Quantitative Finance
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mmencke's user avatar
mmencke's user avatar
mmencke
  • Member for 2 years, 5 months
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9
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All Questions Answers
Score Newest
answer
7
Martingale measure and replicating portfolio in Risk Neutral Pricing of Defaultable Zero-Coupon Bonds
Apr 7, 2021
answer
7
Problem with pricing a call option using the Monte Carlo Vasicek model
Sep 13
answer
6
Why do we need to split market and default information into 2 separate filtrations?
May 26, 2021
answer
5
Cash settled contracts price convergence at expiry
Aug 30, 2021
answer
4
Why does the definition of the riskless asset vary in discrete vs continuous time?
Jun 30, 2021
answer
3
Girsanov transform when drift coefficient is a function of the stock price
Apr 28, 2021
answer
2
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, 2021
answer
2
Limit of digital call and put price when volatility goes to infinity
Dec 14, 2021
answer
2
Quantlib ZeroCurve interpolation
Jan 10
answer
2
Calculating Expectation of Stochastic Volatility
Feb 22

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