Derivatives Pricing – All Posts

  1. Goldman Interview Q. What is the Third Moment?
  2. TARF PSR PFE calculation model
  3. Excel convergence hacks for TARF pricing models
  4. TARF Pricing model guide now live
  5. EXCEL Target Redemption Forward (TARF) Pricing Models – Black Scholes
  6. Target Redemption Forward (TARF) Pricing Models in Excel
  7. The case for participating forwards
  8. FX Currency Options – The USD JPY FX options convention
  9. TARF hedge effectiveness model
  10. Hedge effectiveness of vanilla options, TARF & participating forwards
  11. Dual Currency Deposits (DCD)
  12. CMO CDO & CDS – Big Short Case Study
  13. Bootstrapping the Zero Curve and Forward Rates
  14. Understanding Option Greeks – Introducing Gamma
  15. Understanding Alpha or Gamma Rent
  16. Option Volatility Greeks-Vega,Volga & Vanna
  17. Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
  18. Shadow Gamma Calculation
  19. Five steps to hedging Vega and Gamma exposure in EXCEL
  20. Hedging Vega and Gamma exposure. Lesson Five
  21. Hedging higher order Greeks – Hedging a book of short call options
  22. Hedging higher order Greeks – Solver Solution review
  23. Option Greeks – Building the Excel Solver model for hedging Greeks
  24. Option Greeks. Using Solver to hedge Vega Gamma exposure
  25. Forward Implied Volatility in EXCEL
  26. Implied and Local Volatility Surfaces in Excel – Final steps
  27. Creating the volatility surface dataset using implied volatilities
  28. The difference between implied and local volatility – volatility surfaces
  29. Volatility surface, deep out of the money options and lottery tickets
  30. Volatility surfaces, implied volatilities, smiles and skews
  31. Building implied and local volatility surfaces in Excel tutorial – coming soon
  32. A rose by any name…
  33. iPad iBook teaches how to build financial simulators in Excel
  34. Risk books. Help us find the right name for the new book on risk.
  35. The new textbook on risk
  36. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  37. Option pricing – Exotic Options – Pricing Asian, Look backs, Barriers, Chooser Options using simulators
