# Questions tagged [derivatives]

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

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### partial derivatives of multivariable function

Looking to verify whether the following formulation is correct. Suppose we have the following function, relationships: $$y=f(x)$$ $$x=g(a,b)$$ $$y=f[g(a,b)]$$ Is the below correct (including ...
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### Any good book recommendations for learning The Greeks?

I am interested in getting a good "feel" or intuition for the BSM Greeks. Specifically, i'm looking for a book which is light on the math (but not too light) and easy to read and understand. I am also ...
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### Static hedge forward swap using zero coupon swaps

I'm trying to create a static hedge for a forward swap using two spot starting zero coupon swaps (to prove that there is no convexity adjustment needed). Here are the instruments - Paying fixed in ...
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### Is Red Code unique per derivative instrument

Does RED Code (="Markit Reference Entity Database Code") uniquely identify the derivative that has been traded? Is it possible to get a derivative's ISIN code from RED Code?
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### Rebasing of Cap Volatilities

I recently found this article where towards the end the author describes a method to rebase cap volatilities. Their method works like this: for a fixed strike assume that you are given the implied ...
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### What is CVA (credit valuation adjustment)?

According to Wikipedia, CVA is defined as the difference between the risk-free portfolio value and the true portfolio value that takes into account the possibility of a counterparty’s default. What ...
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### Jump-Diffusion Processes

This last quarter of college for senior project, I will be doing research on the application of jump-diffusion processes to pricing derivatives. I was wondering if anyone could recommend any resources ...
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### Is the forward price equal to the future price?

If $f^{T_1}(t)$ is the price of a forward and $F^{T_1}(t)$ is the price of a future on some stock, both maturing at date $T_1$ and with the assumptions: no dividend constant interest rates no ...
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### Different performance between GLD, IAU and PHYS

At this very moment (about 10:15, 2020/3/24), GLD/IAU are up about 4.5% and PHYS about 3.5% What causes such differences? Gold bars are in short supply around the world (https://www.ft.com/content/...
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### Intuition for consistent Derivative Prices under different Numeraires and Measures

This is essentially the Fundamental Theorem, however I am not asking for a thorough proof, I am more interested in the general intuition. In words, it makes sense that whatever your unit of account (...
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### Black Sholes option pricing with all but Delta [closed]

I'm trying to setup a little option pricing model in excel. I have all the information for the inputs (interest rate, IVs for different deltas, time to expiry, strike price, underlying price) but what ...
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### Pricing with local volatility for derivatives beside options

Say I have calibrated an local volatility mode to market data on a forward on stock X. Say I want to price a derivative Y that is NOT a call/put option. What is the (or one of many) general strategy ...
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### Optimal Upper and Lower Bounds

For the following exercise: Give optimal upper and lower bounds on the price today for a product that pays a function of the spot price, $S$, of a non-dividend paying stock one year from now, there ...
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### Are power contracts traded on any stock market?

Are power contracts traded on any stock markets ? What about OTC markets ? I ask about the derivatives where payoff is some exponential function of difference between strike and spot price.
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### List of financial derivatives Ito's Lemma does not apply

According to Ito's Lemma there is no restriction on the continuity of the stochastic process. The restrictions are on the continuity of the pay-off so that second derivatives with respect to ...