Forums  > Pricing & Modelling  

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Unicity of Dupire Breakeven volatility11693 SgtPepper 22015-08-25 07:43
by
tartak
Dynamic PCA151,579 Nonius      2015-08-24 14:04
by
dgn2
Trading models typically used in the fx spot world (intraday- 1 day)7933 rickyvic      2015-07-31 19:17
by
rickyvic
adaptive filters and deterministic time trends111,578 Nonius      2015-07-30 08:11
by
tbrown122387
Pricing vanilla options with cash dividends — again!1342 c10 22015-07-29 12:58
by
TakeItAndRun
ATM Delta Divergence4375 TMethod      2015-07-28 00:12
by
Patrik
Hedging under Stochastic Volatility (Page: 1, 2)377,050 JuniorQuantEQD 22015-07-24 13:02
by
amin
Options vol & pricing - accounting for volume/OI of a contract?231,046 JTDerp      2015-07-07 17:25
by
JTDerp
Particle filters for stochastic volatilitiy calculation11866 Blackmagic      2015-07-02 19:00
by
amin
TickDataMarket: does anybody knows this data company?2517 TSWP      2015-07-02 12:40
by
rickyvic
Density of Stochastic Differential Equations with Stochastic Calculus of Standard Deviations (Page: 1, 2, 3, 4)763,296 amin 62015-07-02 11:31
by
amin
up to date reference on curves construction and risk1308 mtsm      2015-07-01 22:42
by
arkestra
Deriving the Skew From Reflecting Barrier-452 myoptionspre      2015-06-02 00:28
by
myoptionspre
SABR model for equities6658 pj      2015-05-28 00:36
by
granchio
PCA with shape constraints on loadings6648 mtsm      2015-05-27 23:41
by
mtsm
DTCC Index Roll Reports1518 Rookie_Quant      2015-05-10 06:22
by
gentinex
Modeling market sentiment and pricing options by volume, open interest4536 JTDerp      2015-05-08 13:23
by
gergely
Necessary to Assume Risk Neutrality?3563 mmport80 12015-05-03 11:22
by
gergely
Forecasting with open interest1434 Rashomon      2015-05-02 22:40
by
tbretagn
Spot futures pricing model (with time to maturity and volatility)12639 nuclear55 42015-04-26 21:53
by
unsmt
What is a good Sharpe Ratio Annualized for 2012-2013? How about 18?9823 TSWP 12015-04-18 18:44
by
TSWP
Exact Calculation of Stochastic Time Integrals with an Application Towards High Order Monte Carlo of Non-Linear SDE's1357 amin      2015-04-09 17:43
by
pj
Bermudan swaptions in practice22944 BigDaddy      2015-04-08 13:23
by
pj
How to price swaptions in this current low-rate-environment?2793 Chorizo      2015-04-03 14:22
by
TD
How to calibrate stochastic/local vol hybrid model?63,265 vincentjou      2015-03-09 20:43
by
cosmicMAN
 
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