SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 11 matches

by supernova
November 20th, 2012, 1:57 am
Forum: Technical Forum
Topic: atm vol for quanto curreney in valuing OTM quanto
Replies: 1
Views: 9631

atm vol for quanto curreney in valuing OTM quanto

is it admissible to use ATM vol for quanto currency for valuing OTM quantos?
by supernova
October 19th, 2012, 1:43 am
Forum: General Forum
Topic: pairs trading platform
Replies: 2
Views: 10593

pairs trading platform

what do you mean delta hedging for stock pairs
by supernova
October 19th, 2012, 12:47 am
Forum: Programming and Software Forum
Topic: Python Swap Pricer
Replies: 1
Views: 11812

Python Swap Pricer

semi-proficient in python????
by supernova
October 19th, 2012, 12:44 am
Forum: Book And Research Paper Forum
Topic: Journals recommendation for FM
Replies: 9
Views: 11250

Journals recommendation for FM

siam journal of financial mathematics, journal of computational finance
by supernova
October 1st, 2012, 1:53 pm
Forum: General Forum
Topic: Portfolio Optimization
Replies: 3
Views: 10743

Portfolio Optimization

It is a cardinality-constrained optimization problem. You can google a lot of relevant research paper on this. e.g.Algorithm for cardinality-constrained quadratic optimization - MIT
by supernova
February 7th, 2012, 6:01 am
Forum: Book And Research Paper Forum
Topic: Research proposal in Risk Analytics area
Replies: 1
Views: 15883

Research proposal in Risk Analytics area

Enterprise Risk Management to comply with BASELL III.
by supernova
February 7th, 2012, 12:45 am
Forum: General Forum
Topic: exponential for volatility curve with different deltas.
Replies: 0
Views: 14030

exponential for volatility curve with different deltas.

The exponential interpolation is adopted for the following delta curve:delta vol0.1 0.1280.25 0.130.5 0.1450.749 0.1660.899 0.189What is the rational for such exponential interpolation, is it just for convexity?
by supernova
October 21st, 2011, 2:46 am
Forum: Book And Research Paper Forum
Topic: any good book for commodity derivatives to recommend?
Replies: 4
Views: 23617

any good book for commodity derivatives to recommend?

Any good book/IB research articles for commodity derivatives to recommend? Thanks.
by supernova
September 23rd, 2011, 9:43 am
Forum: Brainteaser Forum
Topic: exp(5) = [$]e^5[$]
Replies: 545
Views: 119328

exp(5) = [$]e^5[$]

(1+5/n)^n, take n enough to achieve the desired decimal accuracy
by supernova
November 24th, 2010, 1:21 am
Forum: Technical Forum
Topic: Questions on XAUUSD option
Replies: 1
Views: 25099

Questions on XAUUSD option

To price the vanilla XAUUSD option, I have the following concerns:1. For USD yield curve, can I include Eurodollar futures in the construction?2. How to construct yield curve for XAU? using the XAU forward contracts?Thanks.
GZIP: On