Simulation, Pricing, Delta Hedging & Greeks Master Package – Finance training

Question and Answer

What is A great value?

A great value is saving combination for practitioners and students..

How does A great value saving?

A great value saving combination for practitioners and students.

What is every file?

every file is Includes from our package guides on Monte Carlo Simulation, Option Pricing, Delta Hedging, Interest Rate Simulations & IRS Pricing..

How does every file Includes?

Includes every file from our package guides on Monte Carlo Simulation, Option Pricing, Delta Hedging, Interest Rate Simulations & IRS Pricing.

What is The master package?

The master package is includes 19 EXCEL templates and 8 handy PDF files..

How does The master package includes?

The master package includes 19 EXCEL templates and 8 handy PDF files.

What is A great deal?

A great deal is for customers who wanted to buy the old subscription package that has now been discontinued..

How does A great deal wanted?

A great deal for customers who wanted to buy the old subscription package that has now been discontinued.

What is Here?

Here is are the details of the individual packages that have combined within this master package..

How does Here are?

Here are the details of the individual packages that have combined within this master package.

What is you?

you is If need a component that is not here under the same special pricing, please let us know and we would be happy to creat a custom offer for you..

How does you need?

If you need a component that is not here under the same special pricing, please let us know and we would be happy to creat a custom offer for you.

What is Monte Carlo Simulation?

Monte Carlo Simulation is with Option pricing 1..

How does Monte Carlo Simulation pricing?

Monte Carlo Simulation with Option pricing 1.

What is Derivative Pricing This course?

Derivative Pricing This course is 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..

How does Derivative Pricing This course focuses?

Derivative Pricing 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.

What is It?

It is uses this alternative approach to price European & American calls and put options and Knock out and Knock in (Sudden Death) options..

How does It uses?

It uses this alternative approach to price European & American calls and put options and Knock out and Knock in (Sudden Death) options.

What is 2. Monte Carlo Simulation –?

2. Monte Carlo Simulation – is Models and Applications The “Monte Carlo Simulation – Models and Applications” study guide includes topics on how to build Monte Carlo simulators in EXCEL and use these models to price vanilla and exotic options; how to calculate VaR for futures and options; an alternative approach to the original Monte Carlo simulator using historical returns rather than normally distribution returns and the impact of this approach on VaR numbers; fuel hedging risk management case studies; further applications like simulating interest rate term structures and forecasting the monetary policy rate..

How does 2. Monte Carlo Simulation – includes?

2. Monte Carlo Simulation – Models and Applications The “Monte Carlo Simulation – Models and Applications” study guide includes topics on how to build Monte Carlo simulators in EXCEL and use these models to price vanilla and exotic options; how to calculate VaR for futures and options; an alternative approach to the original Monte Carlo simulator using historical returns rather than normally distribution returns and the impact of this approach on VaR numbers; fuel hedging risk management case studies; further applications like simulating interest rate term structures and forecasting the monetary policy rate.

What is The Monte Carlo Simulation?

The Monte Carlo Simulation is with Option pricing package guide also includes the following EXCEL files: The supporting excel file for the alternate binomial tree methodology for the products mentioned above Option pricing using the Traditional Binomial Tree approach Option pricing using the Black-Scholes option pricing formula An example of how the Ladder call option may be priced using Monte Carlo Simulation in EXCEL (standalone Excel file) Derivative Pricing using Monte Carlo Simulation EXCEL file calculates the option prices for a number of vanilla and exotic options including Asian, Barrier, Lookback & Chooser Options..

How does The Monte Carlo Simulation pricing?

The Monte Carlo Simulation with Option pricing package guide also includes the following EXCEL files: The supporting excel file for the alternate binomial tree methodology for the products mentioned above Option pricing using the Traditional Binomial Tree approach Option pricing using the Black-Scholes option pricing formula An example of how the Ladder call option may be priced using Monte Carlo Simulation in EXCEL (standalone Excel file) Derivative Pricing using Monte Carlo Simulation EXCEL file calculates the option prices for a number of vanilla and exotic options including Asian, Barrier, Lookback & Chooser Options.

What is Rate Simulation?

Rate Simulation is Interest The PDF file covers: Components of interest rate models Features of good models Criteria employed when selecting models Differences between various types of term structure models Estimation and calibration of parameters for, and construction of, the one-factor equilibrium Cox-Ingersoll-Ross (CIR) model Construction and utilization of the one-factor no-arbitrage Black-Derman-Toy (BDT) model Principal Component Analysis (PCA) for the determination of a workable number of components / factors for the Heath, Jarrow, Merton (HJM) model Construction of the multi-factor no-arbitrage Heath-Jarrow-Merton (HJM) model EXCEL files included: Zero Coupon and Forward rate term structures derivation and construction (pre-requisite) Calibration of a CIR Model’s parameters to a historical rates data set Construction of a BDT model Utilization of the results of a BDT model Principal Component Analysis Construction of a HJM 3-factor model Hedging Higher Order Greek The course provides a step by step guide on how to build a hedging model that considers hedging the higher order Greeks of the trader’s position..

