289 views

Characteristic function of CGMY model

3 votes
0 answers
120 views

Equivalent martingale measure in time changed Levy models

1 vote
0 answers
40 views

Literature recommendation subordinator models

5 votes
2 answers
185 views

Literature recommendation on extreme asset price movements

1 vote
1 answer
2k views

Understanding DiscountCurve in quantlib

1 vote
1 answer
381 views

Dynamics of LIBOR foward rate under T-forward measure

3 votes
1 answer
2k views

Obtaining swaption prices from lognormal volatility quotes

1 vote
1 answer
2k views

Details of calibration of Hull-White model

4 votes
1 answer
4k views

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