Section 3: Basic Valuation and Forward
Dynamics
Glen Swindle
27 March 2012
c Glen Swindle: All rights reserved
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Introduction
Forwards versus Futures
Options on Forwards vs Futures
Black 76
Forward Dynamics
2 / 76
Forwards versus Futures
Measures
Ass
Lecture 12:
Asymptotics
Marco Avellaneda
G63.2936.001
Spring Semester 2009
From SABR to Geodesics
A systematic approach for modeling volatility
curves with applications to option market-making and
pricing multi-asset equity derivatives
Marco Avellaneda
Co
Path-dependence of Leveraged ETFs
&
Options on Leveraged ETFs
Marco Avellaneda, NYU
Stanley Jian Zhang, NYU PhD Thesis
Oxford MAN Institute, May 23 2011
Summary
Review of exchange-traded funds (ETFs)
Leveraged ETFs, 3X, -3X,
Empirical facts about LETFs
Sources of Various Risks
Risks of Fundamental Research
Model-based Risks
Stability of Quantitative Strategies
Dmytro Karabash
April 17th, 2012
Stability of Quantitative Strategies
Dmytro Karabash
Sources of Various Risks
Risks of Fundamental Research
Mode
Lecture 13:
Hard-to-Borrow Securities
Marco Avellaneda
G63.2936.001
Spring Semester 2009
Hard-to-Borrow Stocks:
Price dynamics and Option
Valuation
Marco Avellaneda, New York University
Mike Lipkin, Columbia University and Katama Trading
RiO, Hotel do Fra
INTEREST RATES AND FX MODELS
5. Short Rate Models
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
March 3, 2011
Interest Rates & FX Models
2
Contents
1 Term structure modeling
2
2 Vasiceks model and its descendant
Section 1: Energy Commodities Basics
Glen Swindle
20 March 2012
c Glen Swindle: All rights reserved
1 / 43
Outline
What makes energy commodities dierent?
Pricing and Delivery
Forward Yields
Macro Perspective
Hedging and Common Structures
Themes
2 / 43
Wha
INTEREST RATES AND FX MODELS
1. LIBOR and OIS
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
January 26, 2012
2
Interest Rates & FX Models
Contents
1
Introduction
2
2
LIBOR and LIBOR based instruments
2.1 LIBOR r
INTEREST RATES AND FX MODELS
2. Girsanov, Numeraires, and All That
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
February 2, 2012
Interest Rates & FX Models
2
Contents
1 Arbitrage asset pricing in a nutshell
1.1
INTEREST RATES AND FX MODELS
3. Options and Smiles
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
February 9, 2012
2
Interest Rates & FX Models
Contents
1 Introduction
2
2 Options on LIBOR based instruments
2.1 C
INTEREST RATES AND FX MODELS
4. Convexity and CMS
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
February 16, 2012
2
Interest Rates & FX Models
Contents
1 Introduction
2
2 LIBOR in arrears
3
3 CMS rates and instr
INTEREST RATES AND FX MODELS
5. LIBOR Market Model
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
February 23, 2012
Interest Rates & FX Models
2
Contents
1 Introduction
2
2 LIBOR market model
2.1 Dynamics of the
INTEREST RATES AND FX MODELS
6. Backward Induction
and Monte Carlo Simulations
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
March 1, 2012
2
Interest Rates & FX Models
Contents
1
Introduction
2
2
Bermudan swapti
Steepest Descent Approximation
& Dispersion Trading
New techniques for understanding the implied
volatility of multi-asset options
Marco Avellaneda
Outline
Implied volatility surfaces of single stocks and indices
Marginalization
`Reconstructing the implie
Weighted Monte-Carlo Methods
for Multi-Asset Equity Derivatives:
Theory and Practice
Marco Avellaneda
Courant Institute of Mathematical
Sciences
New York University
Summary
Statement of the Calibration Problem for Multi-Asset
Equity Derivatives
W eighted
Section 2: Macro Perspective
Glen Swindle
20 March 2012
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Outline
Orders of magnitude
Global Landscape
Motivations and Common Structures
Themes
2 / 65
Orders of magnitude
Units
We will be focusing on the three most
Section 4: Term Structure of Volatility
Glen Swindle
03 April 2012
c Glen Swindle: All rights reserved
1 / 64
Introduction
Non-Standard Expiration
Working Problem
Single-Contract Time-Varying Vol
Broader Modeling Paradigms
Time-Varying Local Volatility
Su
Section 6: Correlation
Glen Swindle
April 10, 2012
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Introduction
Spread Options in Energy
Basic Valuation: Margrabe
Working Problem: CSOs
Working Problem: Tolls
Greeks
Non-zero strikes
Vol-Lookup Approximation
Mod
Section 7: Multi-Factor Models
Glen Swindle
April 17, 2012
c Glen Swindle: All rights reserved
1 / 65
Introduction
The Issues
Spot Vol
A Multi-Factor Model
Applications to Daily Vol
Variations of Multi-Factor Models
2 / 65
The Issues
Why Do We Need Multi-
Section 9: Variable Quantity Swaps
Glen Swindle
May 1, 2012
c Glen Swindle: All rights reserved
1 / 32
Introduction
Recent Macro Eects
Load Swaps
Unit Contingent Swaps
Credit Structures
2 / 32
Recent Macro Eects
Energy Levels
If you had to represent the r
Quantitative Investment Strategies: Lecture 1
The ETF Revolution
Marco Avellaneda
Mutual Funds
Established by the Investment Company Act of 1940
MF: A fund management company that invests on behalf of its
shareholders (fund subscribers)
Open-end fund:
Quantitative Investment Strategies, Lecture 2
Commodity-based ETFs
Marco Avellaneda
Commodity ETFs: Physical vs Synthetic
The equitization of commodities, currencies and fixed-income has
been possible by the introduction of ETP (exchange-traded products)
Quantitative Investment Strategies, Lecture 3
Leveraged and Inverse ETFs
Marco Avellaneda
February 7, 2012
Leveraged and Inverse ETFs
Leveraged ETFs (LETFs) made their appearance in the US markets
around 2006
New issues in Europe and the US have been pr
Quantitative Investment Strategies, Lecture 5
Statistical Arbitrage I
Marco Avellaneda
February 21, 2012
From Lecture 4
Pairs of leveraged funds (ultra, inverse) can be used to create a trading
strategy
dEt dLt dSt
Lt absolute value of amt. invested in l
Petit Dejeuner de la Finance
Paris, Nov 27, 2002
Empirical Aspects of Dispersion
Trading in U.S. Equity Markets
Marco Avellaneda
Courant Institute of Mathematical
Sciences, New York University
& Gargoyle Strategic Investments
What is Dispersion Trading?
INTEREST RATES AND FX MODELS
7. Risk Management
Andrew Lesniewski
Courant Institute of Mathematical Sciences
New York University
New York
March 8, 2012
Interest Rates & FX Models
2
Contents
1 Introduction
2
2 Delta risk management
2.1 Input perturbation s