Financial Theory (ECON 251) Suppose you have a perfect model of contingent mortgage prepayments, like the one built in the previous lecture. You are willing...
Financial Theory (ECON 251) This lecture reviews the intuition from the previous class, where the idea of dynamic hedging was introduced. We learn why the...
The history behind perhaps the greatest formula ever created in finance: the Black-Scholes-Merton options pricing model. Two of its creators were awarded the Nobel Prize...
Delta is not constant. Gamma gives the rate of change of delta (ie, delta is first derivatives, and Gamma is second derivative). A delta-neutral portfolio...
This video explains the concept of functional notionals and prices with BICs enable static derivatives replication immune to liquidity events such as short ban sales,...
Follow us @ twitter.com twitter.com Welcome to Capital Account. Goldman Sachs gets outed in a scathing resignation letter on the New York Times op-ed page...
Taleb is, unfortunately, being largely ignored by the Administration in the United States. Larry Summers, Tim Geithner, and Ben Bernanke would be wise to seek...
