monte-carlo-methods-for-option-pricing

I am looking to price a Bermudan-callable EUR/USD cross-currency interest rate swap in QuantLib. Assume a three-factor model with: one Hull-White model for USD rates, one Hull-White model for EUR rates, a Black-Scholes FX process, correlations between both rate factors and FX, the appropriate quanto/measure-change drift adjustment. Pricing would require Monte Carlo with Longstaff-Schwartz regress…

A rigorous but accessible walkthrough of risk-neutral pricing - the change of measure, no-arbitrage principle, the fundamental theorem of asset pricing, and why option prices are expectations under Q, not P.

In March 2025, IndusInd Bank disclosed discrepancies in account balances associated with its derivatives portfolio. An initial internal review estimated an adverse effect equivalent to approximately 2.35% of the bank’s net worth at 31 December 2024. An independent review subsequently Read More ... The post IndusInd Bank Derivatives Case Study: Control Failures first appeared on Risk Management As…

A comprehensive guide to the empirical efficacy of technical, volatility, and macroeconomic indicators in harvesting the Variance Risk Premium through systematic SPX option selling. Master VIX/VXV ratios, Morning VVIX anomalies, mean-reverting tactical indicators, and dynamic position sizing for optimal risk-adjusted returns. 📊 Deep Research • 📈 Options Strategy Topics: quantitative finance, in…

Deep and liquid derivatives markets are fundamental to the development of well-functioning financial markets and... Read more Building Markets, Creating Opportunity

Explores how institutional quants decompose the Volatility Risk Premium across moneyness, term structure, and correlation, and how dealer Gamma, Vanna, and Charm flows mechanically drive markets. 🎥 Video Tutorial • 📈 Options Strategy 🎥 Watch Video: https://youtu.be/tP1HJuVzuZU Topics: quantitative finance, investment analysis, financial education, options trading, derivatives

The modern edge lies not in the blind selling of insurance, but in the rigorous decomposition of the VRP into its constituent, orthogonal components. Master the dissection of moneyness, term structure, and correlation to target structural inefficiencies driven by non-economic flows. 📊 Deep Research • 📈 Options Strategy Topics: quantitative finance, investment analysis, financial education, opti…