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Cholesky factorisation+negative semi-definite matrix
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4
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373 |
onlyaxel |
Thu Sep 02, 10 10:16 PM
by onlyaxel
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Realized volatility estimators
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2
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383 |
onlyaxel |
Thu Sep 02, 10 03:31 PM
by onlyaxel
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VaR of an Options Portfolio using Delta Gamma
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1
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1756 |
NVerma |
Thu Sep 02, 10 10:19 AM
by DarkKnight
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Heston model - put option price calculated by FFT
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12
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5700 |
agneska |
Wed Sep 01, 10 07:35 PM
by AVt
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Long Stepping Simulation of the Heston SV Model - Gamma Expansion
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9
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1521 |
radi |
Wed Sep 01, 10 07:27 PM
by radi
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Discrete Dividends in QuantLib
Pages:
1
2
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29
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1651 |
rhovega |
Wed Sep 01, 10 05:17 PM
by Hansi
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Help with SVI
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2
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783 |
estimator |
Mon Aug 30, 10 10:04 PM
by estimator
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Order of Convergence for E-M or Milstein
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3
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964 |
gordonk |
Mon Aug 30, 10 07:42 AM
by Cuchulainn
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can you name caveats/pitfalls of using trees vs lattice pde when pricing fixed income (simple) products?
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3
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1712 |
horacioaliaga |
Sun Aug 29, 10 12:53 PM
by Cuchulainn
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Simulated Method of Moments
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1
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1019 |
hanss |
Sun Aug 29, 10 10:17 AM
by hanss
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Jump diffusion
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0
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930 |
pareekroopal |
Sun Aug 29, 10 09:06 AM
by pareekroopal
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Using Curran's Approximation In the Middle of Averaging Period
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6
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2125 |
AT2KM |
Sat Aug 28, 10 07:00 PM
by outrun
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factor analysis in matlab
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1
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1340 |
vivianz |
Fri Aug 27, 10 10:14 AM
by eh
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options volatility and lack of liquidity
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0
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1300 |
edouard |
Thu Aug 26, 10 10:14 PM
by edouard
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IR Bermudan Swaptions with SABR Vol Output
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0
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1603 |
cvilsack |
Wed Aug 25, 10 11:49 AM
by cvilsack
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Levenberg-Marquardt - Lourakis C++ Implementation
Pages:
1
2
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23
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66441 |
Sonyah |
Tue Aug 24, 10 02:26 PM
by Dianth
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PCG discussions
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13
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4923 |
Dcole |
Tue Aug 24, 10 01:57 AM
by zeta
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Classical Multidimensional scaling code
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1
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3853 |
Tinkerz1 |
Sun Aug 22, 10 06:57 PM
by Cuchulainn
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ADE vs ADI
Pages:
1
2
Last
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53
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48913 |
woodsdevil |
Sat Aug 21, 10 12:39 PM
by Cuchulainn
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Strong Markov Property - Geman-Yor Double Barrier Options
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2
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1882 |
Filipaxavier |
Sat Aug 21, 10 10:19 AM
by spv205
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Numerical solution of the Fokker-Plank equation
Pages:
1
2
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20
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3448 |
MJPL |
Wed Aug 18, 10 09:55 PM
by Cuchulainn
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Reg : Eigenvalues of large sparse real symmetric matrices
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3
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3103 |
mkirankumar |
Wed Aug 18, 10 07:56 AM
by katastrofa
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bivariate bootstrap
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4
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5252 |
dudamel |
Tue Aug 17, 10 07:47 AM
by ronm
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(Very) Fast Finite Difference Schemes for n-factor Black Scholes
Pages:
1
2
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37
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98967 |
Cuchulainn |
Mon Aug 16, 10 05:47 PM
by mathematalef0
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Solving Fokker-Planck of Vol Model
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5
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2668 |
plang |
Mon Aug 16, 10 03:04 AM
by spv205
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Monte Carlo: how to keep alive the dying path
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7
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2434 |
quantmeh |
Mon Aug 16, 10 12:07 AM
by mj
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Strange phenomenon of the closed-form solution to two-asset call on maximum
Pages:
1
2
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27
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7727 |
LeonAtWilmott |
Sat Aug 14, 10 04:56 PM
by Cuchulainn
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Panel Regression vs Cross sectional Regressions (with smoothing function)
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0
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2302 |
volatilitysmiles |
Thu Aug 12, 10 03:48 PM
by volatilitysmiles
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Mandelbrot's measure of the roughness of Brownian motion
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18
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5953 |
verb |
Sun Aug 08, 10 01:07 PM
by frenchX
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Fitting Gatherals SVI to USDJPY 10 and 25 delta quotes
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6
|
19248 |
trewort |
Sun Aug 08, 10 10:30 AM
by sebgur
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Using beta to create a neutral pair
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5
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3426 |
mike212 |
Fri Aug 06, 10 04:41 PM
by mike212
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Secant method
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2
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2739 |
wayneckm |
Fri Aug 06, 10 02:25 PM
by Hansi
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Portfolio optimization with CVaR constraints
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3
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3836 |
frenchyWill |
Fri Jul 30, 10 01:12 PM
by borici
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Identifying a piecewise smooth function from samples
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2
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3614 |
gjk77 |
Thu Jul 29, 10 11:14 PM
by Traden4Alpha
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Domain decomposition methods in Quant Finance.
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0
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3758 |
PhDStudent |
Wed Jul 28, 10 12:04 PM
by PhDStudent
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About Binomial Trees : 2 questions
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2
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3705 |
davidcuk |
Wed Jul 28, 10 12:43 AM
by mj
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First order spatial derivative for Saul'yev scheme
Pages:
1
2
Last
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152
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8182 |
nkinar |
Sun Jul 25, 10 08:32 PM
by nkinar
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Truncation Error for ADE
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4
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25595 |
Bon |
Sat Jul 24, 10 04:49 PM
by Cuchulainn
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Well-posed initial boundary value problems (PDE)
Pages:
1
2
Last
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80
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45240 |
Cuchulainn |
Fri Jul 23, 10 03:04 PM
by Alan
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monthly smooth time series -> compact storage, maybe interpolation
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11
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3718 |
quantmeh |
Fri Jul 23, 10 01:42 AM
by jawabean
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