Quantitative Finance
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Giogre

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4 C++ code Thomas algorithm for solving a pentadiagonal Ax=b Dec 29 '20
2 Anti-thetic sampling and second moment matching Mar 28
2 Meaning of Rebalancing the Gamma in Options? Dec 27 '20
2 How to price an European put option using binomial model with dividend yield? Dec 28 '20
2 Errata for Mark Joshi's Concepts and practice of mathematical finance Oct 15 '20
1 Reason why a European binary call should be worth half of its American counterpart when driftless and out-of-the-money Apr 10
1 Second variation of a Brownian motion under jump-diffusion process Jul 13
1 Fourier transform of a European put Jul 18
0 Failing to create Quantlib's LM Fixed Volatility Model object Oct 4 '20
0 Black Scholes to Heat Equation - Substitution Dec 27 '20
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