Risk Models, Option Pricing & Bank Regulation training for practitioners
A typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on product market, applications or pricing, but not all three. These leaves [...]
Option Pricing – Pricing Exotic Options using Monte Carlo simulators
This is our third post in the Exotic Option pricing using Monte Carlo Simulation series. We walk through the minor tweaks required in our Monte Carlo Simulation model to price Asian, Lookback, Barrier & Chooser Options.
Our assumption is that you have been following our prior posts [...]
Option pricing using Monte Carlo Simulation
In our post on Option Pricing using Monte Carlo Simulation, we walk through a simple modeling framework used for pricing vanilla as well as exotic options in Excel. After the framework is introduced we drop a few hints on how to price Asian, Barrier, Ladder & Chooser options using Monte [...]
Exotic Derivatives & Option pricing weekend challenge
This week exotic option pricing challenge focuses on chooser and compound option pricing using Monte Carlo Simulation in Excel. Hints to the solution will be posted separately within the next 12 hours. Let’s see if you can crack this first before I go ahead and post the solved solution. [...]
Option pricing, Risk & Treasury online training course directory
Over the last few years we have posted some interesting training materials cutting across Risk, Treasury & Option pricing education and e-learning themes. This post compiles our best free training courses available on FinanceTrainingCourse.com. Course Topics include:
Black Scholes, Greeks & Option Pricing
Risk & Treasury Management
Liquidity & Stress [...]
War on Option Greeks – Dissecting Delta, Gamma, Vega, Theta & Rho with Excel
It doesn’t matter if you took the FRM, CFA, PRMIA, CERA, SOA, CAS or the FIA investment / risk management exam this November/December. There was one section in the curriculum that gave you pause, occasionally a headache, but more frequently became the [...]
Option pricing crash course for dummies
I am often asked if there is a suggested sequence that I would recommend to finance newbie(s) when it comes to picking up risk, derivative pricing & valuation concepts in a rush. When I teach the Quant evening crash course, I start with basic products and then jump straight into [...]
Option Greeks – Theta – Option Price Sensitivity to time to maturity: call option
This article is closely based on the paper “A closer look at Black–Scholes option thetas – Douglas R. Emery &Weiyu Guo & Tie Su, October 2007″. We use the framework presented in the research paper to look at Theta for European Call [...]
Practice Exam Test Question – Pricing and MTM of Interest Rate Swaps (IRS)
And now for the last and final part of our Practice Exam Test Question series on Pricing Interest Rate Swaps (IRS). In our first post we walked through the process of building a annualized forward curve and then extending it to semiannual rates.
In [...]
Greeks – Option Price Sensitivities – A cheat sheet to Delta, Gamma, Vega, Theta & Rho.
While we have done a few posts earlier about option price sensitivities, here is a quick reference guide for the truly lost and confused. For convenience the reference guide has been broken down into the following sections
Greeks Formula Reference
Greeks – [...]
