Market Analysis Crude Oil Crude oil remained weak during the week with WTI closed at $44.74/BBL and Brent closed at $47.37/BBL on Friday. OPEC monthly out report depicted increase of 0.33 million barrel a day primarily from Nigeria and Libya, which are not part of
Teaching computational finance to ordinary mortals. Time sure flies when you are having fun. It’s been 7 years and change since we first started this project as an experiment. An initial dump of class notes for my students dedicated to teaching computational finance that over
The positive correlation stress test When it comes to stress testing market portfolios one idea has been finding increasing traction with risk management teams. The 100% positive correlation stress test. The concept is simple. We opt for a diversified portfolio because we want to reduce
USD JPY FX options convention. For business school students taking the treasury product exam or preparing for a trading desk interview, the USD JPY pair is particularly troublesome. Here is a list of common errors and challenges side by side with four simple examples for
TARF Hedge effectiveness model. This is our second post in the TARF hedge effectiveness series and in the treasury candidates assessment series case. To catch up with the case please see the original TARF case study that defines the client requirement as well as available
Vanilla options TARF and participating forwards. A case study. There are some common questions that repeatedly get posed in my treasury products class about the variations available within exotic derivative instruments. Are these exotic contracts really needed? Who really benefits from selling these exotic products?