Accumulator, decumulator, target, pivot are all structured products based on complex derivatives. This post is explaining how they work and
Category: Finance
FX Options pricing – Plain Vanilla European model (Part II)
Part II: End of day and online FX options pricing processes This article is the continuation of the part I.
FX Options pricing – Plain Vanilla European model (Part I)
Part I: Description of FX options pricing basic requirements 1.1 Market data feeds To be able to price FX options, the
Implied and historical volatility
Volatility is one of the parameters needed to calculate the price of a currency option between its trade date and
FX Options pricing (Exotic) – European Single Barrier options
Definition Barrier options are part of exotic options. They differ from standard (or vanilla) options by having extra criteria to
Introduction to Delta
Delta is one of many indicators that option pricing models are providing (Greeks). It represents the practical level for exercising
FX Options: relation between premium prices in percentage vs in pips
FX options can be negotiated either in percentage or in pips (price interest points). This illustrates the various equivalences to
Interest Day Basis
Main regulatory organizations: ICMA(2005): International Capital Market Association. Merger of ISMA(1991, ex-AIBD) and IPMA) ISDA(1985): International Swaps and Derivatives Association
Practical use of the Delta: Delta neutral management
An FX option position induces a risk, just as a spot or a forward position. A “delta neutral” management consists
Interest Rate Options Strategies
Specific strategies for interest rate options Cap and floor Although they are not, strictly speaking, options, caps and floors are
FX Options Products
Introduction Options – Definition Options strategies ————————————————————————————- Introduction Derivatives markets or products are named ”Derivatives” because they are “derived”
Financial Markets
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Fiduciary Deposits
This type of deposits is specific to Switzerland. It consists in giving a mandate to a (swiss) bank to