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piterbarg's user avatar
piterbarg's user avatar
piterbarg
  • Member for 3 years, 6 months
  • Last seen more than a week ago
  • London, UK
8 votes

How to calculate theta/rho for interest rate derivatives?

7 votes
Accepted

How do I prove that a certain price is price of European option in Black-Scholes framework

7 votes
Accepted

American options and stopping times

6 votes

What are "greeks" in general for non-standard options (swaptions, capfloors, etc)

5 votes
Accepted

Conditional probability of Brownian motion (with drift and scaling) hitting barrier

5 votes
Accepted

Compounded in-arrears payoff with backward pricing method

4 votes

What are some liquid Asian options markets?

4 votes
Accepted

Missing observations in ICE Swap rates

3 votes
Accepted

Why can a two-factor interest rate model not be used to value a coupon bearing bond as the sum of options on ZCBs

3 votes

Is 3-month LIBOR quoted in annual terms?

3 votes
Accepted

Replication (binomial tree)

3 votes
Accepted

Calibration Hull-White

2 votes

Is scaling the standard deviations in the VaR formula (parametric) equivalent to scaling the VaR figure at the end?

2 votes
Accepted

Simulating the path for Interest Rate

2 votes
Accepted

Current liquidity of USD OIS-SOFR Swaps