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All Derivatives Posts

  1. TARF PSR PFE Exposure calculation model
  2. Excel convergence hacks for TARF pricing models
  3. The case for participating forwards
  4. FX Currency Options – The USD JPY FX options convention
  5. TARF hedge effectiveness model
  6. Hedge effectiveness of vanilla options, TARF and participating forwards. A case study.
  7. Dual Currency Deposits (DCD)
  8. Understanding CMO CDO and CDS. Big Short Case Study – Part III
  9. Bootstrapping the Zero Curve and Forward Rates
  10. Hedging Vega and Gamma exposure. Lesson Five
  11. Option Greeks. Using Solver to hedge Vega Gamma exposure
  12. Implied and Local Volatility Surfaces in Excel – Final steps
  13. Creating the volatility surface dataset using implied volatilities
  14. The difference between implied and local volatility – volatility surfaces
  15. Volatility surface, deep out of the money options and lottery tickets.
  16. Volatility surfaces, implied volatilities, smiles and skews
  17. Building implied and local volatility surfaces in Excel tutorial – coming soon
  18. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  19. Option pricing – Exotic Options – Pricing Asian, Look backs, Barriers, Chooser Options using simulators
  20. Option Pricing using Monte Carlo Simulation – Pricing Exotic & Vanilla Options in Excel – Introduction
  21. Exotic derivatives & Options pricing – Pricing Chooser and Compound Options – Weekend Challenge
  22. 16 free Risk Treasury Option pricing lessons
  23. War on Option Greeks – The weekend option pricing risk challenge
  24. The Option Pricing models 5 nights crash course
  25. Option Greeks – Theta time premiums for call options
  26. Sales & Trading Interviews – Understanding Greeks & Delta Hedging – Now in Stores
  27. Dynamic Delta Hedging – Extending the Monte Carlo simulation model to Put contracts
  28. Jet Fuel Aviation Hedge Case Study – Hedge effectiveness calculation
  29. Understanding Delta Hedging options using Monte Carlo Simulation in Excel
  30. Practice Exam Test Question: Pricing and MTM of Interest Rate Swaps (IRS) – Partial solution
  31. Pricing Interest Rate Swaps – Derivative pricing final exam question for practice exams & test prep
  32. Option Greeks – Delta, Gamma, Vega, Theta & Rho.
  33. Advance Risk Management Models – Workshop & Training reference page
  34. Sales & Trading Interview Guide: Understanding Greeks: Option Delta and Gamma
  35. Sales and Trading Interview Guide: Understanding Greeks – Preface
  36. Treasury Department.
  37. The LIBOR Crisis Barclays Bank.
  38. Variance Reduction: Quasi Monte Carlo & Antithetic technique
  39. Pricing Ladder Options using a Monte Carlo Simulator
  40. Forward lessons: Derivative pricing: How to calculate the value of a forward contract in Excel
  41. Forward Rate Calculations: Forward Rate Agreements and Forward Foreign Exchange Rates
  42. Computational Finance: Basics: Calculating forward prices in Excel – Part I
  43. Derivatives Crash Course for Dummies: What is wrong with the payoff profile of the synthetic forward?
  44. Treasury Training – E-learning course: Introduction to Treasury selling and the TMU function
  45. Black Scholes Model Probabilities. The difference between N(d1) and N(d2)
  46. Options Pricing Training: Interest Rate Options: Pricing Caps and Floors
  47. Forwards and Swaps: Interest Rates Models: Bootstrapping the Zero curve and Implied Forward curve
  48. Options, Forwards, Futures: Pricing Interest Rate Swaps
  49. Options Pricing Training: Binomial Trees
  50. Options and Futures Training: Basic Options Trading Strategies
  51. Derivatives Training: Options Pricing and Products reference
  52. Options and Derivatives Training: Introduction to Derivatives: Options, Futures, Forwards and Swaps
  53. Options pricing using Binomial trees – Building an efficient option pricing spreadsheet in Excel
  54. Options Pricing – Binomial Trees – Pricing Sudden death Options – Down and in call options
  55. Options pricing – Pricing Knockout exotic options – Sudden Death Options – Down and out call options
