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Tag Archives: Derivatives


Treasury Department.

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

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Finance Training Course – Course Outline – Risk and Derivative Pricing Crash Course

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.

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Forwards and Swaps: Interest Rates Models: Bootstrapping the Zero curve and Implied Forward curve

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.

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Options, Forwards, Futures: Pricing Interest Rate Swaps

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

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Options Pricing Training: Binomial Trees

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

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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

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