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Olaf

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5 Questions

Votes Activity Newest Views

6

6

votes

1

answer

393

views

How does Algorithmic Differentiation work and where can it be applied?

greeks

Feb 16 '17 at 0:17 Tyler Olsen 511

2

4

votes

1

answer

308

views

How do you deal with Inflation lag in a MC simulation?

monte-carlo inflation

Jun 17 '15 at 18:10 Gordon 19.1k

3

votes

1

answer

368

views

How do you model yield curves for interest rates that have hardly moved?

interest-rates historical-data factor-models

Apr 21 '16 at 2:50 Community♦ 1

2

3

votes

1

answer

921

views

Valuation of option on amortized IR swap

implied-volatility interest-rate-swap swaption black76

Jan 6 '16 at 19:55 dm63 11.2k

1

2

votes

1

answer

191

views

Determining swaption prices using the characteristic function

option-pricing interest-rates swaption

Apr 11 '15 at 20:12 Kiwiakos 4,042

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