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Christian Fries
  • Member for 9 years, 4 months
  • Last seen more than 1 year ago
34 votes
Accepted

What are the advantages/disadvantages of these approaches to deal with volatility surface?

11 votes

how to derive yield curve from interest rate swap?

10 votes

How to calculate stock move probability based on option implied volatility and time to expiration? (Monte Carlo simulation)

10 votes

Cross Currency Swap Pricing in nowadays environment

9 votes
Accepted

Why doesn't a simulated delta hedging process go to zero?

6 votes

How to avoid having negative volatility when applying Heston model?

6 votes

Rationale for OIS discounting for collateralized derivatives?

5 votes

Simulation of GBM

5 votes

How to use Itô's formula to deduce that a stochastic process is a martingale?

5 votes
Accepted

Is vega of Black-Scholes European type option always positive?

4 votes

How to quickly sketch a second order greek profile for a vanilla position?

4 votes

Implementing nonlinear optimization to find model free implied volatility using Matlab

4 votes
Accepted

Longstaff-Schwartz (Least Squares Monte Carlo) applied to American Options

3 votes

Convexity adjustment for a forward swap rate

3 votes

Upper bound concerning Snell envelope

3 votes

How to hedge the fixed leg of a swap contract?

3 votes

How to calculate return rates with negative prices?

3 votes

Stock prices using a monte carlo simulation with a normal inverse gauss distribution

3 votes

Hull White help needed

2 votes

The reason behind the selection of a 1 standard deviation movement for self financing delta hedge

2 votes

Question about option theta

2 votes
Accepted

Quadratic variation question

2 votes

Longstaff Schwartz method

2 votes

Choice of epsilon for numerical calculation of vega in binomial option pricing model

1 vote

What's the algorithm behind Excel's ACCRINT?

1 vote

Black model - volatility estimation

1 vote

Matlab; How to specify Coupon frequency for Interest Rate Swap