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Derivatives and Fixed Income

This class was created by Brainscape user Ella Dörken. Visit their profile to learn more about the creator.

By: Ella Dörken
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Decks in this class (11)

Forwards and Futures
What is a forward contract,
What is a future contract,
What are options
20  cards
Swaps
What is a swap interest rate swap...,
Swap vs forward,
Par swap rate
17  cards
Options in Continuous Time
What are the three assumptions of...,
What is the mean and standard dev...,
What is the quadratic variation o...
17  cards
The Greeks
What is a market maker,
Delta,
What is delta hedging
18  cards
Credit Risk
What is default probabilitiy and ...,
What is the conditional probabili...,
What is loss given default
11  cards
Black Scholes Extension
Do b s assumption hold,
Volatility violation in bs,
Mertons model volatility
16  cards
Options
Difference dynamic and static rep...,
Payoffs options,
What is a protective put
17  cards
Monte Carlo
Mc price convergence,
When to use mc simulation,
Why is mc not used all the time
6  cards
Fixed Income Part 1
How does gsw bootsrap zc yield,
Advantages of future options over...,
Summary of interest rates
18  cards
Fixed Income Part 2
Ornstein uhlenbeck process,
What is the vasicek model,
Short rate dynmaics in vasiciek
12  cards
Important Stuff
Black scholes,
Merton model,
Heston model
15  cards

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Derivatives and Fixed Income

  • Class purpose General learning

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