Variance Reduction tools for Monte Carlo Simulation. Monte Carlo simulation techniques are a useful tool in finance for pricing options especially when there are a large number of sources of uncertainty (in modeling terms: state variables) involved. Unlike Black Scholes formula for which closed formed
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