Exotic Derivatives & Option pricing weekend challenge This week exotic option pricing challenge focuses on chooser and compound option pricing using Monte Carlo Simulation in Excel. Hints to the solution will be posted separately within the next 12 hours. Let’s see if you can crack this first before I go ahead and post the solved solution. [...]
The last round of pictures from my morning walks in the Hortpark, Alexandra Arch, Forest Walk neighbourhood. Incase we met before sunrise, I was the indecently dressed guy armed with a camera and a stick. The yellow caterpillar, the wood pecker and the bumble bee in action remain my all time favorites. A [...]
Calculating Conditional Value at Risk (CVaR) or Expected Short fall using Historical returns. Imagine a board meeting where you have just presented your Value at Risk (VaR) analysis and a board member asks a simple question. “So what are we talking about here? What is the expectation? What is the most that we can drop if [...]
The boring risk training course traffic update It has been an uphill and downhill ride for the last two years. We have had many moments to celebrate as well as a handful of frustrating close calls. But this morning as I looked at the analytics I realiz...