Options Quiz # 9 Posted Dec 07, 2006
	Why do Options have Convexity (gamma)? Posted Dec 06, 2006
	Do Equities have Duration? Posted Dec 02, 2006
	Talking to Asia’s Best – An Interview with James de Castro in Hong Kong Posted Nov 22, 2006
	Local Volatility using Jump to Ruin - An option trader’s tale Posted Nov 18, 2006
	The "Curry" Perspective on War Posted Nov 12, 2006
	FEAT 28 Posted Nov 9, 2006
	The Game for the million dollar bonus - continued Posted Nov 7, 2006
	A Game to Reward the Equity Analysts Posted Nov 3, 2006
	Are there any "Widow and Orphan" Stocks these days? Posted Nov 2, 2006
	FE Problem Set 15 Posted Nov 1, 2006
	Is Swaption an Exchange Option? Posted Oct 30, 2006
	Exchange Option - An Interesting Payoff Posted Oct 27, 2006
	Options Quiz # 8 Posted Oct 24, 2006
	Exchange Option - Impact of Correlation Posted Oct 22, 2006
	Option Valuation is Counter-intuitive - Why is that? Posted Oct 13, 2006
	Vanillas and Exotics - Dimensionality and Order Posted Oct 11, 2006
	Hedging the Duration in ALM of a Finance Company Posted Oct 06, 2006
	Lehland’s Formula for Volatility Adjustment Posted Oct 05, 2006
	Using Point Biserial Correlation in Credit Analysis Posted Oct 03, 2006
	Sharpe’s Algorithm in Asset Allocation Posted Oct 01, 2006
	Mathematics for Traders Posted Sep 28, 2006
	Understanding the Delta of an Option – Part I Posted Sep 22, 2006
	Reverse Engineering a Commodity (Crude Oil) Linked Structure Posted Sep 19, 2006
	Complex Issues in Equity Knock-In Structures Posted Sep 15, 2006
	FE Problem Set 14 Posted Sep 13, 2006
	Straddle Options - A New Volatility Product Posted Sep 10, 2006
	Going for the Leverage in Options Posted Sep 07, 2006
	Portfolio Optimization Algorithms and Corner Portfolios Posted Sep 05, 2006
	Sunday Brunch with the Head of Trading (HOT) Posted Sep 02, 2006
	Dollar-Yen "Knock-out" Crisis of 1995 Posted Aug 31, 2006
	Using Series Expansion to Calculate Option Probabilities Posted Aug 30, 2006
	Sudden Birth or Death Options and Market Downturns Posted Aug 28, 2006
	FEAT 27 Posted Aug 26, 2006
	Implied Volatility from Market Jumps: a Trader's Choice Posted Aug 25, 2006
	Exponentials in Finance - A Billionaire's woe Posted Aug 24, 2006
	Reverse Convertibles and GOALs Posted Aug 20, 2006
	Pricing of vanilla Power Reverse Dual Currency (PRDC) Swaps Posted Aug 17, 2006
	FEAT 26 Posted Aug 15, 2006
	Absurd Results in Quantitative Finance Posted Aug 13, 2006
	Two Decades of CPPI Posted Aug 13, 2006
	Pricing Callable Digital Deposits and Bonds Posted Aug 10, 2006
	FE Problem Set 13 Posted Aug 8, 2006
	The High and Low of Asset Prices - Parkinson's Approach Posted Aug 8, 2006
	Measuring Asset Returns using Logarithms Posted Aug 7, 2006
	BJN Approach to Option Pricing Posted Aug 5, 2006
	Out-performance Equity Note on Japanese Stocks Posted Aug 3, 2006
	FEAT 25 Posted Jul 30, 2006
	Principal Protected Composite JPY Note Posted Jul 30, 2006
	FEAT 24 Posted Jul 24, 2006
	Pricing Principal protected JPY Mixed Note Posted Jul 22, 2006
	Interview with John D - How to be a Successful Investment Banker Posted Jul 22, 2006
	Integrating the Discount Factors-A useful Approach Posted Jul 20, 2006
	FE Problem Set 12 Posted Jul 16, 2006
	Pricing the "guarantee" in a guaranteed return equity fund Posted Jul 16, 2006
	Recapitalizing the Balance Sheet with Merton's Model Posted Jul 12, 2006
	Simulating Default Time for Pricing CDOs Posted Jul 10, 2006
	FE Problem Set 11 Posted Jul 05, 2006
	Making Quants out of Monkeys Posted Jul 04, 2006
	Structuring a Yen Indexed Note-For Suckers only! Posted Jun 28, 2006
