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TheBridge's user avatar
TheBridge
  • Member for 13 years, 4 months
  • Last seen more than a month ago
  • Paris, France
4 votes

Monte Carlo simulating Cox-Ingersoll-Ross process

4 votes
Accepted

Non-arbitrage theory and existence of a risk premium

5 votes

Are BSDE's used in practice?

7 votes

Cross Currency Swap Pricing in nowadays environment

5 votes
Accepted

Simulating conditional expectations

11 votes

How to use Itô's formula to deduce that a stochastic process is a martingale?

4 votes

What is the replicating portfolio of swaptions for a constant maturity swap (CMS)?

12 votes
Accepted

How to extrapolate implied volatility for out of the money options?

12 votes
Accepted

What is the reason for the convexity adjustment when pricing a constant maturity swap (CMS)?

4 votes

What is the forward rate for a Black-Karasinski interest rate model?

4 votes

Reference on Markov chain Monte Carlo method for option pricing?

6 votes

At what point does someone using technical analysis become a Quant?

8 votes

Skew arbitrage: How can you realize the skewness of the underlying?

4 votes

Which lags or percentiles should be run in a batch when calculating Value-at-Risk?

2 votes

What is the connection between default probabilities calculated using the credit rating and the price of a CDS?

15 votes
Accepted

What is Ito's lemma used for in quantitative finance?

2 votes

Vanilla European options: Monte carlo vs BS formula

11 votes
Accepted

Monte carlo methods for vanilla european options and Ito's lemma.

1 vote

The Fair Value of Paying in Currency X for Goods Bought in Currency Y

1 vote

Black-Scholes No Dividends assumption

0 votes

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

6 votes
Accepted

How to compute the Value-at-Risk of the sum of two dependent lognormal random variables?

6 votes
Accepted

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

6 votes
Accepted

Rate interpolation in Libor Market Model

7 votes
Accepted

What is a cubature scheme?

2 votes
Accepted

What is a Structurer?

-1 votes

What is a Quant

6 votes

What programming languages are most commonly used in quantitative finance?

8 votes

What is a martingale?

27 votes

Paradoxes in quantitative finance