Brian B

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6,183 reputation
624
bio website bachelierfinance.org
location United States
age 44
visits member for 2 years, 4 months
seen 4 hours ago
stats profile views 489

Worked in a lot of quant areas


130 Answers

newest activity votes
3
Why does Black-Scholes equation hold on continuation region of American Option?
jun 3 at 18:10
3
Are there any good benchmarks for performance of vanilla option pricing code?
may 23 at 19:11
3
Hedging credit risk using Put equity options
may 7 at 14:45
3
Relationship between European, American options volatility
may 7 at 14:01
3
Is vega of Black-Scholes European type option always positive?
may 6 at 16:52
3
Why is short term implied volatility typically higher?
jan 8 at 3:47
3
What is Heston's equation?
oct 23 at 14:48
3
VaR for corporate bonds
oct 23 at 14:37
3
Greeks and Option Premium
oct 9 at 13:38
3
Do Bond Put Dates always fall on Coupon Dates (for non-zero coupon bonds). Calculation rules for Coupon Dates
jul 10 '12 at 19:38
3
looking for regulations regarding stock symbol reuse in the US
apr 2 '12 at 13:26
3
How to remove the risk element from a set of fixed rate mortgage offerings?
feb 8 '12 at 18:42
3
Can we replicate a call option without borrowing and make it cheaper in this way?
jan 17 '12 at 21:27
3
Why a self-financing replicating portfolio should always exist?
jan 5 '12 at 15:21
3
How to define and measure liquidity or funding premium in credit markets?
nov 30 '11 at 15:22
3
Calculating Theta assuming other variables remain the same
nov 11 '11 at 13:54
3
How to handle coupon payments when pricing a bond with an embedded option?
oct 14 '11 at 20:05
3
Is there a quantitative finance ranking system for universities?
aug 15 '11 at 14:57
3
How should I calculate the implied volatility of an American option in a real-time production environment?
aug 12 '11 at 17:58
3
How do I calculate the delta of a convertible bond?
apr 26 '11 at 18:59
3
Library to solve optimization problems
apr 14 '11 at 20:21
3
How to annualize Expected Shortfall?
apr 6 '11 at 18:43
3
Which risk-free rate to use to price a bond issued in one currency but convertible into equity in another?
feb 25 '11 at 19:01
3
Correlation skew mapping
feb 14 '11 at 16:28
3
on “recovering probability distributions from option prices” - how to subtract influence of stochastic volatility?
feb 14 '11 at 15:59
2
Different Exercise Style Options on Same Underlying
may 24 at 20:21
2
backtesting options strategies in R
may 10 at 13:58
2
Statistics of difference between two GBMs
apr 11 at 14:05
2
Credit risk data
mar 21 at 14:37
2
Intangible assets as underlying for Futures contracts
feb 5 at 15:13
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