How does Rate Simulation Interest?

Interest Rate Simulation The PDF file covers: Components of interest rate models Features of good models Criteria employed when selecting models Differences between various types of term structure models Estimation and calibration of parameters for, and construction of, the one-factor equilibrium Cox-Ingersoll-Ross (CIR) model Construction and utilization of the one-factor no-arbitrage Black-Derman-Toy (BDT) model Principal Component Analysis (PCA) for the determination of a workable number of components / factors for the Heath, Jarrow, Merton (HJM) model Construction of the multi-factor no-arbitrage Heath-Jarrow-Merton (HJM) model EXCEL files included: Zero Coupon and Forward rate term structures derivation and construction (pre-requisite) Calibration of a CIR Model’s parameters to a historical rates data set Construction of a BDT model Utilization of the results of a BDT model Principal Component Analysis Construction of a HJM 3-factor model Hedging Higher Order Greek The course provides a step by step guide on how to build a hedging model that considers hedging the higher order Greeks of the trader’s position.

What is The model?

The model is is EXCEL based and uses the Solver functionality..

How does The model is?

The model is EXCEL based and uses the Solver functionality.

What is The course?

The course is discusses the setting and purpose of the objective function and constraints..

How does The course discusses?

The course discusses the setting and purpose of the objective function and constraints.

What is It?

It is explains the results in light of various objectives including lower cost, minimization of gamma & vega, etc. Two simplistic illustrations, one based on hedging a single short position, the other based on hedging a portfolio of short positions, walk the reader through the various elements of the model..

How does It explains?

It explains the results in light of various objectives including lower cost, minimization of gamma & vega, etc. Two simplistic illustrations, one based on hedging a single short position, the other based on hedging a portfolio of short positions, walk the reader through the various elements of the model.

What is Tweaks?

Tweaks is to the base model are discussed to show how results are impacted when constraints and objectives are changed..

How does Tweaks are discussed?

Tweaks to the base model are discussed to show how results are impacted when constraints and objectives are changed.

What is Constraint redundancy and portfolio allocation limits?

Constraint redundancy and portfolio allocation limits is are also considered..

How does Constraint redundancy and portfolio allocation limits are also?

Constraint redundancy and portfolio allocation limits are also considered.

What is The package?

The package is consists of a PDF course and supporting EXCEL file containing the model..

How does The package consists?

The package consists of a PDF course and supporting EXCEL file containing the model.

What is Volatility Surfaces?

Volatility Surfaces is Constructing in EXCEL A volatility surface plots market consistent volatilities across moneyness (strike prices) and maturity (time to expiry)..

How does Volatility Surfaces Constructing?

Constructing Volatility Surfaces in EXCEL A volatility surface plots market consistent volatilities across moneyness (strike prices) and maturity (time to expiry).

What is the surface market consistent volatilities?

the surface market consistent volatilities is Within are referred to as local volatilities..

How does the surface market consistent volatilities are referred?

Within the surface market consistent volatilities are referred to as local volatilities.

What is volatility?

volatility is Rather than backing out by applying the Black Scholes model in reverse to at the money options, local volatilities use implied volatilities and a one factor Black Scholes model to drive local volatility values across the surface..

How does volatility backing out?

Rather than backing out volatility by applying the Black Scholes model in reverse to at the money options, local volatilities use implied volatilities and a one factor Black Scholes model to drive local volatility values across the surface.

What is Volatility surfaces,?

Volatility surfaces, is like Option Greeks, are among the last topics that get covered in a graduate level course on option pricing..

How does Volatility surfaces, are?

Volatility surfaces, like Option Greeks, are among the last topics that get covered in a graduate level course on option pricing.

What is Most schools and professors?

Most schools and professors is give it a wide berth in undergraduate and graduate level courses since it is based on an advance practitioner level understanding of the subject..

How does Most schools and professors give?

Most schools and professors give it a wide berth in undergraduate and graduate level courses since it is based on an advance practitioner level understanding of the subject.

What is the topic?

the topic is While may get some coverage in a level I course, a level II or level III course is what you need to enroll into to finally build the surface..

How does the topic may get?

While the topic may get some coverage in a level I course, a level II or level III course is what you need to enroll into to finally build the surface.

