Articles
Month: September 2019
Articles
Articles
Swaptions: 1 Price, 10 Deltas, and… 6 1/2 Gammas
In practice, option pricing models are calibrated using market prices of liquid instruments. Consequently for these instruments, all the models give the same price. But the risk implied by them can be widely different. This […]
Articles
Primer On Arbitrage And Asset Pricing
Financial decision making is typically concerned with the amount of investment capital to allocate to various assets or asset classes in various financial markets. The opportunity set can be very complex, with sets of […]
