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# Questions tagged [derivatives]

A financial contract whose payoff is linked to the evolution of an underlying security.

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### Books about Monte Carlo Simulation on derivatives with Python

I am looking for a good reference for Monte Carlo simulation applied to derivatives with Python. Most books I found until now deal with C++... I have found "Derivatives Analytics with Python" by Yves ...
563 views

### Differences between Snowball, KIKO and TRF derivatives?

Can you explain what are some similarities and differences between snowball, KIKO (knock in knock out) and TRF (target redemption forward) derivatives?
644 views

### Why does a futures price converge to a spot price?

I've sort of get the arbitrage logic of it, i.e if the futures price is more expensive than spot price, then investors would short the contract and buy the asset for delivery. Correct me if i'm wrong. ...
116 views

### What is the best trading simulation platform for futures, swaps, options, etc.?

I've just started studying derivatives from the "Options, futures, and other derivatives - J.C. Hull" and I'd like to see how to do hedging and trading transactions through a simulation platform or a ...
447 views

### Black Scholes biases

I have been doing some research regarding options pricing (particularly using B.S) and have come across two research papers which discuss how the Black Scholes model has a tendency to overprice and ...
1k views

### What is the “inflation delta” of an option?

I'm preparing a report on the different Greeks used in risk measurement, and my boss mentioned the inflation delta within the first-order Greeks (and the Inflation Vega, but I guess that if I figure ...
627 views

### Derivative: Delta of a Down and Out Call Option with Barrier=Debt(K)

I am trying to compute the derivative of this function with respect to V0: This is the price of a down and out call option, assuming the barrier equal to the level of debt K. In other terms, I need ...
171 views

### Relations between Call and Put

I am trying to solve a question in finance but I am pretty much stuck and would need your help :) Suppose you know the following information about a market: Future is at 66 70 strike straddle is ...
105 views

### How to price jumps in payoffs

I specifically want to know how to model a jump condition while valuing a derivative.Example :- the jumps which are observed in digital product payoffs, or barriers and knockouts. Although a ...
293 views

### Is an FX forward with delayed settlement still a derivative?

As an example: Trade date: 1/1/16 Maturity date: 2/29/16 Settlement (exchange of currencies) 3/31/16 Is the instrument between 2/29 and 3/31 still deemed a forward? The forward rate is determined so ...
914 views

### put call parity for futures options derivation in Hull

In Hull, the following derivation of PCP for futures options: What confuses me is that it is stated that the payoff of the long futures is $F_t-F_0$. The footnote states: the analysis assumes that a ...
1k views

### Conversion of SPY prices to ES prices

I have a system that I use intraday that works great on SPY. Due to the extra leverage available plus other benefits I am thinking about trading the system using ES. Is there a conversion factor ...
701 views

### Lease Accounting / FX Embedded Derivatives: How to Value Floor / Cap Optionality Features

Suppose you have a lease agreement where the functional/domestic currency is RUB and the currency on which the lease is written USD. Let $S$ be the USD/RUB exchange rate (# of rubles per 1 dollar). ...
61 views

### Desperate for help with simple derivative

Can someone help explain how differentiating the following with respect to $x$: $$\frac{1}{2} \alpha \mathbf{x}^T \Sigma \mathbf{x} + (\mathbf{\mu} - R\mathbf{1})\mathbf{x}$$ Yields the following: ...
554 views

275 views