What is you?

you is If are familiar with Black Scholes equation and pricing models used for pricing European options, calibrating volatility surfaces is one of the tweaks market practitioners use to side step the constant volatility assumption..

How does you are?

If you are familiar with Black Scholes equation and pricing models used for pricing European options, calibrating volatility surfaces is one of the tweaks market practitioners use to side step the constant volatility assumption.

What is The volatility surface package?

The volatility surface package is includes the following: A 30 page PDF guide that shows how to build a volatility surface step by step in EXCEL using Dupire’s formula..

How does The volatility surface package includes?

The volatility surface package includes the following: A 30 page PDF guide that shows how to build a volatility surface step by step in EXCEL using Dupire’s formula.

What is An EXCEL spreadsheet?

An EXCEL spreadsheet is that is used as a simple teaching template by the PDF tutorial above..

How does An EXCEL spreadsheet is used?

An EXCEL spreadsheet that is used as a simple teaching template by the PDF tutorial above.

What is The Excel sheet?

The Excel sheet is shows the implementation of Dupire’s formula as well as the resultant volatility surface..

How does The Excel sheet shows?

The Excel sheet shows the implementation of Dupire’s formula as well as the resultant volatility surface.

What is The sheet?

The sheet is also shows Taleb’s implementation of implied forward volatility using term structure of volatility concepts..

How does The sheet also shows?

The sheet also shows Taleb’s implementation of implied forward volatility using term structure of volatility concepts.

What is Delta Hedging Greeks –?

Delta Hedging Greeks – is EXCEL This product contains 3 EXCEL files..

How does Delta Hedging Greeks – contains?

Delta Hedging Greeks – EXCEL This product contains 3 EXCEL files.

What is 1. Greeks Calculation of the Black Scholes option price?

1. Greeks Calculation of the Black Scholes option price is for a European Call and a European Put option Calculation of Greeks- Delta, Gamma, Vega, Theta & Rho- for a European Call and a European Put option Data table that captures the Black Scholes risk adjusted probabilities and option premium across a series of volatilities Graphical representation of Black Scholes risk adjusted probabilities and option premium against volatilities Data tables that capture the sensitivity of the Greeks against Spot, Strike, Time to maturity, Volatility and the Risk Free Rate respectively Graphical representation of the sensitivities of the various Greeks against Spot, Strike, Time to maturity, volatility and risk free rate respectively 2..

How does 1. Greeks Calculation of the Black Scholes option price captures?

1. Greeks Calculation of the Black Scholes option price for a European Call and a European Put option Calculation of Greeks- Delta, Gamma, Vega, Theta & Rho- for a European Call and a European Put option Data table that captures the Black Scholes risk adjusted probabilities and option premium across a series of volatilities Graphical representation of Black Scholes risk adjusted probabilities and option premium against volatilities Data tables that capture the sensitivity of the Greeks against Spot, Strike, Time to maturity, Volatility and the Risk Free Rate respectively Graphical representation of the sensitivities of the various Greeks against Spot, Strike, Time to maturity, volatility and risk free rate respectively 2.

What is Delta Hedging –?

Delta Hedging – is Call Option Calculation of a 12-step Monte Carlo simulation model that generates the underlying stock price series Calculation of theoretical option values using the Black Scholes call option price formula Calculation of call option deltas at each rebalancing interval Calculation of a replicating portfolio that consists of a long position in Delta times the stock and a short position in the amount borrowed (net of the option premium received at inception) to fund the initial & subsequent incremental purchases Graphical representation of the theoretical option value and the replicating portfolio value over the life of the option Calculation of a tracking error for the difference between the value of the replicating portfolio and the theoretical value of the option Graphical representation of the tracking error across the life of the option Determination of the per period interest and principal portions of the amount borrowed Determination of the Gain (Loss) on sale of portions of the stock Setting up a Cash Accounting P&L that shows cash inflows from option premium received and strike received in the event the option is exercise and cash outflows from interest and principal repayment on the amount borrowed A choice of including of excluding the option premium in determining the amount borrowed at inception..

How does Delta Hedging – step?

Delta Hedging – Call Option Calculation of a 12-step Monte Carlo simulation model that generates the underlying stock price series Calculation of theoretical option values using the Black Scholes call option price formula Calculation of call option deltas at each rebalancing interval Calculation of a replicating portfolio that consists of a long position in Delta times the stock and a short position in the amount borrowed (net of the option premium received at inception) to fund the initial & subsequent incremental purchases Graphical representation of the theoretical option value and the replicating portfolio value over the life of the option Calculation of a tracking error for the difference between the value of the replicating portfolio and the theoretical value of the option Graphical representation of the tracking error across the life of the option Determination of the per period interest and principal portions of the amount borrowed Determination of the Gain (Loss) on sale of portions of the stock Setting up a Cash Accounting P&L that shows cash inflows from option premium received and strike received in the event the option is exercise and cash outflows from interest and principal repayment on the amount borrowed A choice of including of excluding the option premium in determining the amount borrowed at inception.

