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Financial Derivatives & Engineering (68)

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Black-Scholes, Mean Reverting Process and Square Root Process

I was just wondering what the advantages and disadvantages of using these three models when calculating european call and put options.

Started by Eric LayardLatest Reply

Pricing a floating rate note with both floor rate and cap rate

Hi Friends, im trying to develop a model to price a floating rate note that has both floor rate and a cap rate to it......any idea on this?

Started by Maurice OpiyoLatest Reply

arbitrage on forwards and futures

I am currently practicing in the derivatives market.. I have a query regarding arbitrage opportunity. Ill give a scenario, hoping some one…

Started by ahmed saeedLatest Reply

Discussions Replies Latest Activity

Financial Derivatives Calculator with 120+ Models V1.2B

Newly updated Financial Derivatives Calculator with 120+ Models. Now supports Spreads Views and Leg controls, Text Export, Source Export an…

Started by Anthony Bradford

3 Feb 9
Reply by Anthony Bradford

CASH LESS SOCIETY

In most recent time,the Central bank of Nigeria came up with a regulation which pegs withdrawal to =N=150,000.00;in a bid to stem the usage…

Started by ALOBA BABATUNDE

1 Dec 28, 2011
Reply by ALOBA BABATUNDE

How to construct a zero coupon yield curve?

Hi, Could anyone assist me in determing how to construct a zero coupon yield curve with varying maturities. i.e 0.5 1.5 3.5 5.5 ... Looki…

Started by Vik

8 Dec 20, 2011
Reply by Kevin

Asset Backed Securities - POV of an issuer

Hello all,   I have come across the world of ABS and I find it fascinating (as most of you do, too, I'm sure). However, I'm having problems…

Started by Enrique Garcia

0 Nov 24, 2011

Credit Value Adjustment CVA

guys do any one has any excel workbook explaning the how to Calculate CVA value of a portfolio.    

Started by SD

1 Nov 8, 2011
Reply by julliet oumar

Currency Swaps

can anyone please explain how a curreny swap works and how it is valued?

Started by Arun Kumar

9 Oct 15, 2011
Reply by Matthew lucas

Derivative market

Hi friends i am doing my mini project on derivative market, which i get a topic as (SWAPS currency & interest rate) if any one related…

Started by Senthil kuamar.N

0 Aug 23, 2011

Credit Default Obligation

can anyone tell me about credit default obligation and how it came into existence??

Started by cherish

0 Aug 22, 2011

60 TRILLION IN DEBT SWOPS - is this a threat? Is it true?

Chinese economists were appraently concerned about a market worth in excess of 60 trillion dollars in debt swops with maturities commencing…

Started by Edward C D Ingram

0 Jul 12, 2011

Bankruptcy/Fraud Prediction using Artificial Neural Network (ANN)

Just joined this community. I'm currently a PhD student working on financial distress prediction model and i'm looking at Artificial Neural…

Started by C.H.Chua

2 Jun 23, 2011
Reply by sidhanth

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