Pricing, Modeling

Implement financial models from papers. Learn derivatives products and concepts.
Daniel Duffy
MSc Theses on Machine Learning and Computational Finance
Replies
4
Views
463
Daniel Duffy
Daniel Duffy
A
Normal default probability vs forward default probability/conditional default
Replies
1
Views
738
AppliedMath
A
W
Partial Derivatives of Index Straddle w.r.t. Index Constituents
Replies
0
Views
352
Will_Everett
W
A
Risk Metric calculation
Replies
1
Views
317
IntoDarkness
IntoDarkness
O
Understand and Model Cryptocurrencies Volatility Using GARCH Variants
Replies
0
Views
425
oxboz
O
A
ZABR (by Jesper Andreasen and Huge) vs SABR smile
Replies
3
Views
739
Aber
A
A
Example of complex structured products on FX market?
Replies
0
Views
460
Aber
A
quantsmodelsbottles
Speeding up scipy.integrate.dblquad for updating Bayesian priors (credit rating probability of default model)
Replies
12
Views
589
Daniel Duffy
Daniel Duffy
L
CRR Binomial Tree Convertible Bond pricing (MATLAB)
Replies
14
Views
835
LVB
L
Q
VaR of simulation of delta instruments deviates from the delta normal model
Replies
6
Views
698
Ken Abbott
Ken Abbott
D
Why the delta of ATM call option is slightly larger than 0.5?
Replies
8
Views
610
quanttrader
Q
Daniel Duffy
Computing sensitivities/greeks in computational finance, optimization and Machine Learning (ML): the Candidates
Replies
6
Views
636
ExSan
ExSan
B
Show that european call, put with same maturity and strike are equal iff strike=forward price
Replies
2
Views
366
barrycohen
B
A
Local Volatility with Example in Python
Replies
6
Views
1K
Daniel Duffy
Daniel Duffy
gkiwix
Quantitative Risk Management, Log returns on Parametric Value at Risk
Replies
1
Views
1K
Aber
A
M
VaR forward bond
Replies
1
Views
369
Ken Abbott
Ken Abbott
M
VaR Forward Bond
Replies
0
Views
297
MpazB
M
G
Asset selection for a portfolio
Replies
0
Views
283
gver
G
C
Option prices historical data for research
Replies
3
Views
753
astroamanj
A
J
Implementing a basic mean reversion & intraday returns
Replies
3
Views
2K
Archidamus
Archidamus
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