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14 Questions

Votes Activity Newest Views

votes

answers

19k

views

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

volatility

Nov 10 '14 at 22:09 sigma 81

votes

answer

501

views

Time series analysis on illiquid price data?

time-series historical

May 27 '15 at 17:56 Community♦ 1

votes

answers

views

How to avoid having negative volatility when applying Heston model?

volatility negative heston

Oct 23 '14 at 4:07 SRKX 10.6k

votes

answers

930

views

Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?

heston parameter

Jun 19 '13 at 14:32 vonjd 25.4k

votes

answers

views

Other means of calibrating Heston models

monte-carlo calibration heston

Jan 25 '13 at 14:13 chrisaycock 9,284

votes

answer

725

views

Using quantlib to price swaps with different payment and calculation resets for floating leg

swaps quantlib

Aug 23 '16 at 7:42 Luigi Ballabio 4,848

votes

answer

views

Interpolation on CDS rates

spread cds interpolation

Oct 3 '14 at 19:58 Yulia V 326

votes

answers

550

views

Funding spread in FVA calculation

spread interpolation

Feb 1 '14 at 2:57 AZhu 781

votes

answer

751

views

Heston MC Simulations - Speed up in Matlab

monte-carlo heston

Jun 24 '13 at 13:15 Community♦ 1

votes

answers

153

views

Problems with exact Heston simulations

simulations heston

Mar 21 '13 at 12:44 AZhu 781

votes

answer

941

views

Pricing swaptions

pricing

Jan 14 '13 at 7:02 Matthias Wolf 13.7k

vote

answer

145

views

Quantlib C++: How to output QL_TRACE to a log file

quantlib

Nov 15 '16 at 11:49 Luigi Ballabio 4,848

votes

answers

376

views

Quantlib xll - Converting deposit/swap curve to zero curve

quantlib

May 3 '16 at 3:17 Community♦ 1

votes

answer

views

Matlab - Differences between rng and rand

matlab

Mar 21 '13 at 12:50 Ander Biguri 146

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14 Questions

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

Time series analysis on illiquid price data?

How to avoid having negative volatility when applying Heston model?

Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?

Other means of calibrating Heston models

Using quantlib to price swaps with different payment and calculation resets for floating leg

Interpolation on CDS rates

Funding spread in FVA calculation

Heston MC Simulations - Speed up in Matlab

Problems with exact Heston simulations

Pricing swaptions

Quantlib C++: How to output QL_TRACE to a log file

Quantlib xll - Converting deposit/swap curve to zero curve

Matlab - Differences between rng and rand