Skip to main content
SmallChess's user avatar
SmallChess's user avatar
SmallChess's user avatar
SmallChess
  • Member for 13 years, 1 month
  • Last seen more than a month ago
14 votes
2 answers
11k views

Why linear interpolation not appropriate for volatility surface construction?

7 votes
3 answers
8k views

Greeks for binary option?

6 votes
3 answers
1k views

Financial Products Markup Language

5 votes
4 answers
3k views

How to select the initial guess for implied volatility?

4 votes
1 answer
255 views

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

3 votes
1 answer
2k views

Hull-White formula on wikipedia, correct?

3 votes
2 answers
2k views

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

2 votes
4 answers
1k views

Why square root of volatility in Heston model?

2 votes
1 answer
1k views

Formula for the forward rates?

2 votes
1 answer
374 views

Negative Eonia rates

1 vote
1 answer
1k views

Why QuantLib assumes zero rates to discount factor is continuous?

0 votes
1 answer
1k views

Turnbull & Wakeman Asian - not Edgeworth?