User AZhu - Quantitative Finance Stack Exchange

AZhu

Member for 11 years, 3 months
Last seen more than 1 year ago

14 Questions

Score Activity Newest Views

29 votes

5 answers

26k views

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

asked Jan 13, 2013 at 22:22

12 votes

1 answer

576 views

Time series analysis on illiquid price data?

asked Sep 15, 2013 at 13:34

7 votes

4 answers

3k views

How to avoid having negative volatility when applying Heston model?

asked Jan 21, 2013 at 16:21

4 votes

2 answers

1k 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?

asked Jun 18, 2013 at 2:28

3 votes

1 answer

1k views

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

asked Aug 21, 2016 at 2:30

3 votes

4 answers

2k views

Other means of calibrating Heston models

asked Jan 21, 2013 at 16:29

3 votes

1 answer

236 views

Problems with exact Heston simulations

asked Mar 21, 2013 at 12:44

2 votes

1 answer

1k views

Pricing swaptions

asked Jan 13, 2013 at 22:29

2 votes

0 answers

662 views

Funding spread in FVA calculation

asked Feb 1, 2014 at 2:57

1 vote

1 answer

224 views

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

asked Nov 7, 2016 at 14:11

1 vote

1 answer

783 views

Heston MC Simulations - Speed up in Matlab

asked Jun 18, 2013 at 1:52

1 vote

1 answer

2k views

Interpolation on CDS rates

asked Feb 1, 2014 at 2:53

0 votes

1 answer

2k views

Matlab - Differences between rng and rand

asked Mar 21, 2013 at 12:37

0 votes

0 answers

497 views

Quantlib xll - Converting deposit/swap curve to zero curve

asked May 3, 2016 at 3:17