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Paul
  • Member for 9 years, 7 months
  • Last seen more than 1 year ago
  • Paris, France
49 votes
12 answers
59k views

Why is C++ still a very popular language in quantitative finance? [closed]

31 votes
1 answer
2k views

Law of an integrated CIR Process as sum of Independent Random Variables

  • 4,453
27 votes
6 answers
4k views

Model Validation Criteria

  • 4,453
23 votes
6 answers
29k views

What is the implied volatility skew?

  • 4,453
23 votes
2 answers
15k views

Cross Currency Swap Pricing in nowadays environment

  • 4,453
17 votes
1 answer
3k views

What are the textbooks used to teach Quantitative Trading at universities?

  • 273
16 votes
2 answers
6k views

Fundamental Theorem of Asset Pricing (FTAP)

  • 4,453
16 votes
3 answers
7k views

Gamma vs. Volatility Risk

  • 608
13 votes
1 answer
789 views

Are BSDE's used in practice?

  • 1,780
13 votes
3 answers
25k views

What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?

  • 3,212
10 votes
2 answers
1k views

Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)

  • 3,337
10 votes
1 answer
686 views

Parametrizing the Radon Nikodym

  • 20.5k
8 votes
1 answer
349 views

Non-arbitrage theory and existence of a risk premium

  • 608
8 votes
2 answers
1k views

What is Quantization?

  • 4,453
7 votes
2 answers
1k views

Credit Valuation Adjustments -- computation issues

  • 479
6 votes
1 answer
317 views

Upper bound concerning Snell envelope

  • 608
6 votes
3 answers
719 views

Stochastic volatility model with exponential OU volatility

  • 987
5 votes
0 answers
2k views

A model to stochastic hazard rate and CDS spread term structure

  • 608
5 votes
2 answers
490 views

Foward-start option pricing

  • 608
5 votes
3 answers
7k views

Cross Currency Swap pricing

  • 51
5 votes
2 answers
825 views

arbitrage in Heston model

  • 632
4 votes
1 answer
2k views

Pricing Callable Floating Rate Note

  • 41
4 votes
0 answers
163 views

Simple question concerning Jump process (Lévy process) model for a risky actif price process [closed]

  • 608
3 votes
0 answers
1k views

Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)

  • 608
3 votes
2 answers
875 views

Valuation of barrier options in Jump diffusion model

3 votes
1 answer
513 views

Derivation of Magrabe formula

  • 1,638
3 votes
3 answers
2k views

Cross Currency Swap

  • 31
2 votes
1 answer
645 views

Will pricing a Bermudan option default to a value of a European option?

  • 613
1 vote
3 answers
647 views

(Beginer on bond market) References on callable bond's pricing

  • 608