Sales & Trading Interview Guides Series – The understanding option greeks reference resource for dummies A collection of everything we have ever written about understanding Delta, Gamma, Vega, Theta & Rho (the Greeks). To help you prepare for your upcoming Sales & Trading interview at
Treasury Department. The Bank Treasury function The post that follows is a transcript of the Introducing the bank treasury function lecture delivered as part of the Option pricing and risk management course at the SP Jain School of management in Singapore. Figure 1 Understanding derivatives
Risk management and derivative pricing concepts are closely interlinked. As practitioners we come across a wide range of issues that sit at the intersection of both subjects. An integrated skill building exercise that is aimed at professionals who deal with pricing, valuation, risk, policy and reporting issues related to structured fixed income and foreign exchange transactions.
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
A two day introduction to treasury products, pricing, operations and risk for non-treasury resources. The course aims to fill in knowledge gap for teams that interact and interface with treasury and can benefit from an insider’s look at how treasury desks quote, manage and execute
Interest Rate Options Caps and Floors Here is the second course on Advance Interest Rate Products. The perquisite for this course is the first course on pricing interest rate swaps. Interest Rate Swaps (IRS) – Pricing Interest Rate Swaps – The valuation course The second
This road maps focuses on bootstrapping the zero curve and using the zero curve to calculate implied forward interest rates (forward curve). We then used the projected forward rates to price the swap rate for fixed to floating interest rate swap. A separate series of posts build on this material and extend its reach to pricing interest rate caps, interest rate floors, range accrual notes, commodity and equity linked notes.
Pricing Interest Rate Swaps (IRS) Here is the first course on pricing interest rate swaps and cross currency swaps divided into three separate sections that address basics of interest rate swaps, term structure modeling and boot strapping and mark to market and valuation. Pricing Interest
Binomial Trees This course focuses on an alternative method of implementing a two-dimensional binomial tree compared to the traditional method of building a binomial tree presented in most option pricing text books. The alternate approach is based on the techniques documented by Professor Mark Broadie
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