mmencke's user avatar
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mmencke's user avatar
mmencke
  • Member for 3 years, 8 months
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7 votes

Martingale measure and replicating portfolio in Risk Neutral Pricing of Defaultable Zero-Coupon Bonds

7 votes
Accepted

Problem with pricing a call option using the Monte Carlo Vasicek model

6 votes
Accepted

Why do we need to split market and default information into 2 separate filtrations?

5 votes
Accepted

Cash settled contracts price convergence at expiry

4 votes
Accepted

Why does the definition of the riskless asset vary in discrete vs continuous time?

3 votes
Accepted

Girsanov transform when drift coefficient is a function of the stock price

2 votes

Is it possible to price a plain vanilla interest rate swap in Python and simulate the price using Hull White 1 Factor Model simultaneously?

2 votes
Accepted

Limit of digital call and put price when volatility goes to infinity

2 votes

Quantlib ZeroCurve interpolation

2 votes

Calculating Expectation of Stochastic Volatility

2 votes
Accepted

Delta hedge error black-scholes by Mark Davis

1 vote

Quantlib Piecewise CubicZero Bond Curve Bootstrap

1 vote

Valuation discount rate using risk free interest rate versus inflation rate

1 vote

Find the value of put option using a two-period binomial model

1 vote
Accepted

Risk-neutral pricing to determine no-arbitrage price

1 vote
Accepted

Correlated Wiener Process

1 vote

Pricing binary options

1 vote

Sampling change in the driving brownian motion of a CIR process

1 vote

Hull White 1 Factor Formulas with Time Dependent Variables