Vanilla options TARF and participating forwards. A case study. There are some common questions that repeatedly get posed in my treasury products class about the variations available within exotic derivative instruments. Are these exotic contracts really needed? Who really benefits from selling these exotic products?
Volatility surfaces – Deep out of money options and lottery tickets. A deep out of money option is like a lottery ticket. If you used the at the money estimate of implied volatility to hedge it, you would be in for a rude shock when
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
Risk Models, Option Pricing & Bank Regulation training for practitioners A typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on
Option Greeks. Dissecting Delta, Gamma, Vega, Theta & Rho. It doesn’t matter if you took the FRM, CFA, PRMIA, CERA, SOA, CAS or the FIA investment / risk management exam this November/December. There was one section in the curriculum that gave you pause, occasionally a
Option pricing crash course for dummies I am often asked if there is a suggested sequence that I would recommend to finance newbie(s) when it comes to picking up risk, derivative pricing & valuation concepts in a rush. When I teach the Quant evening crash