Derivatives         8 comments

The second course on derivative products digs a little deeper into products, pricing, sensitivities and product variations over ten easy to read chapters.

 Derivatives         15 comments

This course focuses on an alternative method of implementing a two-dimensional binomial tree compared to the traditional method of building a binomial tree in excel presented in most option pricing text books. The alternate approach is based on the techniques documented by Professor Mark Broadie at Columbia Business School as part of his coursework in Security Pricing and Computational Finance courses at Columbia University and allows us to extend a simple 3 step tree to a 50 – 100 step option pricing tree in a few minutes.

 Derivatives         3 comments

At a introductory level the course introduces forwards, futures and options (calls and puts). We review payoff profiles for the above mentioned derivative products and close the course by synthetically create a forward contract using a call and a put.

 Derivatives         2 comments

In this course we will cover the pricing of caps and floors, accrual swaps, range accrual notes and commodity linked notes.

The reader may like to review the content pertaining to the derivation of the zero curve and forward rate curve in the course “Pricing Interest Rate Swaps – Module I” before starting on this course.

 Derivatives         3 comments

Pricing floating for floating or basis swaps, except that zero curves and forward rates will be derived for both legs of the swap accordingly.