Genius Mathematics Consultants·Jan 8, 2021Does barrier option valuation depend on volatility and interest rate term structure?It’s well-known that vanilla option valuation does not depend on the term structure of volatility and interest rates. This means that the…
Genius Mathematics Consultants·May 12, 2020Converting Volatility Surfaces from Moneyness to Delta Using an Iterative Method — Genius…It often comes up in quantitative finance that you want to convert a vol surface plotted against moneyness, to a vol surface plotted…
Genius Mathematics Consultants·May 7, 2020Derivative Pricing Consulting Services — Genius Mathematics ConsultantsWe offer professional cloud-based PhD derivative pricing consulting services, including
Genius Mathematics Consultants·Dec 24, 2019Derivative Pricing Consulting — the Longstaff-Schwartz Method using Machine Learning and…Interested in pricing callable or early exercise derivatives using the Longstaff-Schwartz method? Our consulting service can design and…
