Paul
  • Member for 8 years, 11 months
  • Last seen more than a month ago
  • Paris, France
12 answers
49 votes
58k views
47 bookmarks
Why is C++ still a very popular language in quantitative finance?
1 answers
31 votes
2k views
13 bookmarks
Law of an integrated CIR Process as sum of Independent Random Variables
6 answers
27 votes
4k views
12 bookmarks
Model Validation Criteria
2 answers
23 votes
14k views
17 bookmarks
Cross Currency Swap Pricing in nowadays environment
6 answers
22 votes
28k views
13 bookmarks
What is the implied volatility skew?
1 answers
17 votes
3k views
44 bookmarks
What are the textbooks used to teach Quantitative Trading at universities?
2 answers
16 votes
6k views
7 bookmarks
Fundamental Theorem of Asset Pricing (FTAP)
3 answers
16 votes
7k views
9 bookmarks
Gamma vs. Volatility Risk
1 answers
13 votes
706 views
3 bookmarks
Are BSDE's used in practice?
3 answers
11 votes
24k views
7 bookmarks
What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
2 answers
10 votes
937 views
8 bookmarks
Practical implementation of Least Squares Monte Carlo (tweaks and pittfalls)
1 answers
10 votes
641 views
7 bookmarks
Parametrizing the Radon Nikodym
1 answers
8 votes
341 views
4 bookmarks
Non-arbitrage theory and existence of a risk premium
2 answers
8 votes
994 views
4 bookmarks
What is Quantization?
2 answers
7 votes
1k views
2 bookmarks
Credit Valuation Adjustments -- computation issues
1 answers
6 votes
309 views
1 bookmarks
Upper bound concerning Snell envelope
3 answers
6 votes
677 views
2 bookmarks
Stochastic volatility model with exponential OU volatility
0 answers
5 votes
2k views
1 bookmarks
A model to stochastic hazard rate and CDS spread term structure
2 answers
5 votes
475 views
2 bookmarks
Foward-start option pricing
3 answers
5 votes
6k views
6 bookmarks
Cross Currency Swap pricing
2 answers
5 votes
752 views
2 bookmarks
arbitrage in Heston model
1 answers
4 votes
2k views
1 bookmarks
Pricing Callable Floating Rate Note
0 answers
4 votes
162 views
1 bookmarks
Simple question concerning Jump process (Lévy process) model for a risky actif price process
0 answers
3 votes
969 views
2 bookmarks
Law of a geometric brownian motion first hitting time (formula dont match Monte Carlo Simulation)
2 answers
3 votes
869 views
3 bookmarks
Valuation of barrier options in Jump diffusion model
1 answers
3 votes
415 views
2 bookmarks
Derivation of Magrabe formula
3 answers
3 votes
2k views
5 bookmarks
Cross Currency Swap
1 answers
2 votes
616 views
1 bookmarks
Will pricing a Bermudan option default to a value of a European option?
3 answers
1 votes
615 views
1 bookmarks
(Beginer on bond market) References on callable bond's pricing