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Comments Off on Excel convergence hacks for TARF pricing models

Excel convergence hacks for TARF pricing models

Excel convergence hacks for TARF pricing models. Convergence between closed form and simulation model prices is enhanced with variance reduction procedures. It encourages model extension to complex products. For our TARF pricing model in its original form convergence is a challenge. We will try and

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Comments Off on TARF Pricing model guide now live

TARF Pricing model guide now live

TARF Pricing model guide Our new eight part series on TARF Pricing model guide is now live. The objective of the pricing model guide is to introduce both product features and behavior as well as pricing approaches to this common FX structure that can now

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Comments Off on Excel Target Redemption Forward (TARF) Pricing Models – Black Scholes

Excel TARF Pricing Models – Black Scholes approach Our alternate Excel TARF Pricing model uses the Black Scholes close form solution to find a price. The TARF contract described in the product term sheet above is equal to having a series of forward contracts that

The post Excel Target Redemption Forward (TARF) Pricing Models – Black Scholes appeared first on Finance Training Course.

Comments Off on Target Redemption Forward (TARF) Pricing Models in Excel

Target Redemption Forward (TARF) Pricing Models in Excel

TARF Pricing Models Our two part series on TARF pricing models begins where we stopped with our analysis on TARF hedge effectiveness. We cover both vanilla TARF (without any path dependent options) and Knock in Knock out (KIKO) TARF’s in that discussion. In this post

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Comments Off on The case for participating forwards

The case for participating forwards

The case for participating forwards This week we took a deep look at a number of common structured products and their hedge effectiveness. One product stood out in terms of its performance and that was the unconventional participating forward contract. Traditionally when we look at

The post The case for participating forwards appeared first on Finance Training Course.

Comments Off on LNG Natural Gas Market Update – 12th – 16th June 2017

LNG Natural Gas Market Update – 12th – 16th June 2017

Market Analysis Crude Oil Crude oil remained weak during the week with WTI closed at $44.74/BBL and Brent closed at $47.37/BBL on Friday. OPEC monthly out report depicted increase of 0.33 million barrel a day primarily from Nigeria and Libya, which are not part of

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Comments Off on Celebrating 7 years of decoding computational finance.

Celebrating 7 years of decoding computational finance.

Teaching computational finance to ordinary mortals. Time sure flies when you are having fun. It’s been 7 years and change since we first started this project as an experiment. An initial dump of class notes for my students that over time grew into eleven hundred

The post Celebrating 7 years of decoding computational finance. appeared first on Finance Training Course.

Comments Off on Stress testing correlation – The positive correlation stress test

The positive correlation stress test When it comes to stress testing market portfolios one idea has been finding increasing traction with risk management teams.  The 100% positive correlation stress test. The concept is simple. We opt for a diversified portfolio because we want to reduce

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Comments Off on FX Currency Options – The USD JPY FX options convention

FX Currency Options – The USD JPY FX options convention

USD JPY FX options convention. For business school students taking the treasury product exam or preparing for a trading desk interview, the USD JPY pair is particularly troublesome. Here is a list of common errors and challenges side by side with four simple examples for

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Comments Off on TARF hedge effectiveness model

TARF hedge effectiveness model

TARF Hedge effectiveness model. This is our second post in the TARF hedge effectiveness series and in the treasury candidates assessment series case. To catch up with the case please see the original TARF case study that defines the client requirement as well as available

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