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InnocentR
  • Member for 10 years, 4 months
  • Last seen more than 1 year ago
11 votes
2 answers
1k views

Does numeraire have to be a tradable asset

7 votes
1 answer
520 views

Background required for the book by Brigo and Mercurio

7 votes
1 answer
1k views

Why is two-factor model so popular for bond futures?

4 votes
1 answer
759 views

Vasicek model: joint simulation with discount factor

4 votes
1 answer
2k views

QuantLib Python: caplet/swaption pricing under dual curve

3 votes
2 answers
250 views

Gaussian copula calibration to option price

3 votes
1 answer
699 views

Bond SDE under its own forward measure

3 votes
2 answers
677 views

Reproducing levels when PCA has been done on changes

3 votes
2 answers
3k views

Introduction to Multiple Curve construction

2 votes
3 answers
429 views

Is a bond expiring at $T$ clean or dirty price a martingale under the $T$-Forward measure?

2 votes
0 answers
141 views

Turn of the year

2 votes
1 answer
618 views

Swaptions vol trading lognormally

1 vote
2 answers
16k views

Par Yield Curves vs Zero Curves

1 vote
1 answer
1k views

ZSpread in multiple curve framework

1 vote
0 answers
99 views

Different ways to discretize forward rate in HJM

1 vote
1 answer
207 views

Static hedge forward swap using zero coupon swaps

1 vote
4 answers
2k views

Delta hedging pnl to recover option price

1 vote
1 answer
2k views

Quantlib Natural Cubic spline yield curve

0 votes
1 answer
669 views

Delta hedging theta pnl

0 votes
0 answers
123 views

Vol specifications under Heath Jarrow Morton framework