	Breakdown of Credit Correlation Matrix for a First to Default Basket Posted Jun 25, 2006
	Minimizing Risk in Cash Equity Trades by Algorithmic Model Posted Jun 22, 2006
	FEAT 23 Posted Jun 18, 2006
	You have math in your Portfolio! Posted Jun 17, 2006
	Options with forward setting Strikes (Case Study) Posted Jun 16, 2006
	Why Default Risk behaves like a Put Option? Posted Jun 13, 2006
	FEAT 22 Posted Jun 10, 2006
	Shouting at Nikkei225 Index-An American in Disguise Posted Jun 10, 2006
	Structuring a Floating Rate Note - Financial Engineering 101 Posted Jun 09, 2006
	Accounting for Convertible Bonds-Derivatives Case Study Posted Jun 08, 2006
	The "I" in IBM and the "F" in the FT Posted Jun 07, 2006
	Living with the Gaussian Copula-Devil in the Derivatives Posted Jun 05, 2006
	Return of the Equity Swap? Posted Jun 03, 2006
	Monte Carlo Simulation by Cholesky or PCA?-Part II Posted Jun 03, 2006
	Monte Carlo Simulation by Cholesky or PCA?-Part I Posted Jun 01, 2006
	Volatility and the Irrational Man Posted May 31, 2006
	Binomial Trees vs. Monte Carlo Simulation-Which one is better? Posted May 31, 2006
	Reverse Convertible Notes Posted May 30, 2006
	Structured Equity Certificates on Power Baskets Posted May 30, 2006
	FEAT 21 Posted May 28, 2006
	Binomial Models for the Term Structure of Interest Posted May 24, 2006
	An Analysis of Pools of Residential Mortgages Posted May 24, 2006
	An Anatomy of Bear Markets Posted May 21, 2006
	A Gold Cliquet-Pricing with the Term Structure of Volatility Posted May 21, 2006
	1995-1996: Vanna, Vomma and the Dollar Mark Trades-Part II Posted May 20, 2006
	1995-1996: Vanna, Vomma and the Dollar Mark Trades-Part I Posted May 20, 2006
	Exotic Caps-Proctor & Gamble Swap (1993) Posted May 18, 2006
	A Beginner's Guide to Credit Derivatives Posted May 17, 2006
	Credit Derivatives Handbook 2003 A Guide to Products, Valuation, Strategies and Risks Posted May 16, 2006
	Enron, J.P.Morgan and Offshore Special Purpose Vehicles Posted May 11, 2006
	1997-A Turning Point in the History of Credit Risk Posted May 11, 2006
	J.P.Morgan Guide To Credit Derivatives Posted May 11, 2006
	Collapse of LTCM Posted May 08, 2006
	Beyond VaR: Triangular Risk Decomposition Posted May 08, 2006
	A Tale of Two Indices Posted May 08, 2006
	Broken Hearts and CDOs Posted May 08, 2006
	CDO Pricing Puzzle - Hoping for a "Model Nirvana" Posted May 08, 2006
	A Comparative Analysis of CDO Pricing Models Posted May 08, 2006
	Lecture Notes on Brownian Motion Posted May 03, 2006
	Dynamic models of Investment & Portfolio Insurance: A very Basic Introduction Posted May 03, 2006
	Mark Twain’s Cat and Portfolio Insurance Posted Apr 30, 2006
	The Boys Guide to Pricing and Hedging Posted Apr 26, 2006
	The Zero Set and Arcsine Law of Brownian Motion Posted Apr 26, 2006
	Risk Neutral Pricing of Derivatives Posted Apr 26, 2006
	Volatility Smile Posted Apr 26, 2006
	What is Portfolio Engineering? Posted Apr 26, 2006
	An Overview of Barrier Options Posted Apr 24, 2006
	Reconstructing Volatility Posted Apr 24, 2006
	Volatility & Correlation Forecasting Posted Apr 24, 2006
	Volatility & Correlation Clustering Posted Apr 24, 2006
	Regimes of Volatility Posted Apr 22, 2006
	Enhanced Numerical Methods with for Options with Barriers Posted Apr 22, 2006
	Japanese Reset Convertible Bonds Posted Apr 21, 2006
	Where Betas are All Zeros and the Excess Returns are All Above Average Posted Apr 21, 2006
	Trading Volatility as an Asset Class Posted Apr 21, 2006
	FE Problem Set 10 Posted Apr 14, 2006
