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lbf_1994
  • Member for 5 years, 11 months
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2 votes
1 answer
986 views

Definition of „getting picked off“ [closed]

4 votes
1 answer
501 views

Discounted asset price is martingale in BS model

2 votes
1 answer
330 views

Characteristic function of CGMY model

3 votes
0 answers
131 views

Equivalent martingale measure in time changed Levy models

1 vote
0 answers
41 views

Literature recommendation subordinator models

5 votes
2 answers
188 views

Literature recommendation on extreme asset price movements

1 vote
1 answer
2k views

Understanding DiscountCurve in quantlib

1 vote
1 answer
467 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
5k views

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