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 [...]
Dynamic Delta Hedging – Monte Carlo Simulation in Excel for hedging European put contracts
In our previous post on Dynamic Delta Hedging for European Call Options we built a simple simulation in model in Excel that simulated an underlying price series and a step by step trace of a Dynamic Delta Hedging simulation for a call [...]
Building a Monte Carlo Simulation model for Delta Hedging European Options
While it is useful to get comfortable with the concept of Delta Hedging, most academic finance specialization programs provide cursory treatment of option price sensitivities and Greeks. Delta hedging as a concept is covered within the foundation of Black Scholes pricing at a theoretical level [...]
Jawwad Farid
FRM training lecture. MBA FRM Course, SP Jain Dubai, June 2012.
This is the actual transcript from the Shortfall session of my Financial Risk Management (FRM) course run at SP Jain, Dubai in June 2012. The language and tone is conversational and has been preserved as is. This was a two hour training session…
FRM Training [...]
Jawwad Farid
Aviation Fuel Hedging Case – Shortfall using Monte Carlo Implementation – Day Three updates – Financial Risk Management Course
During our Day Two discussion at the Financial Risk Management Course we introduced the Aviation or Jet Fuel Hedging case study. One of the questions that kept on coming up during our case discussion was the [...]
In the past we have looked at Monte Carlo Simulation:
Computational Finance: Building Monte Carlo (MC) Simulators in Excel
And have briefly touched on methods that may be used to improve the results obtained from this tool. These variance reduction procedures decrease the standard error between the simulated result and the true value as well as converge [...]
The full Monte Carlo Simulation training course is now available for free. Take a quick look see at the three part series that uses Monte Carlo Simulation to show the difference between our two friends from the Black Scholes equation: N(d1) and N(d2).
Brought to you by the fine folks at FinanceTrainingCourse.com
Ladder options are options where the strike is reset whenever the price of the underlying asset reaches certain trigger levels or rungs during the tenor of the option. When the next strike or rung of the ladder option is triggered the profit between the old and new rungs/ strike prices are locked in. The rungs [...]
Simulating Interest rates using CIR and HJM
While we can club equity, commodity and currency simulators in one category, interest rate simulators are a completely different animal. First because there is more than one way of modeling interest rates
Equilibrium models and Arbitrage free models.
An equilibrium model is based on a simplified macro model of interest rate [...]
Linking Monte Carlo Simulation with Binomial Trees and the Black Scholes model
A binomial tree uses the same process to generate a path that the Monte Carlo simulation model uses which is also the same model that the Black Scholes solution integrates over an infinitely small interval. From node zero to the terminal node in a [...]
