'Black Swan' is not a cliché for any bad thing that surprises us
On the 11th of March 2020, the World Health Organization declared Covid-19 (‘Coronavirus’, or ‘the virus’) a pandemic. It is without a...
FRTB and the Fixed Income Desk
Even with the revised 2023 deadline, banks are heavily involved in FRTB and one interesting challenge is what is known as Heisenberg’s...
Black-Scholes Option valuation and Greek sensitivity analysis
On top of the main option valuation, we will also be looking at the first-order Greeks: Delta, Vega, Theta, Rho and Lambda as well as Gamma,
Impact of social distancing on COVID-19
The University of Cambridge issued a paper highlighting the impact of social distancing on the COVID-19 epidemic.
Bias Curve Construction: Cross-Currency Swaps
How to bias non-USD currencies in a Cross Currency Swap transaction.
A few tips for job-hunting Grads
Firms in each industry have recruitment periods where postings for internships, grad programmes etc. are open. When I was still a grad I fou
Swap valuation: Inferring prevailing rates through forward-rate calcs
Note that we do not know today what the future JIBAR cash-flows on the floating leg are going to be, yet we use the forward rates from the s