  38. Option Pricing using Monte Carlo Simulation – Pricing Exotic & Vanilla Options in Excel – Introduction
  39. Exotic derivatives & Options pricing – Pricing Chooser and Compound Options – Weekend Challenge
  40. Conditional Value at Risk (CVaR)
  41. Monte Carlo Simulation – How to reference
  42. Monte Carlo simulation methods – Tweaking the distribution
  43. 16 free Risk Treasury Option pricing lessons
  44. War on Option Greeks – The weekend option pricing risk challenge
  45. The Option Pricing models 5 nights crash course
  46. Option Greeks – Theta time premiums for call options
  47. Sales & Trading Interviews – Understanding Greeks & Delta Hedging – Now in Stores
  48. Delta Hedging applications for Rho, Rebalancing frequency & Implied Volatility
  49. Hedging Gamma & Vega – The higher order Greeks hedge optimization Excel spreadsheet – Part I
  50. Sales & Trading Technical Interviews – Greeks behaving badly – Put Options
  51. Dynamic Delta Hedging – Calculating Cash PnL (Profit & Loss) for a Call Option writer
  52. Dynamic Delta Hedging – Extending the Monte Carlo simulation model to Put contracts
  53. Value at Risk (VaR) for Interest Rate Swap (IRS) & Cross Currency Swap (CCS)
  54. Value at Risk for Swaps
  55. Jet Fuel Aviation Hedge Case Study – Hedge effectiveness calculation
  56. Understanding Delta Hedging options using Monte Carlo Simulation in Excel
  57. OIS swap pricing valuation – OIS vs LIBOR
  58. Price & MTM IRS – Exam Solution
  59. Bootstrap Forward Curve – Exam Solution
  60. Pricing Interest Rate Swaps – Exam
  61. Option Greeks – Delta, Gamma, Vega, Theta & Rho
  62. Advance Risk Management Models – Workshop & Training reference page
  63. Sales & Trading Interview Guide: Understanding Greeks: Option Delta and Gamma
  64. Sales and Trading Interview Guide: Understanding Greeks – Preface
  65. Treasury Department.
  66. The LIBOR Crisis Barclays Bank.
  67. Variance Reduction: Quasi Monte Carlo & Antithetic technique
  68. Pricing Ladder Options using a Monte Carlo Simulator
  69. How to calculate the value of a forward contract in EXCEL
  70. How to calculate the values of Forward Rate Agreements & Forward Foreign Exchange Rates
  71. How to calculate the Forward Price of a Security in EXCEL
  72. Derivatives Crash Course for Dummies: What is wrong with the payoff profile of the synthetic forward?
  73. Treasury Training – E-learning course: Introduction to Treasury selling and the TMU function
  74. Monte Carlo Simulation – Simulating returns by replacing the normal distribution with historical returns
  75. Simulation tools. Variance reduction techniques for option pricing models
  76. Difference between N(d1) and N(d2)
  77. Interest Rate Options: Pricing Caps and Floors
  78. Forwards and Swaps: Interest Rates Models: Bootstrapping the Zero curve and Implied Forward curve
  79. Options, Forwards, Futures: Pricing Interest Rate Swaps
  80. Options Pricing Training: Binomial Trees
  81. Options and Futures Training: Basic Options Trading Strategies
  82. Derivatives Training: Options Pricing and Products reference
  83. Options and Derivatives Training: Introduction to Derivatives
  84. Options pricing using Binomial trees – Building an efficient option pricing spreadsheet in EXCEL
  85. Options Pricing – Binomial Trees – Pricing Sudden death Options – Down and in call options
  86. Options pricing – Pricing Knockout exotic options – Sudden Death Options – Down and out call options
  87. Options pricing–Exotics Options–Pricing a Capped Call–Excel implementation – Binomial trees
  88. Pricing Put Options using Binomial Trees Spreadsheet method
  89. Options Pricing – Pricing American Options – Calls and Puts – Spreadsheet implementation – Binomial trees
  90. Options Pricing – Pricing Call Options – Option pricing spreadsheet – Binomial trees
  91. Options pricing – Using binomial trees to price options in a spreadsheet
  92. Derivative Pricing using Binomial Trees
  93. The Derivative Middle Office: Middle Office Derivatives Business Regulations
  94. Monte Carlo Simulations EXCEL
  95. Online Finance – Interest Rate Swaps – Terminology, concepts, glossary
  96. Credit Derivatives – core concepts and glossary
  97. Online Finance – Option Terminology Glossary – Greeks, exotics and volatility
  98. Forward price formula calculation reference
  99. Derivative Pricing, Risk Management Pricing Equation Glossary
  100. Derivative Pricing – Interest Rate Swaps and Futures – Calculation reference
  101. Black’s Formula: Pricing Interest Rate Caps and Floors – Calculation reference
  102. Derivative Pricing, Black Scholes Equation, Binomial Trees – Calculation reference
  103. Financial Engineering and Risk Reference – Pricing and valuation formula
  104. Online Finance – Interest Rate Options – Caps & Floors – Advance topics
  105. Interest Rate Cap Pricing & Valuing Floors
  106. Online Finance – Pricing a Cross Currency Swap – Amortizing and Indexed Term sheets
  107. Online Finance – Pricing a Cross Currency Swap – Floating for Floating structure
  108. Pricing Cross Currency Swaps
  109. Pricing Interest Rate Swaps – Pricing Basis Swap
  110. Pricing an Interest Rate Swap – Calculating the MTM of the Swap
  111. Pricing Interest Rate Swaps – Calculating the forward curve
  112. Bootstrapping bonds to derive the zero curve
  113. Pricing Interest Rate Swaps – Fixing the term structure
  114. Pricing Interest Rate Swaps – Process
  115. Pricing Interest Rate Swaps – What is a Swap?
  116. Pricing Interest Rate Swaps – More terminology
  117. Pricing Interest Rate Swaps – Terminology and Notation
  118. Trading options and derivatives – Strategy review
  119. Credit Derivatives – Introduction to product families
  120. Structured Products: Basic Products, sample term sheet and pricing
  121. Master Class: Derivative Products: Swaps
  122. Master Class: Derivative Products: Futures
  123. Derivative Products: Forwards
  124. Derivative products – Exotic Options
  125. Master Class: Derivative products: Options on rates
  126. Master Class: Derivative Products: Options on shares, stocks, currencies and equities
  127. Master Class: Derivative Products: Greeks and Binomial Trees
  128. Master Class: Derivative Products: Pricing Basics
  129. Master Class: Derivative Products: Vanilla products
  130. Master Class: Derivative Products: Review
  131. Master Class: Derivatives and Options Crash Course: Course Guide
  132. Master Class: Options and Derivatives Crash Course: Session Five: Synthetics
  133. Payoff profiles for options – Calls and Puts
  134. Payoff profile for Forwards
  135. Master Class: Options and Derivatives Crash Course: Session Two: Forward, Futures and Options
  136. Master Class: Options and derivatives crash course: Session One: Terminology