2021-06-09
Hagan’s adjusters [Hag02] improve the pricing of financial products, even with the simplest models,...
2016-04-14
Financial modeling with jump processes is a fully explored domain. We present in this post some of t...
2015-08-31
Building the (zero-coupon) yield curve is the first step in most of the financial modeling problems....
2013-09-27
Classical equity models don’t handle very well dividends, in particular constant ones. We present in...
2013-01-09
Poisson distribution is a classical distribution that often appears in mathematical finance, like in...
2012-08-31
Partial Differential Equation (PDE) solving is an important part of numerical analysis in mathematic...
2012-06-15
As my first subject (and the first subject on LexiFi’s quantitative blog), I would like to focus on ...