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Курс: Advanced Topics in Derivative Pricing. Чтобы вернуться, нажмите
здесь
.
Review of the Binomial Model for Option Pricing
The Black-Scholes Model
The Greeks: Delta
The Greeks: Gamma
The Greeks: Vega
The Greeks: Theta
Risk-Management of Derivatives Portfolios: Greeks Approach
Risk-Management of Derivatives Portfolios: Scenario Analysis
Delta-Hedging
Beyond Black-Scholes: Implied Volatility
Beyond Black-Scholes: Volatility Surface
The Volatility Surface in Action
Why is There a Skew?
The Leverage Effect
What the Volatility Surface Tells Us
Deriving the Marginal Risk-Neutral Distribution Using Volatility Surface
Pricing Derivatives Using the Volatility Surface
Example: Digital Option Pricing
Pricing a Range Accrual
Beyond the Volatility Surface and Black-Scholes 1
Beyond the Volatility Surface and Black-Scholes 2
Structured Credit: CDOs and Beyond
The Gaussian Copula Model
Computing the Portfolio Loss Distribution
1-Period CDO Model: Part I
1-Period CDO Model: Part II
Observations from the 1-Period CDO Model
The Mechanics of a “Synthetic” CDO Tranche
Fair Value of Premium & Default Leg
Fair Value of CDO Tranche
Cash and Synthetic CDOs
Pricing and Risk Management of CDO Portfolios
Challenges in Risk Management of Structured Credit Portfolios
A Brief Aside on Copulas
CDO-Squared's and Beyond
Real Options
Valuation of Natural Gas and Electricity Related Options 1
Valuation of Natural Gas and Electricity Related Options 2
Real Options in Excel