	Hedging Exotic Options in Stochastic Volatility and Jump Diffusion Models Posted Apr 14, 2006
	History of Volatility Swap Posted Apr 13, 2006
	Rational Pricing of Options on Realized Volatility Posted Apr 12, 2006
	Knock-out Discount Accumulation ELI Posted Apr 12, 2006
	The Volatility Surface Posted Apr 12, 2006
	Distribution of Defaults in a Credit Basket: An Interesting Special Case Posted Apr 09, 2006
	Introduction to Exotic Derivative Products-A quick rundown Posted Apr 09, 2006
	Incorporating Equity Derivatives into CreditGrades™ Model Posted Apr 09, 2006
	Adaptations of Monte Carlo Simulation Techniques to American Option Pricing Posted Apr 09, 2006
	A Decade of VaR Posted Apr 05, 2006
	Arc Sine Law-A Trader's Dilemma Posted Apr 04, 2006
	Survey of Exotic Options- Payoff Functions Posted Apr 01, 2006
	Pricing Parisian Options Posted Mar 29, 2006
	Pricing Parisian Type Options Posted Mar 29, 2006
	Pricing Algorithms for Options with Exotic Path Dependence Posted Mar 29, 2006
	Pricing and Hedging Double Barrier Options: A Probabilistic Approach Posted Mar 29, 2006
	Valuing Defaultable Bonds: an excursion time approach Posted Mar 29, 2006
	Ensuring Efficient Hedging of Barrier Options Posted Mar 29, 2006
	Exotic Options in General exponential Levy models Posted Mar 29, 2006
	A Finite Difference Method for Valuation of Variance Swaps Posted Mar 29, 2006
	Valuing European, Barrier and Lookback Options using Finite Element Method and Duality Techniques Posted Mar 29, 2006
	On Cumulative Parisian Option Posted Mar 29, 2006
	Hedging with Options Posted Mar 29, 2006
	Golden Ratios in the FX Markets Posted Mar 28, 2006
	FEAT 20 Posted Mar 26, 2006
	What is "Skew"? Posted Mar 23, 2006
	Trading Range Warrants on BSE Sensex 30* Posted Mar 22, 2006
	The Binomial Option Pricing Formula Posted Mar 21, 2006
	How Risky is a Stock?-Look at the Dividend Yield Posted Mar 21, 2006
	FE Problem Set 9 Posted Mar 20, 2006
	Good and Bad Properties of Kelly Criterion Posted Mar 16, 2006
	Heston’s Stochastic Volatility Model Implementation, Calibration and Some Extensions Posted Mar 16, 2006
	10 Year JPY Callable Reverse Floater Note Posted Mar 15, 2006
	September 11, Berkeley and Two Very Bright Guys Posted Mar 14, 2006
	The Evolution of Portfolio Insurance Posted Mar 14, 2006
	Volatility Trading Using Vanilla Options Posted Mar 14, 2006
	FEAT 19 Posted Mar 13, 2006
	Interest Rates and Newton’s Law of Cooling Posted Mar 11, 2006
	Interest Rate as a Call Option Posted Mar 06, 2006
	FE Problem Set 8 Posted Mar 05, 2006
	FE Problem Set 7 Posted Mar 02, 2006
	Volatility as an Inverse Problem – A Very Simple Explanation Posted Feb 24, 2006
	Greeks and the Art of BS Posted Feb 22, 2006
	FEAT 18 Posted Feb 19, 2006
	Executive Bonus as a Log Contract Posted Feb 17, 2006
	Derivatives Quiz # 1 Posted Feb 12, 2006
	FEAT 17 Posted Feb 12, 2006
	FEAT 16 Posted Feb 06, 2006
	FEAT 15 Posted Feb 01, 2006
	FEAT 14 Posted Jan 29, 2006
	The Start of the Venture Era Posted Jan 24, 2006
	FE Problem Set 6 Posted Jan 24, 2006
	FEAT 13 Posted Jan 16, 2005
	FEAT 12 Posted Jan 16, 2006
	Quiz on Brownian Motion Posted Jan 10, 2006
	FEAT 11 Posted Jan 10, 2006
	Quiz on Portfolio Engineering Posted Jan 01, 2006
	Quiz on Volatility & Correlation Posted Dec 30, 2005
	Imagine A Year that never Ends Posted Dec 29, 2005
	FEAT 10 Posted Dec 26, 2005
	FEAT 9 Posted Dec 23, 2005
	FEAT 8 Posted Dec 20, 2005
	FEAT 7 Posted Dec 20, 2005
	Pricing a Bull and Bear Note Posted Dec 19, 2005
	FEAT 6 Posted Dec 14, 2005
	FEAT 5 Posted Dec 13, 2005
	Gold Note-III Posted Dec 08, 2005
