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Course: Advanced Topics in Derivative Pricing. Click here to go back.
- 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