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Quantitative Finance
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KevinT
  • Member for 4 years
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Top posts
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question
10
LIBOR Cessation: Construction of Term-RFRs as LIBOR Fallbacks; Forward vs. Backward Looking
Nov 17, 2020
question
6
Caplet stripping in the bwd-looking RFR world with/without maturity adjustment
Feb 16, 2022
answer
4
How does this formula for the price of a bond in terms of forward rates work?
Dec 8, 2020
question
4
FX Option Price Quotation
Jan 14, 2021
answer
3
The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation
Sep 28, 2020
answer
2
What is the correct implied volatility to use when valuing an FRA option?
Oct 12, 2020
answer
2
Efficient frontier portfolio's analytical solution for a given expected return $r$
Nov 18, 2020
answer
2
Hedging against FX for bond portfolio
Dec 9, 2020
answer
2
If I have 2 uncorrelated currencies, why is the volatility of their product higher than either of the volatilities? (better explanation inside)
Feb 2, 2021
answer
2
SOFR - Notice of Payment
Feb 1, 2022