# Tag Archives: Black Scholes

## Building implied and local volatility surfaces in Excel tutorial – coming soon

Volatility surfaces – everything you ever wanted to know but were afraid to ask. Volatility Surfaces, for an option pricing student, is that dark corner of the room that you don’t want to venture into after seeing a really classy horror movie. For the last

## Monte Carlo Simulation – How to reference

Monte Carlo Simulation – How to reference for financial models. While we have shared a great deal about Simulation Modeling and Analysis on this blog, over the years, I felt it would help to finally have some organization around this topic. The need became more apparent

## MonteCarlo Simulation: A introduction to simulating N(d1) and N(d2) in Excel.

Simulating the difference between N(d1) and N(d2) in Excel. Before you begin there are two Black Scholes background posts that you will find useful in deciphering the logic behind N(d1) and N(d2). The first deals with understanding the difference between the two Black Scholes probabilities.

## Monte Carlo Simulation – Simulating returns by replacing the normal distribution with historical returns

Monte Carlo Simulator Using Historical Returns – Simulating Commodity Prices Our course on Building Monte Carlo Simulators in Excel and related available-for-sale excel examples for Commodities, Currencies and Equities provide the groundwork for this EXCEL model. The model is an extension of the work done

## Black Scholes Model Probabilities. The difference between N(d1) and N(d2)

On the other hand N(d1) will always be greater than N(d2) because in linking it with the contingent receipt of stock in the Black Scholes equation, N(d1) must not only account for the probability of exercise as given by N(d2) but must also account for the fact that exercise or rather receipt of stock on exercise is dependent on future value

## Finance Training Course – Course Outline – Derivative Pricing – Interest Rate products

1. COURSE OBJECTIVES At the end of this workshop the participants will be able to: Construct the par, zero coupon and forward curve using market data Price Interest Rate Swaps and Forward Rate Agreements using the forward curve Price Interest Rate Caps, Floors, Inverse Floaters

## Options and Futures Training: Basic Options Trading Strategies

Basic Options Trading Strategies The training session covers introductory spreads, straddles, strangles, butterflies and ratio spreads primarily used in option trading and trading strategies. Trading options and derivatives – Strategy review The session assumes familiarity with options and derivatives. If you need a quick refresher

## Derivatives Training: Options Pricing and Products reference

Derivatives and Options Pricing, Risk Management and Financial Equation Reference For a complete reference to equations and calculator referred to in our course catalog, please see theDerivative Pricing and Financial Risk Equation Glossary. For topic specific equations, please see the following links: Calculating Value at

## Computational Finance: Simulating Interest Rates using trees and Monte Carlo Simulation

Simulating Interest rates using CIR and HJM While we can club equity, commodity and currency simulators in one category, interest rate simulators are a completely different animal. First because there is more than one way of modeling interest rates Equilibrium models and Arbitrage free models.

## Computational Finance: Linking Monte Carlo Simulation, Binomial Trees and Black Scholes Equation

Linking Monte Carlo Simulation with Binomial Trees and the Black Scholes model A binomial tree uses the same process to generate a path that the Monte Carlo simulation model uses which is also the same model that the Black Scholes solution integrates over an infinitely