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 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
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
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
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