Sales & Trading Interview Guides Series – The understanding option greeks reference resource for dummies
A collection of everything we have ever written about understanding Delta, Gamma, Vega, Theta & Rho (the Greeks). To help you prepare for your upcoming Sales & Trading interview at the Sales & Trading desk.
Understanding Option Greeks – Relevant Sales & [...]
Jawwad Farid
Derivatives & Option Pricing MBA Workshop
Welcome to our collection of session transcripts from the course “Understanding Derivatives and Option pricing” taught at the SP Jain campus in Dubai in July 2012. The course faculty was Jawwad Ahmed Farid.
Figure 1 Understanding derivatives and options pricing – primary themes in the training workshop
Derivatives & Options Pricing [...]
Monte Carlo simulation techniques are a useful tool in finance for pricing options especially when there are a large number of sources of uncertainty (in modeling terms: state variables) involved. Unlike Black Scholes formula for which closed formed solutions usually do not exist when there are three or more state variables or numerical methods like [...]
Risk management and derivative pricing concepts are closely interlinked. As practitioners we come across a wide range of issues that sit at the intersection of both subjects. An integrated skill building exercise that is aimed at professionals who deal with pricing, valuation, risk, policy and reporting issues related to structured fixed income and foreign exchange transactions.
1. COURSE OBJECTIVES
At the end of this workshop the participants will be able to:
Construct the par, zero coupon and forward curve using market data
Price Interest Rate Swaps and Forward Rate Agreements using the forward curve
Price Interest Rate Caps, Floors, Inverse Floaters & Range Floaters using the forward curve
Review of credit derivatives, buy and sell side [...]
A two day introduction to treasury products, pricing, operations and risk for non-treasury resources. The course aims to fill in knowledge gap for teams that interact and interface with treasury and can benefit from an insider’s look at how treasury desks quote, manage and execute fixed income, foreign exchange and capital market transactions.
1. COURSE OBJECTIVES
At [...]
Interest Rate Options Caps and Floors
Here is the second course on Advance Interest Rate Products. The perquisite for this course is the first course on pricing interest rate swaps.
Interest Rate Swaps (IRS) – Pricing Interest Rate Swaps – The valuation course
The second more advance course builds on the foundation laid in the introductory course and [...]
This road maps focuses on bootstrapping the zero curve and using the zero curve to calculate implied forward interest rates (forward curve). We then used the projected forward rates to price the swap rate for fixed to floating interest rate swap. A separate series of posts build on this material and extend its reach to pricing interest rate caps, interest rate floors, range accrual notes, commodity and equity linked notes.
Pricing Interest Rate Swaps (IRS)
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.
Pricing Interest Rate Swaps (IRS) Basics
Forwards and Swaps – Pricing Interest Rate Swaps (IRS) [...]
Binomial Trees
This course focuses on an alternative method of implementing a two-dimensional binomial tree compared to the traditional method of building a binomial tree presented in most option pricing text books. The alternate approach is based on the techniques documented by Professor Mark Broadie at Columbia Business School as part of his coursework in Security [...]