  56. Options pricing–Exotics Options–Pricing a Capped Call–Excel implementation – Binomial trees
  57. Options Pricing – Pricing Put Options – Option pricing spreadsheet – Binomial trees
  58. Options Pricing – Pricing American Options – Calls and Puts – Spreadsheet implementation – Binomial trees
  59. Options Pricing – Pricing Call Options – Option pricing spreadsheet – Binomial trees
  60. Options pricing – Using binomial trees to price options in a spreadsheet
  61. Derivative Pricing using Binomial Trees
  62. Pricing Interest Rate Swaps – Module II – IRS & CCS
  63. Pricing Interest Rate Swaps – Module I – Term Structures
  64. The Derivative Middle Office: Middle Office Derivatives Business Regulations
  65. Monte Carlo Simulations EXCEL
  66. Online Finance – Interest Rate Swaps – Terminology, concepts, glossary
  67. Credit Derivatives – core concepts and glossary
  68. Online Finance – Option Terminology Glossary – Greeks, exotics and volatility
  69. Derivative Instruments – Terms, concepts, and Glossary, A-Z
  70. Calculating Forward Prices, Forward Rates and Forward Rate Agreements (FRA) – Calculation reference
  71. Derivative Pricing, Risk Management Pricing Equation Glossary
  72. Derivative Pricing – Interest Rate Swaps and Futures – Calculation reference
  73. Black’s Formula: Pricing Interest Rate Caps and Floors – Calculation reference
  74. Derivative Pricing, Black Scholes Equation, Binomial Trees – Calculation reference
  75. Financial Engineering and Risk Reference – Pricing and valuation formula
  76. Online Finance – Interest Rate Options – Caps & Floors – Advance topics
  77. Online Finance – Pricing Interest Rate Swaps – The valuation course
  78. Online Finance – Interest Rate Options – Pricing Caps & Floors
  79. Online Finance – Pricing Interest Rate Options – Cap Floor Parity
  80. Online Finance – Pricing a Cross Currency Swap – Amortizing and Indexed Term sheets
  81. Online Finance – Pricing a Cross Currency Swap – Floating for Floating structure
  82. Online Finance – Pricing Cross Currency Swaps
  83. Online Finance – Pricing Interest Rate Swaps – Pricing Basis Swap
  84. Online Finance – Pricing an Interest Rate Swap – Calculating the MTM of the Swap
  85. Online Finance Course – Pricing Interest Rate Swaps – Calculating the forward curve
  86. Online Finance Course – Pricing Interest Rate Swaps – Calculating the forward curve
  87. Online Finance Course – Pricing Interest Rate Swaps – Calculating the zero curve
  88. Online Finance Course – Pricing Interest Rate Swaps – Fixing the term structure
  89. Online Finance Course – Pricing Interest Rate Swaps – Process
  90. Online Finance Course – Pricing Interest Rate Swaps – What is a Swap?
  91. Online Finance Course – Pricing Interest Rate Swaps – More terminology
  92. Online Finance Course – Pricing Interest Rate Swaps (IRS) – Terminology and Notation
  93. CPE-Course-Trading options and derivatives – Strategy review
  94. Credit Derivatives – Introduction to product families
  95. Structured Products: Basic Products, sample term sheet and pricing
  96. Master Class: Derivative Products: Swaps
  97. Master Class: Derivative Products: Futures
  98. Derivative Products: Forwards
  99. Master Class: Derivative products: Exotic Options
  100. Master Class: Derivative products: Options on rates
  101. Master Class: Derivative Products: Options on shares, stocks, currencies and equities
  102. Master Class: Derivative Products: Greeks and Binomial Trees
  103. Master Class: Derivative Products: Pricing Basics
  104. Master Class: Derivative Products: Vanilla products
  105. Master Class: Derivative Products: Review
  106. Master Class: Derivatives and Options Crash Course: Course Guide
  107. Master Class: Options and Derivatives Crash Course: Session Five: Synthetics
  108. Option Payoff profiles – Calls and Puts
  109. Master Class: Options and Derivatives Crash Course: Session Three: Payoff profiles – Forwards
  110. Master Class: Options and Derivatives Crash Course: Session Two: Forward, Futures and Options
  111. Master Class: Options and derivatives crash course: Session One: Terminology