 |
The Hard Right Edge - Capitalism Without Consequences
Posted Dec13, 2007 |
 |
Marked to Myth: Is Gold going to hit US$3,000 per ounce?
Posted Dec 11, 2007 |
 |
What volatility to use for pricing Barrier Options
Posted Dec 6, 2007 |
 |
The Hard Right Edge - Buy the Fear and Sell the Greed
Posted Nov 27, 2007 |
 |
Amortizing Options - buying options when volatility is very high
Posted Nov 26, 2007 |
 |
Interview Test # 10: Option Pricing Applications
Posted Nov 14, 2007 |
 |
Trading Volatility - Strategies to buy and sell volatility of stocks
Posted Nov 11, 2007 |
 |
Interview Test # 9: Quantitative Modelling and Analytics
Posted Nov 07, 2007 |
 |
Citigroup - from Santa Fe, New Mexico to Park Avenue, New York
Posted Oct 31, 2007 |
 |
Asia's Brightest – Talking to Priscilla Ngan in Hong Kong
Posted Oct 23, 2007 |
 |
Relationship between Asset Volatilities and Spread Volatility -II
Posted Oct 20, 2007 |
 |
Relationship between Asset Volatilities and Spread Volatility - I
Posted Oct 16, 2007 |
 |
Volatility, Correlation and the Variance-Covariance Matrix
Posted Oct 10, 2007 |
 |
Interview Test # 8:Job FX Spots, Forwards & Options
Posted Oct 02, 2007 |
 |
Interview Test # 7:Job FX Spots, Forwards & Options
Posted Oct 01, 2007 |
 |
The Hour of Minsky - An Interview with Saul Eslake, Chief Economist, ANZ Group
Posted Sep 23, 2007 |
 |
Market for Lemons and Credit
Posted Sep 16, 2007 |
 |
The Hour of Minsky - An Interview with Dr Norbert Walter, Chief Economist, Deutsche Bank Group
Posted Sep 15, 2007 |
 |
As Stocks fall, why do volatilities increase?
Posted Sep 07, 2007 |
 |
Pay Later Option - A very simple Structured Product
Posted Sep 05, 2007 |
 |
The Hour of Minsky - Interview with George Magnus, Senior Economic Advisor,
UBS, London
Posted Aug 28, 2007 |
 |
Do Companies and firms live and die like human beings?
Posted Aug 27, 2007 |
 |
Are the banks which lost money recently victims of Negative Skew?
Posted Aug 23, 2007 |
 |
Alpha, Beta and the Linear Regression - Investments 101
Posted Aug 19, 2007 |
 |
Comparing Hedge Fund Performance based on Alpha
Posted Aug 16, 2007 |
 |
Even Sir Isaac Newton lost money in a "bubble" company
Posted Aug 14, 2007 |
 |
Keynes, Minsky and the state of global markets today
Posted Aug 12, 2007 |
 |
Asia's Brightest – Talking to Todd James in Hong Kong
Posted Aug 08, 2007 |
 |
Kondratiev Super-cycles and the very long term view on investments
Posted Aug 04, 2007 |
 |
What is the Monte Carlo Simulation method in Derivatives Pricing?
Posted Aug 2, 2007 |
 |
Marked to market "Wealth Accounts" - the future of Consumer Banking
Posted July 30, 2007 |
 |
Valuation of Assets & Commodities and the Inflation Conundrum
Posted July 27, 2007 |
 |
Decomposition of Structured Product through Pay-Off Diagrams
Posted July 24, 2007 |
 |
Selling (Marketing) Derivatives: A "Product Concept" approach - Part III
Posted July 23, 2007 |
 |
Selling (Marketing) Derivatives: A "Product Concept" approach - Part II
Posted July 17, 2007 |
 |
Selling (Marketing) Derivatives: A "Product Concept" approach - Part I
Posted July 11, 2007 |
 |
Dynamics of Long Dated FX Products - Power Reverse Dual Currency Notes
Posted July 09, 2007 |
 |
Rupee linked FX note - speculating on the currency
Posted July 04, 2007 |
 |
Berle-Means Hypothesis and the Rise of the Super Corporation
Posted June 25, 2007 |
 |
What are dark pools of liquidity and internal crossing networks?