What is this case?

this case is In the Principal repaid will equal the gain (loss) if the option is not exercised..

How does this case repaid will equal?

In this case the Principal repaid will equal the gain (loss) if the option is not exercised.

What is 100 simulated runs?

100 simulated runs is including a graphical depiction of the results showing the Net P&L, Amount borrowed (principal & interest) and Gain/ Losses; and averages across the 100 runs for each of these items 3..

How does 100 simulated runs including?

100 simulated runs including a graphical depiction of the results showing the Net P&L, Amount borrowed (principal & interest) and Gain/ Losses; and averages across the 100 runs for each of these items 3.

What is Delta Hedging –?

Delta Hedging – is Put Option Calculation of a 12-step Monte Carlo simulation model that generates the underlying stock price series Calculation of theoretical option values using the Black Scholes put option price formula Calculation of put option deltas at each rebalancing interval Calculation of a replicating portfolio that consists of a short sale of Delta times the stock and lending of the initial (net of the option premium received at inception) & subsequent incremental short sales proceeds Graphical representation of the theoretical option value and the replicating portfolio value over the life of the option Calculation of a tracking error for the difference between the value of the replicating portfolio and the theoretical value of the option Graphical representation of the tracking error across the life of the option Determination of the per period interest and principal portions of the amount lent Determination of the Gain (Loss) on closing of short sale positions Setting up a Cash Accounting P&L that shows cash inflows from option premium received, interest earned on amount lent and sales proceeds from short sales and cash outflows from strike paid if the option is exercised A choice of including or excluding the option premium in determining the amount borrowed at inception..

How does Delta Hedging – step?

Delta Hedging – Put Option Calculation of a 12-step Monte Carlo simulation model that generates the underlying stock price series Calculation of theoretical option values using the Black Scholes put option price formula Calculation of put option deltas at each rebalancing interval Calculation of a replicating portfolio that consists of a short sale of Delta times the stock and lending of the initial (net of the option premium received at inception) & subsequent incremental short sales proceeds Graphical representation of the theoretical option value and the replicating portfolio value over the life of the option Calculation of a tracking error for the difference between the value of the replicating portfolio and the theoretical value of the option Graphical representation of the tracking error across the life of the option Determination of the per period interest and principal portions of the amount lent Determination of the Gain (Loss) on closing of short sale positions Setting up a Cash Accounting P&L that shows cash inflows from option premium received, interest earned on amount lent and sales proceeds from short sales and cash outflows from strike paid if the option is exercised A choice of including or excluding the option premium in determining the amount borrowed at inception.

What is this case?

this case is In the sales proceeds from short sales will equal the gain (loss) if the option is not exercised..

How does this case proceeds?

In this case the sales proceeds from short sales will equal the gain (loss) if the option is not exercised.

What is 100 simulated runs?

100 simulated runs is including a graphical depiction of the results showing the Net P&L, Proceeds from Short Sales, Interest Earned and Gain/ Losses; and averages across the 100 runs for each of these items Pricing Interest Rate Swaps & Options Topics covered: Definition of different types of interest rates Overview of swap contract variations Summary of the pricing process for interest rate swaps Step-by-step methodology for deriving zero coupon and forward rate term structures Step-by-step procedures for determining the price of interest rate swaps, Cross currency swaps,Interest rate options The EXCEL files: The calculation of zero coupon and forward rate curves from the par term structure The calculation of prices of interest rate swaps and cross currency swaps The calculation of prices of interest rate options Tag : Simulation, Pricing, Delta Hedging & Greeks Master Package - Finance training Review..

How does 100 simulated runs including?

100 simulated runs including a graphical depiction of the results showing the Net P&L, Proceeds from Short Sales, Interest Earned and Gain/ Losses; and averages across the 100 runs for each of these items Pricing Interest Rate Swaps & Options Topics covered: Definition of different types of interest rates Overview of swap contract variations Summary of the pricing process for interest rate swaps Step-by-step methodology for deriving zero coupon and forward rate term structures Step-by-step procedures for determining the price of interest rate swaps, Cross currency swaps,Interest rate options The EXCEL files: The calculation of zero coupon and forward rate curves from the par term structure The calculation of prices of interest rate swaps and cross currency swaps The calculation of prices of interest rate options Tag : Simulation, Pricing, Delta Hedging & Greeks Master Package - Finance training Review.