User Christian Fries

3 votes

Hull White help needed

answered Oct 19, 2018 at 8:32

1 vote

What's the algorithm behind Excel's ACCRINT?

answered Jan 21, 2013 at 9:42

2 votes

Question about option theta

answered Aug 31, 2013 at 19:08

1 vote

Black model - volatility estimation

answered Aug 15, 2013 at 10:03

3 votes

How to calculate return rates with negative prices?

answered Jul 21, 2013 at 17:27

2 votes

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

answered Jul 13, 2013 at 23:28

3 votes

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

answered Jun 29, 2013 at 18:34

1 vote

Matlab; How to specify Coupon frequency for Interest Rate Swap

answered May 27, 2013 at 8:05

5 votes

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

answered May 16, 2013 at 9:27

2 votes

Accepted

Quadratic variation question

answered May 11, 2013 at 18:36

14 votes

how to derive yield curve from interest rate swap?

answered May 11, 2013 at 15:31

5 votes

Accepted

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

answered May 4, 2013 at 15:18

3 votes

Convexity adjustment for a forward swap rate

answered Apr 26, 2013 at 18:28

4 votes

Accepted

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

answered Apr 22, 2013 at 12:20

10 votes

Cross Currency Swap Pricing in nowadays environment

answered Jan 5, 2013 at 16:37

3 votes

How to hedge the fixed leg of a swap contract?

answered Feb 25, 2013 at 16:57

3 votes

Upper bound concerning Snell envelope

answered Feb 19, 2013 at 12:18

4 votes

Implementing nonlinear optimization to find model free implied volatility using Matlab

answered Feb 14, 2013 at 12:31

9 votes

Accepted

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

answered Feb 8, 2013 at 22:15

11 votes

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

answered Feb 1, 2013 at 11:02

5 votes

Simulation of GBM

answered Jan 28, 2013 at 12:37

4 votes

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

answered Jan 26, 2013 at 9:14

6 votes

How to avoid having negative volatility when applying Heston model?

answered Jan 22, 2013 at 10:55

34 votes

Accepted

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

answered Jan 19, 2013 at 18:02

2 votes

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

answered Jan 16, 2013 at 19:51

2 votes

Longstaff Schwartz method

answered Jan 5, 2013 at 21:40

6 votes

Rationale for OIS discounting for collateralized derivatives?

answered Jan 5, 2013 at 9:52

Stack Exchange Network

27 Answers

Hull White help needed

What's the algorithm behind Excel's ACCRINT?

Question about option theta

Black model - volatility estimation

How to calculate return rates with negative prices?

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

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

Matlab; How to specify Coupon frequency for Interest Rate Swap

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

Quadratic variation question

how to derive yield curve from interest rate swap?

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

Convexity adjustment for a forward swap rate

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

Cross Currency Swap Pricing in nowadays environment

How to hedge the fixed leg of a swap contract?

Upper bound concerning Snell envelope

Implementing nonlinear optimization to find model free implied volatility using Matlab

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

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

Simulation of GBM

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

How to avoid having negative volatility when applying Heston model?

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

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

Longstaff Schwartz method

Rationale for OIS discounting for collateralized derivatives?