# Financial Engineering and Risk Reference – Pricing and valuation formula

Here is a pricing and valuation equation glossary for the financial engineering field used as a reference for the courses posted on Learning Corporate Finance. If you have come across a missing equation previously on a Learning Corporate Finance course, you will find it here.

For a complete reference to equations and calculator referred to in our course catalog, please see the Derivative Pricing and Financial Risk Equation Glossary.

For topic specific equations, please see the following links. For a list of topics covered under each of these links, please see the index below

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**Duration, Convexity and Asset Liability Management**

**Black Scholes, Derivative Pricing, Binomial Trees**

**Calculating Forward Prices and Forward Rates**

**Valuation of Interest Rate Swaps and Future Contracts**

**Financial Risk, Reward metrics and measures**

**Black Formula’s, Valuing Interest Rate Caps and Floors**

Value at Risk

Outstanding term to maturity

Interpolation

Excel’s Price formula

Continuous return of daily prices

SMA volatility (?)

EWMA volatility (?)

Weights and Scaling of weights under the EWMA approach

Determining daily SMA and EWMA VaR

Determining the index value for Historical VaR

Scaling daily VaR

**Duration, Convexity and Asset Liability Management**

Duration & Convexity

Duration

Convexity

Approximate Price Change

**Black Scholes, Derivative Pricing, Binomial Trees**

Black Scholes Formula

Call option price (c)

Put option price (p)

Greeks

Binomial Tree

Probability

Price at node

European Call option

**Calculating Forward Prices and Forward Rates**

Forward Price

Forward price of a security with no income

Forward price of a security with known cash income:

Forward price of a security with known dividend yield:

**More on Forward Rates**

Spot Rates and Forward Rates

Relationship between spot rates and forward rates-1

Relationship between spot rates and forward rates-2

Yield to Maturity (YTM)

Forward Rate Agreement (FRA)

Forward Contract

Value of a long forward contract (continuous)

Value of a long forward contract (discrete)

Value of a long forward contract (continuous) which provides a known income

Value of a long forward contract (continuous) which provides a known yield

Value of a forward foreign current contract (continuous)

Forward exchange rates

**Valuation of Interest Rate Swaps and Future Contracts**

Interest Rate Swap

Net Cash Flow

Futures

Stock Index Futures

Futures Contracts on Currencies

Futures Contracts on Commodities

Futures Price for Treasury Bond futures contracts

**Financial Risk, Reward metrics and measures**

Risk Metrics

Holding Period Return

Standard Deviation/ Volatility

Annualized Return

Annualized Volatility

Sharpe Ratio

Beta

Treynor Ratio

Jensen’s Alpha

Correlation coefficient, r

Portfolio Volatility taking into account Correlations

**Black Formula’s, Valuing Interest Rate Caps and Floors**

Black’s Formula

Value of a caplet

Value of a floorlet

Value of a binary call option

Value of a binary call option

## Related posts:

- Online Finance – Pricing Interest Rate Swaps – The valuation course
- Online Finance – Interest Rate Options – Pricing Caps & Floors
- Online Finance – Pricing Cross Currency Swaps
- Online Finance Course – Pricing Interest Rate Swaps – What is a Swap?
- Online Finance – Pricing a Cross Currency Swap – Floating for Floating structure

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