Option risk management part 2: Delta
Leave your thoughtsDelta Does anyone remember graph paper? I recall as a 14 year old sitting in a maths class being asked... View Article
Author Archives for SwDev
Option risk management part 1
Leave your thoughtsIntrinsic and time value Over the next few posts we will look at some aspects of option valuation and option... View Article
Why inflation breakevens may not reflect ‘true’ of inflation – part 3
Leave your thoughtsWhy inflation breakevens may not reflect ‘true’ of inflation – part 3 02 May 2023 Inflation-linked bonds are regarded as being relatively... View Article
Why inflation breakevens may not reflect ‘true’ inflation – part 2
Leave your thoughtsThis second post will consider the issue of par floors and how they impact real yields. Some sovereign linker markets... View Article
Why inflation breakevens may not reflect ‘true’ inflation – Part 1
Leave your thoughtsThis is the first of a couple of blogs that look at why inflation breakevens may not be a measure... View Article
Commodity basket options – Understanding commodity correlations
Leave your thoughtsCommodity solutions are often structured using correlation-dependent options. Let’s say a car producer wishes to hedge their copper and aluminium... View Article
An A to Z of finance
Leave your thoughtsFollowing a series of posts on LinkedIn, we have been able to compile a document that comprises of a series... View Article
Understanding inflation breakevens
Leave your thoughtsInflation breakevens Introduction The Fisher equation is a way of decomposing a nominal yield into three components: It is expressed... View Article
Floating Rate Notes – The Full Monty
Leave your thoughtsUnderstanding Arsenal’s Floating Rate Note Gerald: All I want to do is get you in a straight bloody line! What... View Article
The Cat and the Banker
Leave your thoughtsCan highly recommend that pople check out the following book “The Cat and the Banker”. It is written by an... View Article