Example: bachelor of science
A Complete XVA Valuation Framework - iruizconsulting.com
A Complete XVA Valuation Framework Why the \Law of One Price" is dead Ignacio Ruiz January 2015 Version 1.2 Pricing a book of derivatives has become quite a complicated task, even
Tags:
Information
Domain:
Source:
Link to this page:
Documents from same domain
Backtesting Counterparty Risk: How Good is your Model?
www.iruizconsulting.comWORKING PAPER Backtesting should be done at least quarterly using the most recent twelve months of data. This yields approximately 250 daily observations.
Related documents
Goldman, Sachs & Co. Mortgages Fixed Income Research
www.greeradvisors.comGoldman, Sachs & Co. Mortgages Fixed Income Research 8 December 3, 1999 Valuation and Hedging of Inverse IOs In a recent Mortgage Market Comment article
Relative Valuation of U.S. Insurance Companies
www.columbia.eduRelative Valuation of U.S. Insurance Companies+ Doron Nissim* Columbia Business School December 2011 Abstract This study examines the accuracy of relative valuation methods in …
1. Dynamic Hedging - Nassim Nicholas Taleb
www.fooledbyrandomness.comN N Taleb 1. Dynamic Hedging Summary: This chapter introduces the theoretical framework for the analysis of the execution of dynamic hedging. A discussion of the issues related to the application of financial theory to the microstructure of
Options: Valuation and (No) Arbitrage - New York University
people.stern.nyu.eduFoundations of Finance: Options: Valuation and (No) Arbitrage 3 • Notation S, or S0 the value of the stock at time 0. C, or C0 the value of a call option with exercise price X and expiration date T P or P0 the value of a put option with exercise price X and expiration date T
Optimal Delta Hedging for Options - University of Toronto
www-2.rotman.utoronto.ca2 Optimal Delta Hedging for Options I. Introduction The textbook approach to managing the risk in a portfolio of options involves specifying a
Y.K. Chan Hedging the Volatility Skew (212) 816-8337
www.greeradvisors.comFebruary 23, 2001 Bond Market Roundup: Strategy 25 Hedging the Volatility Skew Among the risk factors that determine mortgage prices are the quoted volatilities of options on swaps.