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chengcj
  • Member for 10 years, 10 months
  • Last seen more than a month ago
  • London, United Kingdom
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About

By Day: Quant Analyst at Citi

By Night: Android App Developer

Have experience in C++ and Python

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Top posts
question
11
Arbitrage Free Volatility Smile
Dec 7, 2016
question
9
For pricing, what types of Exotic Options are suitable using Local Volatility Model or a Stochastic Volatility Model?
Nov 4, 2013
question
3
How to value VIX Option?
Nov 5, 2013
question
3
Barrier Derivative Pricing
Feb 28, 2017
question
3
Given QuantLib Python VanillaSwap object, how to get the iborIndex of the swap object?
Nov 12, 2017
question
2
PV of derivative that pays $S_T \ln\left(S_T\right)$ at maturity
Mar 3, 2018
question
2
Multi-factor vs Single-factor interest rate model for XVA / CCR
Jun 18, 2019
question
2
Calculate $E^{\mathbb{Q}}\left[e^{-\int_{0}^{T_2}r_t\,dt} \frac{S\left(T_2\right)}{S\left(T_1\right)}\right]$
Jul 22, 2017
question
1
Risks of issuing an Autocallable Note
Nov 5, 2013
question
1
When valuing a vanilla option on an index, should we take dividend into account?
Aug 17, 2015
Top network posts
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18
How to import a .pyd file as a python module?
18
Using ROracle dbWriteTable to write POSIXct back to Oracle DB
10
Evaluate expression in R data.table
9
Using ROracle dbWriteTable to write POSIXct back to Oracle DB
6
R data.table group by multiple columns into 1 column and sum