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Pricing, Modeling

Implement financial models from papers. Learn derivatives products and concepts.

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Partial Derivatives of Index Straddle w.r.t. Index Constituents

Replies: 0

Views: 212

7/29/19

Will_Everett

Risk Metric calculation

Replies: 1

Views: 203

7/25/19

IntoDarkness

Understand and Model Cryptocurrencies Volatility Using GARCH Variants

Replies: 0

Views: 296

7/17/19

oxboz

ZABR (by Jesper Andreasen and Huge) vs SABR smile

Aber
6/6/19

Replies: 3

Views: 458

7/11/19

Aber

Example of complex structured products on FX market?

Aber
6/28/19

Replies: 0

Views: 347

6/28/19

Aber

Speeding up scipy.integrate.dblquad for updating Bayesian priors (credit rating probability of default model)

Replies: 12

Views: 437

6/26/19

Daniel Duffy

CRR Binomial Tree Convertible Bond pricing (MATLAB)

LVB
6/13/19

Replies: 14

Views: 631

6/20/19

LVB

VaR of simulation of delta instruments deviates from the delta normal model

Replies: 6

Views: 583

5/16/19

Ken Abbott

Why the delta of ATM call option is slightly larger than 0.5?

Replies: 8

Views: 437

5/13/19

quanttrader

Computing sensitivities/greeks in computational finance, optimization and Machine Learning (ML): the Candidates

Replies: 6

Views: 500

5/10/19

ExSan

Show that european call, put with same maturity and strike are equal iff strike=forward price

Replies: 2

Views: 257

4/29/19

barrycohen

Local Volatility with Example in Python

Replies: 6

Views: 855

4/19/19

Daniel Duffy

Quantitative Risk Management, Log returns on Parametric Value at Risk

Replies: 1

Views: 390

4/11/19

Aber

VaR forward bond

Replies: 1

Views: 259

3/31/19

Ken Abbott

VaR Forward Bond

Replies: 0

Views: 192

3/31/19

MpazB

Asset selection for a portfolio

gver
3/30/19

Replies: 0

Views: 174

3/30/19

gver

Option prices historical data for research

Replies: 3

Views: 724

3/21/19

astroamanj

Implementing a basic mean reversion & intraday returns

Replies: 3

Views: 1K

1/29/19

Archidamus

FDM for Computational Finance

Replies: 2

Views: 435

1/24/19

Daniel Duffy

Risk free rate in stochastic volatility model for FX options

Aber
1/19/19

Replies: 1

Views: 289

1/20/19

TheComplexUnit

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