1
$\begingroup$

I need to refresh all the pricing theory. Is there anything like a crash course with practical and intuitive explanations?

I will provide any further information. I am a mathematical engineer. I am pretty familiar with pricing of options and structured notes as I worked on it but my career leaded me to something else. I would like to re-take the main concept under the pricing (neutral measure, replicating portfolio etc) without an extreme theoretical approach, and then what curves to be used for pricing with collateral, CVA, under what circumstances to use the OIS, etc

$\endgroup$
  • $\begingroup$ You'll have to tell you more about your background and what kind of derivatives (I guess) you want to price. $\endgroup$ – Bob Jansen Jun 11 at 17:35
  • $\begingroup$ Thank you for this message. I am a mathematical engineer. I am pretty familiar with pricing of options and structured notes as I worked on it but my career leaded me to something else. I would like to re-take the main concept under the pricing (neutral measure, replicating portfolio etc) without an extreme theoretical approach, and then what curves to be used for pricing with collateral, CVA, under what circumstances to use the OIS etc $\endgroup$ – Nasser Bin Jun 11 at 17:49
  • $\begingroup$ That really helps giving an answer, can you edit that into your question? $\endgroup$ – Bob Jansen Jun 11 at 18:01

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.