Goldman Interview Q. What is the Third Moment?
5 mins read What is the third moment? A Goldman Interview Question.
TARF PSR PFE calculation model
5 mins read Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) calculates the counterparty credit risk for derivative transactions. PSR calculates counterparty default
Excel convergence hacks for TARF pricing models
3 mins read Convergence between closed form and simulation model prices is enhanced with variance reduction procedures. It encourages model extension to complex
TARF Pricing model guide now live
2 mins read Our new eight part series on TARF Pricing model guide is now live. The objective of the pricing model guide
EXCEL Target Redemption Forward (TARF) Pricing Models – Black Scholes
4 mins read Our alternate EXCEL TARF Pricing model uses the Black Scholes close form solution to find a price. The TARF contract
Target Redemption Forward (TARF) Pricing Models in Excel
5 mins read Our two part series on TARF pricing models begins where we stopped with our analysis on TARF hedge effectiveness. We