Quantitative Finance
mmencke
  • Member for 1 year, 6 months
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7
Martingale measure and replicating portfolio in Risk Neutral Pricing of Defaultable Zero-Coupon Bonds
Apr 7
5
Why do we need to split market and default information into 2 separate filtrations?
May 26
5
Cash settled contracts price convergence at expiry
Aug 30
4
Why does the definition of the riskless asset vary in discrete vs continuous time?
Jun 30
3
Girsanov transform when drift coefficient is a function of the stock price
Apr 28
2
Delta hedge error black-scholes by Mark Davis
Apr 4
1
Is it possible to price a plain vanilla interest rate swap in Python and simulate the price using Hull White 1 Factor Model simultaneously?
Sep 4
1
Correlated Wiener Process
May 2
1
Sampling change in the driving brownian motion of a CIR process
Jul 2
1
Hull White 1 Factor Formulas with Time Dependent Variables
Jun 30

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