Chronological Blog Index

- Interview Questions II
- The Discount Curve, ZCBs and the Time Value of Money
- The Greeks
- Importance of the Vol Smile
- Interview Questions I
- Some Results for Common Distributions
- Risk Neutral Valuation
- Root Finders
- Price vs. Implied Vol
- Stochastic Differential Equations Pt2: The Lognormal Distribution
- Stochastic Differential Equations Pt1: The BS Equation
- Monte Carlo in Quantitative Finance
- Cumulative Normal Distribution

Thanks for a great blog! As an incoming summer intern at JPMorgan, I have been relying extensively on this excellent resource. Also glad to see that new articles have resumed this month.

Congratulations – which asset class are you covering?

Linear interest rate products (mainly swaps). The procedure for bootstrapping the discount curve from swap rates that is outlined in one of your articles is very elegant.