User mepuzza - Quantitative Finance Stack Exchange

11 votes

Time series of PCA - Sign change in factor loadings

answered Mar 20, 2012 at 10:44

9 votes

Accepted

Implementing a Fast Fourier Transform for Option Pricing

answered May 8, 2012 at 8:27

6 votes

Accepted

What's the best way to test/validate an interest rate lattice model

answered May 15, 2012 at 17:08

4 votes

Non-SQL methods for high-frequency accounting?

answered Mar 21, 2012 at 9:30

4 votes

How to value non-libor swaps (not basis swaps)?

answered Apr 24, 2012 at 10:25

3 votes

Accepted

Pricing callable range accruals on spreads

answered May 2, 2012 at 9:03

3 votes

Historical Level 2 Data (Market Depth)

answered Mar 15, 2012 at 16:19

3 votes

What are some useful approximations to the Black-Scholes formula?

answered Apr 10, 2012 at 13:26

2 votes

Vanna - any practical uses for risk or pnl attribution purposes?

answered Mar 8, 2012 at 14:53

2 votes

VaR implementation using quantlib?

answered May 3, 2012 at 8:09

1 vote

Accepted

Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)?

answered Mar 22, 2012 at 9:28

1 vote

Is the binomial model wrong?

answered May 8, 2012 at 16:14

0 votes

Vanna - any practical uses for risk or pnl attribution purposes?

answered Mar 15, 2012 at 16:37

0 votes

Utility to download historical Implied Volatility data from Interactive Brokers?

answered May 3, 2012 at 8:26

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14 Answers

Time series of PCA - Sign change in factor loadings

Implementing a Fast Fourier Transform for Option Pricing

What's the best way to test/validate an interest rate lattice model

Non-SQL methods for high-frequency accounting?

How to value non-libor swaps (not basis swaps)?

Pricing callable range accruals on spreads

Historical Level 2 Data (Market Depth)

What are some useful approximations to the Black-Scholes formula?

Vanna - any practical uses for risk or pnl attribution purposes?

VaR implementation using quantlib?

Can we explain physical similarities between Black Scholes PDE and the Mass Balance PDE (e.g. Advection-Diffusion equation)?

Is the binomial model wrong?

Vanna - any practical uses for risk or pnl attribution purposes?

Utility to download historical Implied Volatility data from Interactive Brokers?