Financial Markets Derivatives CFA FRM

By Shivgan Joshihttp://stockcreditfinancecfa.blogspot.com/

Content

• Maths in Derivatives• Pricing Greeks• Pricing• Swaps

Weiner Process and Ito’s Lemma

Stochastic Calculus and derivatives

Option Pricing

• Indices • Currencies• Futures

Greeks

• Properties of Delta, Gamma, Vega and Rho for various option strategies

• Math is optional

Hedging using Greeks

• Delta Neutral• Gamma neutral• Sell or buy options

Derivative Pricing

• It is all about pricing of options using various methods is what forms our main motivation

Partial Differentiation

Implied Volatility

Hull white model

http://en.wikipedia.org/wiki/Hull%E2%80%93White_model

Put call parity

Valuation of interest rate Swap

• Done at the session for fixed and variable cost

Video 1 Interest rate Swap

References