User ABCD - Quantitative Finance Stack Exchange

ABCD

Member for 12 years, 2 months
Last seen more than a month ago

Meta user

12 Questions

Score Activity Newest Views

14 votes

2 answers

10k views

Why linear interpolation not appropriate for volatility surface construction?

asked Sep 15, 2015 at 15:12

7 votes

3 answers

7k views

Greeks for binary option?

asked Dec 4, 2015 at 0:24

6 votes

3 answers

1k views

Financial Products Markup Language

asked Apr 2, 2011 at 6:07

5 votes

4 answers

3k views

How to select the initial guess for implied volatility?

asked Feb 21, 2016 at 10:11

4 votes

1 answer

248 views

Why risk-free interest is needed for Margrabe's Formula?

asked Jun 30, 2015 at 15:18

3 votes

1 answer

2k views

Hull-White formula on wikipedia, correct?

asked Jan 9, 2017 at 13:02

3 votes

2 answers

2k views

Why QuantLib computes the fixed-leg swap rate by this formula?

asked Sep 4, 2015 at 13:03

2 votes

4 answers

1k views

Why square root of volatility in Heston model?

asked Jul 17, 2015 at 5:15

2 votes

1 answer

993 views

Formula for the forward rates?

asked Jul 25, 2014 at 8:29

2 votes

1 answer

371 views

Negative Eonia rates

asked Oct 20, 2014 at 7:56

1 vote

1 answer

1k views

Why QuantLib assumes zero rates to discount factor is continuous?

asked Feb 6, 2016 at 10:15

0 votes

1 answer

988 views

Turnbull & Wakeman Asian - not Edgeworth?

asked Nov 7, 2015 at 20:55