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All Derivatives Posts

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