Questions tagged [derivatives]

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

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Data sources on derivative book composition for large investment banks

Is anyone aware of a data source for the composition of the derivative books across asset classes for large investment banks? As an illustrative example with dummy figures, this could be a database or ...
41 views

Is the initial value of the portfolio replicating a forward zero?

This is from the book Financial Calculus: An Introduction to Derivative Pricing by Martin Baxter. By choosing appropriate weights in a portfolio of a stock and cash bond you can replicate the payoff ...
89 views

Deriving the Heston-Hull-White PDE

I'm trying to derive the Heston-Hull-White PDE. The correct backwards PDE is equation (1.3) of this paper on page (2). I will begin deriving the forward PDE, but switching between the two is trivial. ...
23 views

How to calculate net exposure on a Interest Rate Swap (and on derivatives in General)?

I would like to know how to measure Exposure on swaps (IRS, TRS...) in general . Example, if a party A has a OTC position of 100 million USD in IRS with party B, is party A exposure = 100 million ...
59 views

Implied cross currency curve

For EM countries without a liquid xccy curve, how I can imply it from local government bonds or swaps?
135 views

Barriers on structured notes

I asked a question here: Structuring and Customization Thanks to all the contributors. However, I now have a follow-up question. I would like to buy barrier options and I was informed from that post ...
248 views

Structuring and Customization

It seems complex derivatives in particular exotic options are not available at any retail broker. Can a regular retail trader get access to these instruments? Maybe through prop firms or banks? ...
56 views

Pricing of a barrier reverse convertible in python with monte carlo simulation

I'm a finance student and try to do the pricing of a given barrier reverse convertible. This has to be done by a Monte-Carlo-Simulation in Python. The underlying is a stock of ING Groep N.V. Strike ...
87 views

Martingale proof: Call-prices must be increasing in maturity

I have observed that IV is increasing with time to maturity by using market prices and plotting IV (from Black-Scholes) against log-moneyness, $\log(S_t/K)$. $S_t$ being the price of the stock at time ...
65 views

Show that the price of a LIBOR rate paid in advance is a linear combination of caplets

Let $L(t, T_1, T_2)$ be the forward LIBOR rate at time $t$ for the period $T_1$ to $T_2$. If a security pays some multiple of $L(T_1, T_1, T_2)$ at time $T_1$, how can we show that the price of this ...