	USD Ten Asset Basket Posted Dec 06, 2005
	Gold Note-II Posted Dec 05, 2005
	Gold Note-I Posted Dec 01, 2005
	FEAT 4 Posted Dec 01, 2005
	Accumulator Posted Nov 28, 2005
	FEAT 3 Posted Nov 25, 2005
	FEAT 2 Posted Nov 24, 2005
	FEAT 1 Posted Nov 22, 2005
	FE Problem Set 5 Posted Nov 17, 2005
	FE Problem Set 4 Posted Nov 15, 2005
	FE Problem Set 3 Posted Nov 10, 2005
	FE Problem Set 2 Posted Nov 03, 2005
	FE Problem Set 1 Posted Oct 10, 2005
	Tactical Asset Allocation Strategy - A Very Simple Approach Posted Oct 25, 2005
	Estimating Implied Volatility on back of an envelope Posted Oct 21, 2005
	Why so much fuss about Taylor Series Expansion? Posted Oct 20, 2005
	Volatility Insensitivity Posted Oct 17, 2005
	Bankers Trust American style Installment Put Warrants Posted Oct 17, 2005
	Hedging Complex Barrier Options Posted Sep 28, 2005
	Modelling Coupulas - An Overview Posted Sep 26, 2005
	Clayton Copula and Mixture Decomposition Posted Sep 26, 2005
	Pricing Pension Fund Guarantees using Copula Approach Posted Sep 26, 2005
	Copulas and Stochastic Processes Posted Sep 26, 2005
	Remarks on Pricing Correlation Product Posted Sep 26, 2005
	A Term Structure Model for CDO Posted Sep 26, 2005
	Interest Rate Dynamics and the Pricing of Contingent Claims: A Review of the Models and Proposals Posted Sep 23, 2005
	The Relative Valuation of Caps and Swaptions : Theory and Empirical Evidence Posted Sep 23, 2005
	Hot Notes - Puttable-Callable Reset Bonds – A Quack Deal Posted Sep 23, 2005
	Case Analyses- Shorting Synthetic Bond Forward Posted Sep 22, 2005
	Volatily Today- Estimating long term volatility regimes with Markov chains Posted Sep 22, 2005
	Does It Matter? We think So. A Harvard Hero Posted Sep 21, 2005
	Portfolio Engineering - Trading of Stocks using Kelly Criterion Posted Sep 15, 2005
	Case Analyses - Market Risk Cases - Mapping Callable Bonds for VaR Posted Sep 13, 2005
	The Stacks - Credit Risk Management – Perspectives on Market Risk: Insights from an Industry Veteran Posted Sep 13, 2005
	The Stacks - Credit Risk Management – Structured Credit: A View from the Inside Posted Sep 13, 2005
	The Stacks - Credit Risk Management – Exploring the Intricacies of Credit Risk Posted Sep 13, 2005
	The Stacks - Credit Risk Management – Investment Risk: A View from the Buy Side Posted Sep 13, 2005
	The Stacks - Credit Risk Management – The History of Financial Risk Management: A (Mostly) Personal View Posted Sep 13, 2005
	The Stacks - Technical Papers – Alternative Large Risks Hedging Strategies for Options Posted Sep 13, 2005
	The Stacks - Technical Papers – Black-Scholes Equation in Laplace Transform Domain Posted Sep 13, 2005
	Does It Matter? - Joe Granville – A Page from the Past Posted Sep 13, 2005
	Portfolio Engineering - Creating Synthetic FX Forward Contracts Posted Sep 08, 2005
	Volatility Today - Thirty Five Years of Volatility Posted Sep 07, 2005
	Simply Complex - Derivatives, Concepts & Foundations - Looking for Gamma Posted Sep 06, 2005
	Quants In The Know - Black-Scholes in English Posted Sep 05, 2005
	The Stacks - Exotic Options Research - A General Framework for Evaluating Executive Stock Options Posted Sep 05, 2005
	The Stacks - Exotic Options Research - American Options: Symmetry Properties Posted Sep 05, 2005
	The Stacks - Exotic Options Research - The Performance of Analytical Approximations for the Computation of Asian Quanto Basket Option Prices Posted Sep 05, 2005
	The Stacks - Exotic Options Research - Numeraire-invariant Option Pricing and American, Bermudan and Trigger Stream Rollover Posted Sep 05, 2005