Quantitative Finance
AZhu
  • Member for 9 years
  • Last seen more than 3 years ago
Profile Activity

14 Questions

Votes Activity Newest Views
5 answers
28 votes
21k views
34 bookmarks
What are the advantages/disadvantages of these approaches to deal with volatility surface?
1 answers
12 votes
535 views
Time series analysis on illiquid price data?
4 answers
7 votes
3k views
1 bookmarks
How to avoid having negative volatility when applying Heston model?
2 answers
4 votes
996 views
2 bookmarks
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?
1 answers
3 votes
886 views
Using quantlib to price swaps with different payment and calculation resets for floating leg
4 answers
3 votes
2k views
3 bookmarks
Other means of calibrating Heston models
0 answers
2 votes
595 views
Funding spread in FVA calculation
0 answers
2 votes
154 views
Problems with exact Heston simulations
1 answers
2 votes
1k views
1 bookmarks
Pricing swaptions
1 answers
1 votes
166 views
Quantlib C++: How to output QL_TRACE to a log file
1 answers
1 votes
1k views
Interpolation on CDS rates
1 answers
1 votes
763 views
Heston MC Simulations - Speed up in Matlab
0 answers
0 votes
404 views
Quantlib xll - Converting deposit/swap curve to zero curve
1 answers
0 votes
2k views
Matlab - Differences between rng and rand

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