Convexity & Duration calculator for US Treasury Bills, Notes and Bonds. To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity & Duration) at issue. We will calculate Macaulay, Modified and Effective Duration [...]
Month: February 2013
Risk Models, Option Pricing & Bank Regulation training for practitionersA typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on product market, applications or pricing, but not all three. These leaves [...]
Asset Liability Management (ALM) in Banking – Assumptions review for model builders & practitioners In a recent class on Asset Liability Management (ALM) my MBA students asked a number of interesting questions. The questions were interesting because despite working in Risk Management for two decades I had never been asked these questions prior to this class. [...]
Basel II, Basel III & the Financial Crisis – Bull by the Horns – a review. Bull by the Horns: Fighting to save Main Street from Wall Street and Wall Street from itself by Sheila Bair, chronicles her tenure as FDIC Chairman from 2006 to 2011 during the Great Recession. It is a gripping read as [...]
Its time to say goodbye again to the city in a garden. Singapore, thank you for having me over, loved my random walks and your random showers. Glad that I took my camera along and caught quite a few sneak peaks.Till we meet again.
It has not been a good month for Wall Street. On February 4th, Michael Lewis came out with guns blazing against Greg Smith’s “Why I left Goldman Sachs”. Branding Mr. Smith as tone deaf, self serving and narcissistic is something that would have really tickled Goldman on any other day in February. Unfortunately Lewis didn’t stop [...]
Emirates Lounge – Concourse A, the A380 terminal at Dubai AirportIn a different life, Kristina Meyers my last boss in Leesburg, Virginia, introduced me to the United lounge at Logan airport in Boston. Since I worked for a firm of accountants in an emerging, frontier market nation, travelling business had never been an option during [...]
Option Pricing – Pricing Exotic Options using Monte Carlo simulators This is our third post in the Exotic Option pricing using Monte Carlo Simulation series. We walk through the minor tweaks required in our Monte Carlo Simulation model to price Asian, Lookback, Barrier & Chooser Options. Our assumption is that you have been following our prior posts [...]
I have always been fascinated by Sunrise and sunsets, espcially when I am out travelling. Here is an unfinished series that I started a few months ago. Modeled horizons include Singapore, Dubai, Karachi, and the famous Grand Trunk road that runs from Delhi all the way to Afghanistan.
Option pricing using Monte Carlo Simulation In our post on Option Pricing using Monte Carlo Simulation, we walk through a simple modeling framework used for pricing vanilla as well as exotic options in Excel. After the framework is introduced we drop a few hints on how to price Asian, Barrier, Ladder & Chooser options using Monte [...]