February 2015

Computation / Derivatives / Financial / Python

Greeks: option sensitivies, formula proofs and Python scripts

delta chart greeks

Option greeks: formula proofs and python implementation. This documents is the first part of a general overview of vanilla options partial sensitivities (option greeks). Here we provide 1st…

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Cross Asset / Derivatives / Financial / Fixed Income / Regulation

Ataraxia & Credit Valuation Adjustment (CVA) Part 1

According to Stoic philosophy, ataraxia is the state of complete absence of trouble, where the sage becomes insensitive to any trouble and by extension to the volatility of…

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