Pricing, Modeling

Implement financial models from papers. Learn derivatives products and concepts.
quantsmodelsbottles
Speeding up scipy.integrate.dblquad for updating Bayesian priors (credit rating probability of default model)
Replies
4
Views
59
quantsmodelsbottles
quantsmodelsbottles
L
CRR Binomial Tree Convertible Bond pricing (MATLAB)
Replies
14
Views
513
LVB
L
A
ZABR (by Jesper Andreasen and Huge) vs SABR smile
Replies
2
Views
203
Aber
A
Q
VaR of simulation of delta instruments deviates from the delta normal model
Replies
6
Views
526
Ken Abbott
Ken Abbott
D
Why the delta of ATM call option is slightly larger than 0.5?
Replies
8
Views
348
quanttrader
Q
Daniel Duffy
Computing sensitivities/greeks in computational finance, optimization and Machine Learning (ML): the Candidates
Replies
6
Views
419
ExSan
ExSan
B
Show that european call, put with same maturity and strike are equal iff strike=forward price
Replies
2
Views
219
barrycohen
B
A
Local Volatility with Example in Python
Replies
6
Views
651
Daniel Duffy
Daniel Duffy
gkiwix
Quantitative Risk Management, Log returns on Parametric Value at Risk
Replies
1
Views
349
Aber
A
M
VaR forward bond
Replies
1
Views
227
Ken Abbott
Ken Abbott
M
VaR Forward Bond
Replies
0
Views
168
MpazB
M
G
Asset selection for a portfolio
Replies
0
Views
147
gver
G
C
Option prices historical data for research
Replies
3
Views
678
astroamanj
A
J
Implementing a basic mean reversion & intraday returns
Replies
3
Views
1K
Archidamus
Archidamus
Y
FDM for Computational Finance
Replies
2
Views
400
Daniel Duffy
Daniel Duffy
A
Risk free rate in stochastic volatility model for FX options
Replies
1
Views
256
TheComplexUnit
TheComplexUnit
P
Pricing Forward Bond
Replies
0
Views
171
Pierluigi
P
T
Stulz Model and Monte Carlo Simulation
Replies
3
Views
369
Tito
T
S
pricing exotic options in a levy market with stochastic volatility
Replies
0
Views
164
smile_for_vol
S
Ernie
Pricing Structured derivatives
Replies
0
Views
191
Ernie
Ernie
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