User quant_dev

23 votes

What is a martingale?

answered Feb 9, 2011 at 9:28

17 votes

Accepted

Setting the r in put-call parity?

answered May 13, 2011 at 6:05

16 votes

Accepted

What are the limitations of Gaussian copulas in respect to pricing credit derivatives?

answered Feb 6, 2011 at 16:09

16 votes

QuantLib in industry

answered Feb 8, 2011 at 8:17

12 votes

Why is C++ still a very popular language in quantitative finance?

answered Feb 10, 2012 at 9:26

11 votes

What C++ math libraries are typically used by quants?

answered Jan 11, 2012 at 9:16

10 votes

Video lectures and presentations on quantitative finance

answered Feb 11, 2011 at 13:18

7 votes

Accepted

Modern problems in financial mathematics

answered Apr 5, 2011 at 5:43

7 votes

How good is managed code for algo trading?

answered Apr 11, 2011 at 7:04

5 votes

When is the LIBOR market model Markovian?

answered Apr 20, 2011 at 20:09

5 votes

Accepted

Black-Equivalent Volatility

answered Feb 8, 2011 at 22:11

4 votes

How do practitioners use the Malliavin calculus (if at all)?

answered Mar 19, 2011 at 17:36

4 votes

How can a share price be different on its open than it was on the previous close?

answered Jul 27, 2015 at 22:32

3 votes

Pricing Exotics: Monte-Carlo is too slow?

answered Dec 30, 2016 at 12:41

3 votes

Accepted

How stressful is work of quants?

answered Jun 20, 2011 at 16:55

3 votes

How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?

answered Mar 28, 2011 at 12:18

3 votes

How to derive appropriate volatility for a binary option (with strike/term) from market data?

answered Mar 22, 2011 at 20:15

2 votes

Commodity hedging in non-financial companies - any literature available?

answered Mar 24, 2011 at 20:58

2 votes

Credit Valuation Adjustments -- computation issues

answered Mar 25, 2011 at 13:27

2 votes

What are some computational bottlenecks that quants face?

answered Feb 15, 2011 at 9:20

2 votes

Any example code implementing the Shelton CDO 'Back To Normal' Paper?

answered Mar 19, 2011 at 17:31

2 votes

on "recovering probability distributions from option prices" - how to subtract influence of stochastic volatility?

answered Feb 10, 2011 at 21:47

2 votes

Trading a stock (or other asset) based on Bollinger Bands.

answered Mar 31, 2011 at 6:19

2 votes

Do taking in account the CSA create convexity effects in your stripping?

answered Nov 3, 2012 at 22:47

1 vote

Financial Products Markup Language

answered Apr 2, 2011 at 16:27

1 vote

What benefits are there to employing agile software development methodologies for quants?

answered Sep 21, 2011 at 16:03

1 vote

How do I price OANDA box options?

answered Feb 8, 2011 at 22:24

1 vote

What does it mean to modify the factor loadings of a credit risk model?

answered Feb 11, 2011 at 13:22

0 votes

Free data on swap options

answered Feb 11, 2011 at 17:04

0 votes

Expected Growth

answered Feb 8, 2011 at 22:00

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32 Answers

What is a martingale?

Setting the r in put-call parity?

What are the limitations of Gaussian copulas in respect to pricing credit derivatives?

QuantLib in industry

Why is C++ still a very popular language in quantitative finance?

What C++ math libraries are typically used by quants?

Video lectures and presentations on quantitative finance

Modern problems in financial mathematics

How good is managed code for algo trading?

When is the LIBOR market model Markovian?

Black-Equivalent Volatility

How do practitioners use the Malliavin calculus (if at all)?

How can a share price be different on its open than it was on the previous close?

Pricing Exotics: Monte-Carlo is too slow?

How stressful is work of quants?

How to conduct Monte Carlo simulations to test validity of Black Scholes for a specific option?

How to derive appropriate volatility for a binary option (with strike/term) from market data?

Commodity hedging in non-financial companies - any literature available?

Credit Valuation Adjustments -- computation issues

What are some computational bottlenecks that quants face?

Any example code implementing the Shelton CDO 'Back To Normal' Paper?

on "recovering probability distributions from option prices" - how to subtract influence of stochastic volatility?

Trading a stock (or other asset) based on Bollinger Bands.

Do taking in account the CSA create convexity effects in your stripping?

Financial Products Markup Language

What benefits are there to employing agile software development methodologies for quants?

How do I price OANDA box options?

What does it mean to modify the factor loadings of a credit risk model?

Free data on swap options

Expected Growth