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Quantitative Finance
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piterbarg's user avatar
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piterbarg
  • Member for 3 years, 8 months
  • Last seen more than a month ago
  • London, UK
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Top posts
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8
How to calculate theta/rho for interest rate derivatives?
Nov 11, 2020
7
How do I prove that a certain price is price of European option in Black-Scholes framework
Nov 6, 2020
7
American options and stopping times
Mar 29, 2021
6
What are "greeks" in general for non-standard options (swaptions, capfloors, etc)
Nov 21, 2020
5
Conditional probability of Brownian motion (with drift and scaling) hitting barrier
Mar 17, 2021
5
Compounded in-arrears payoff with backward pricing method
Nov 6, 2020
4
What are some liquid Asian options markets?
Mar 29, 2021
4
Missing observations in ICE Swap rates
Mar 16, 2021
3
Why can a two-factor interest rate model not be used to value a coupon bearing bond as the sum of options on ZCBs
Mar 16, 2021
3
Is 3-month LIBOR quoted in annual terms?
Nov 8, 2020
Top network posts
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7
Calculating implied volatility using Scipy optimize brentq error
5
How to create a co-occurence matrix of product orders in python?
5
How to stack a kernel above each point on a regular grid with Python?
5
How to find the standardized residuals with sklearn?