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Technical Forum
This is the place for seasoned professionals' technobabble. Newbies, read (and learn) only!
Topics
9456 topics
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time interpolation in variance vs volatilityPosted by pcaspers, April 3rd, 2021, 6:12 pm1 Replies 158 Views158 Views 1
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Breakthrough in the theory of stochastic differential equations and their simulation1109 Replies 142675 Views142675 Views 1109
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Interpolation of a Implied Volatility SurfacePosted by yondaime, May 19th, 2020, 4:18 am20 Replies 5656 Views5656 Views 20
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If you are bored with Deep NetworksPosted by ISayMoo, November 7th, 2017, 9:55 pm528 Replies 63668 Views63668 Views 528
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Bergomi skew arbitrage strategyPosted by volasmiler, November 21st, 2020, 12:59 pm1 Replies 1145 Views1145 Views 1
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Benchmark tests: KO European and American double barrier optionsPosted by Cuchulainn, January 10th, 2021, 1:32 pm23 Replies 1596 Views1596 Views 23
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bond futures vs CTD yield conundrumPosted by fyvr, September 29th, 2020, 5:17 pm9 Replies 1623 Views1623 Views 9
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1076 Views 4
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American Implied Volatility from quotesPosted by PrinceQnt, October 28th, 2020, 9:53 pm12 Replies 1948 Views1948 Views 12
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771 Views 0
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Is there any mathematical tool to solve this HJB-like problem?Posted by EdisonCruise, December 10th, 2020, 2:44 pm0 Replies 875 Views875 Views 0
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1564 Views 1
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Converting a swap spread to a different day countPosted by DavidJN, November 30th, 2020, 6:33 pm1 Replies 874 Views874 Views 1
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Arbitrage Free Interpolation of Implied Volatility on Time DimensionPosted by gchu2020, November 19th, 2020, 2:34 pm2 Replies 1040 Views1040 Views 2
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Variance Swap (VarSwap) Volga hedgePosted by BullsI, September 7th, 2020, 12:02 pm4 Replies 1539 Views1539 Views 4
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Options when there's no VolSurf - Emerging/Frontier MarketsPosted by Mercadian, July 24th, 2020, 7:38 pm10 Replies 2028 Views2028 Views 10
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