Posted June 20, 2007 |
 |
Buying & Selling Derivatives - The Dentist and the Financial Engineer
Posted June 12, 2007 |
 |
Hedging Error due to Volatility Smile - the first lesson of a trainee Trader
Posted June 11, 2007 |
 |
Power Reverse Dual Currency (PRDC) Structures - Are they Hybrids?
Posted June 4, 2007 |
 |
"Price to Pork" Ratio and Investment Rules
Posted Jun 01, 2007 |
 |
Interview Test # 6:Job Interview of a trainee Trader
Posted May 25, 2007 |
 |
Asia's Brightest – Talking to Robert W.Hogan in Tokyo
Posted May 18, 2007 |
 |
Deconstructing a Capped Bull Note
Posted May 16, 2007 |
 |
Interview Test # 5:Job Interview of a trainee (Equity) Analyst
Posted May 14, 2007 |
 |
Partial Differential Equations in Finance
Posted May 04, 2007 |
 |
Valuation of Perpetual Cash flows
Posted Apr 29, 2007 |
 |
Valuing a company - A perpetual cash flow approach
Posted Apr 25, 2007 |
 |
Interview Test # 4:Job Interview of trainee Treasury Sales Executive
Posted Apr 24, 2007 |
 |
Investing and Gambling- A Taylor Series Problem
Posted Apr 19, 2007 |
 |
Why Futures are priced differently from Forward contracts?
Posted Apr 12, 2007 |
 |
Analyzing Futures and Forwards - A Trainer's agony!
Posted Apr 9, 2007 |
 |
Interview Test # 3:Job Interview of a rates structurer
Posted Apr 07, 2007 |
 |
Probability, Complexity and Emanuel Derman's Blog
Posted Apr 01, 2007 |
 |
The problem of post IPO valuation
Posted Mar 29, 2007 |
 |
Watching disciples of Tom Peters on Bloomberg TV
Posted Mar 27, 2007 |
 |
Interview Test # 2:Job Interview of an Equity Analyst
Posted Mar 23, 2007 |
 |
History of Asset Prices and the Rare Event
Posted Mar 12, 2007 |
 |
Interview Test # 1:Job Interview of an Equity Options Trader
Posted Mar 08, 2007 |
 |
FEAT 29
Posted Mar 05, 2007 |
 |
Asia’s Brightest – Talking to Anirvan Mukherjee in Tokyo
Posted Mar 06, 2007 |
 |
Leveraged Bet - a negative skew trade
Posted Mar 02, 2007 |
 |
Cleaning a Correlation Matrix of Asset Returns - Spreadsheet Example
Posted Feb 24, 2007 |
 |
Principal Components Analysis and the Cholesky Decomposition
Posted Feb 15, 2007 |
 |
Living with the Higher Moments of the Normal Distribution
Posted Feb 12, 2007 |
 |
A world with only two moments of the Normal distribution
Posted Feb 4, 2007 |
 |
Monte Carlo Integration on Excel spreadsheet
Posted Jan 28, 2007 |
 |
Shareholder Activists - are they Gadflies or Saviors?
Posted Jan 25, 2007 |
 |
Asia’s Brightest – Talking to Harold Kim in Hong Kong
Posted Jan 20, 2007 |
 |
Going for the "big step" correlation in assets
Posted Jan 16, 2007 |
 |
The "Forgotten Models" of Warrant Pricing
Posted Jan 13, 2006 |
 |
FEAT 28
Posted Jan 08, 2007 |
 |
A "Hedge Fund Hotel" - its UBS again!
Posted Jan 03, 2007 |
 |
Debt or Equity Funding - Shall we ask M & M?
Posted Jan 02, 2006 |
 |
Funding through Debt or Equity - a corporate dilemma!
Posted Dec 24, 2006 |
 |
Scientist and a Derivatives Structurer - Emile du Chatelet
Posted Dec 20, 2006 |
 |
Analyzing the Style of Fund Managers - A Quantitative Approach
Posted Dec 19, 2006 |
 |
CBOE’s Cap Calls
Posted Dec18, 2006 |
 |
Difference between Equity and Options Analysis
Posted Dec 13, 2006 |
 |
Valuation of a Gold Mine - Case Study
Posted Dec11, 2006 |
 |
Do Equities have Duration?
Posted Dec 02, 2006 |
 |
Talking to Asia’s Brightest – 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 |
 |
Leland’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 |