Dynamic Delta Hedging – Calculating Cash PnL (P&L) for a European Call Option Figure 1 Delta Hedge P&L – Trading losses on account of rebalancing We extend the original Dynamic Delta Hedging Monte Carlo Simulation spread sheet in this note. The dynamic hedging spreadsheet for
Long billed Hoopoe or a crowned woodpecker? A well rounded education in Finance includes an awareness of the environment around you. This long billed bird has been prospecting in our office lawn for the last few months. Armed with our Kite catching camera, we took
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
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That’s it. Can no longer call these Finance funnies. Our selection for the last few months and the next few months will remain distincly political as the world focuses on the upcoming US election. And apparrently so does the creative talent in our time zones.
Sales & Trading interview guide – Quantitative topics Its that time of the year again. You have made it through the initial selection rounds but you are worried about the quantitative interview. If you are one of the lucky few, you already have an offer but you
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
Value at Risk (VaR) for Interest Rate Swap (IRS) & Cross Currency Swap (CCS) This post is a continuation of our earlier post that describes the usage of historical simulation for VaR calculation of IRS and CCS (Swaps). In this session we will actually walk
Risk Frameworks & Applications – 2nd Edition – The text book for Risk, Treasury & Derivative pricing courses.
Risk Frameworks & Applications is a text book that I wrote for myself. I had so much fun putting together Reboot (the book we use for teaching Entrepreneurship) that writing a second book on Risk and Derivatives pricing didn’t feel like a mission
Our Social Media portfolio is still a work in progress but what was started by Scheheryar Khan in June is really taking solid shape. This is in addition to our YouTube, Facebook & Linkedin pages. Lots of wrong turns and dead ends but great education