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dm63

NY, United States

Sell side derivatives trading manager

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11
How is this probability (45%) of Fed raising rates 3 times in 2017 calculated from Fed Funds market?
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10
volatility of a mid curve option
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10
Callable bonds with very short call period. Purpose?
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9
What is the industry standard pricing model for CME-traded Eurodollar future (American) options?
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7
What's the point of stochastic volatiliy models if you can use local volatility?
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7
Black-Scholes vs Black equation
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7
Carry calculation on an interest rate swap
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6
LIBOR replacement in client products and prospective pricing
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6
US overnight swaps (OIS)
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6
Asymptotics of Call Option as $S\to0$
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6
FX option trading questions
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6
Gamma Pnl vs Vega Pnl
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6
Violation of the call-put parity
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6
What's a covered bond?
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6
Skew and shadow delta
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6
Swaption Trading
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6
Why is there a stong intraday-correlation between spot and vol?
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5
Staff icebreaker - is stasis ever attained?
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5
Price volatility and yield volatility
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5
Do all bonds of the same maturity have the same yield to maturity?
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5
A libor curve VS A 3-month or 6-month libor curve
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5
What does LIBOR really represent?
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5
Implying risk-free rates using Put/Call parity
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5
FX Option Pricing Under Basis Adjustment
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5
How were OIS discount curves built before long-term OIS were liquid?
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5
What is the difference between funded and unfunded derivative?
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5
Why are stock index futures not used to forecast how much the stock market will rise, given that interest rates futures are used for this purpose?
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5
Mark to market forward contract
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5
Wrong proof that call price is concave function of strike price
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5
How is 1y5y - 1y2y Treasury steepener trade executed?
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