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Financial Markets Derivatives CFA FRM

Financial Markets Derivatives CFA FRM. By Shivgan Joshi http://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.

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Financial Markets Derivatives CFA FRM

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  1. Financial Markets Derivatives CFA FRM By Shivgan Joshi http://stockcreditfinancecfa.blogspot.com/

  2. Content • Maths in Derivatives • Pricing Greeks • Pricing • Swaps

  3. Weiner Process and Ito’s Lemma

  4. Stochastic Calculus and derivatives

  5. Option Pricing • Indices • Currencies • Futures

  6. Greeks • Properties of Delta, Gamma, Vega and Rho for various option strategies • Math is optional

  7. Hedging using Greeks • Delta Neutral • Gamma neutral • Sell or buy options

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

  9. Partial Differentiation

  10. Implied Volatility

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

  12. Put call parity

  13. Valuation of interest rate Swap • Done at the session for fixed and variable cost

  14. Video 1 Interest rate Swap

  15. References

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