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Technical Forum
This is the place for seasoned professionals' technobabble. Newbies, read (and learn) only!
Topics
9354 topics
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Perturbation of a stochastic differential equationPosted by lovenatalya, May 19th, 2018, 8:17 pm46 Replies 766 Views766 Views 46
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Breakthrough in the theory of stochastic differential equations and their simulation700 Replies 38363 Views38363 Views 700
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Positive Heston European call thetaPosted by lovenatalya, May 5th, 2018, 5:41 am57 Replies 1854 Views1854 Views 57
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Off the shelf backtesting software for forex, ratesPosted by jvader, May 12th, 2018, 10:19 pm0 Replies 56 Views56 Views 0
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Quadratic local volatility modelPosted by MaxwellSheffield, May 7th, 2018, 6:01 pm15 Replies 273 Views273 Views 15
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217 Views 1
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Density implied by the SABR vol approximationPosted by mekornilol, April 10th, 2018, 9:39 pm9 Replies 630 Views630 Views 9
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If you are bored with Deep NetworksPosted by ISayMoo, November 7th, 2017, 9:55 pm130 Replies 4508 Views4508 Views 130
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No-Arb Conditions for Puts and Calls & Transitioning from absolute prices to moneyness spacePosted by jayjo, April 17th, 2018, 12:41 am0 Replies 192 Views192 Views 0
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Pricing European Counterpart from American Option Price - Model free approach?Posted by jayjo, April 11th, 2018, 5:10 pm3 Replies 156 Views156 Views 3
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Forward Dupire PDE/Normal volatilityPosted by MaxwellSheffield, March 28th, 2018, 8:56 pm9 Replies 359 Views359 Views 9
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market practice to extrapolate SPX volatilities?Posted by kelang, March 29th, 2018, 9:13 pm2 Replies 378 Views378 Views 2
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Are there software to compute Initial Margin and MVA and other xVAs?Posted by mattdd, March 1st, 2018, 11:35 am3 Replies 281 Views281 Views 3
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187 Views 0
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Shifted log normal short rate model vs hull white short rate model31 Replies 2314 Views2314 Views 31
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Question on Calculating KRD and durations: how to make sure curve consistencyPosted by figoliuxi, March 21st, 2018, 8:44 pm0 Replies 197 Views197 Views 0
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FVA for a fully collateralized swapPosted by caperover, June 11th, 2014, 11:57 am15 Replies 6568 Views6568 Views 15
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Correlation among contracts in forwards curvePosted by mathdude2018, March 6th, 2018, 10:18 pm1 Replies 262 Views262 Views 1
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Benchmark , Hull White 2 factor modelPosted by Cuchulainn, February 25th, 2018, 1:37 pm1 Replies 368 Views368 Views 1
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Could anybody please point me to the IM for an ABS or CDO?Posted by mattdd, February 25th, 2018, 1:14 pm1 Replies 205 Views205 Views 1
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