Over at the Startup Insights blog, we posted a research paper completed at Columbia Business School 10 years ago as a class project that reviews the perception of good and bad bosses in management media all the way from the pre-war years from the Second World War to the late 1990′s. While the research is slightly dated, it still shares interesting insights about how the view around…
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Online Finance – Good and Bad bosses – A review of leadership trends across the decades
13th June 2010 by Jawwad under Master Class
Finance Online – Pricing Commodity linked notes
8th June 2010 by Jawwad under Master Class
The perquisite for this course is the first course on pricing interest rate swaps
Online Finance – Pricing Interest Rate Swaps – The valuation course
And the second more advance course on interest caps, interest rate floors and other related fixed income options. The same foundations…
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8th June 2010 by Jawwad under Master Class
The perquisite for this course is the first course on pricing interest rate swaps
Online Finance – Pricing Interest Rate Swaps – The valuation course
And the second more advance course on interest caps, interest rate floors and other related fixed income options. The same foundations…
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4th June 2010 by Jawwad under Master Class
I had always wanted to do this.
Take my favorite posts from over the years and put them in one easy to find place where I can go hide when I wanted to run away from the world. Tonight I decided to do something about it. For the benefit of my newly minted ranks of blog readers who had missed out on my earlier rants and raves as well…
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4th June 2010 by Jawwad under Derivatives
Here is the second course on Advance Interest Rate Products. The perquisite for this course is the first course on pricing interest rate swaps
Online Finance – Pricing Interest Rate Swaps – The valuation course
The second more advance course builds on the foundation laid in…
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4th June 2010 by Jawwad under Derivatives
Here is the first course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling and boot strapping and mark to market and valuation.
Basics
Online Finance Course – Pricing Interest Rate Swaps (IRS) – Terminology…
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Here are four posts from the Oil Insights blog that have caught the eye of traders and analysts that would also serve as useful reads for students of finance and options on this blog. Take a special look at the oil correlation posts and think about the impact and consequences on option trading and a constant volatility assumption.
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1st June 2010 by Jawwad under Derivatives
Caps and Floors
The most commonly used options in the swaps market are caps and floors. A cap is a call on the rates where the payoff depends on Max (LIBOR – Strike, 0). A floor is a put on the rates where the payoff depends on Max (Strike-LIBOR, 0).
CapA cap may be considered as a portfolio of caplets on the underlying asset which is the LIBOR. The value of…
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1st June 2010 by Jawwad under Derivatives
Cap-Floor Parity
The cap- floor parity says that being long a cap and short a floor with the same strike is equivalent to paying the fixed leg in the swap where the fixed rate is equal to the strike rate.
In other words, Cap – Floor = Swap.
From the above two examples on caps and floors we see that this value is
408.33-669.22 =-260.89.
Calculating an interest rate swap, with fixed rate equal…
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1st June 2010 by Jawwad under Derivatives
Amortizing Floating for Floating Currency Swap
In an amortizing swap, the principal reduces in a predetermined way. For our illustration we assume that the principal reduces by 25% in each period. The rest of the parameters and assumptions are the same as for the floating for floating currency swap given above.
The amortization schedule is as follows:
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