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7 votes
1 answer
4k views

Online sources for quantitative finance research

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Dynamic SABR layer-by-layer calibration fails at third layer: implementation issue or no admissible solution?

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1 answer
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Delta Volatility Surface Usage to value the option

3 votes
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QuantLib.BlackVarianceSurface from non-rectangular data?

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Building an AUD discount curve collateralised with USD cash

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47 views

Pricing FX TARF using Quantlib library in python & compare to Bloomberg

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45 views

Best practise for FX local vol surface in Quantib Python with SLV in mind

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77 views

Should an uncertain volatility model option be priced higher or lower than a constant volatility model option?

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Best way to extract Bloomberg implied vol surface data for calibration of Implied Vol interpolation method?

2 votes
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389 views

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15 votes
6 answers
2k views

Quantum Computing for Quantitative Finance

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Proxy Volatility

1 vote
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391 views

Why are Eurodollar futures settled to 100 minus LIBOR? Is this actually connected to a Eurodollar deposit?

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