TARF PSR PFE Exposure calculation model
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TARF PSR PFE Exposure calculation model Pre-settlement Risk (PSR) & […]
Excel convergence hacks for TARF pricing models
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Excel convergence hacks for TARF pricing models. Convergence between closed […]
The case for participating forwards
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The case for participating forwards This week we took a […]
FX Currency Options – The USD JPY FX options convention
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USD JPY FX options convention. For business school students taking […]
TARF hedge effectiveness model
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TARF Hedge effectiveness model. This is our second post in […]
Hedge effectiveness of vanilla options, TARF and participating forwards. A case study.
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Vanilla options TARF and participating forwards. A case study. There […]