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Tag Archive 'derivatives'

Affordable Protection?

Credit Default Protection received reasonably unappealing press over the past few years. But if price is the core signal, then where are we now that prices are cheap?

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Spreading Expectations

This article reviews the potential for five year fixed for floating swap spreads in highlighting some shifts in core inflation measures as they relate to the US Economy.

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A quick review of a the VIX term structure as it stands now compared to start of year prices.

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VIX is a market estimate of expected volatility measured over S&P 500 options. But how does the implied volatility of a volatility estimate vary over strike range and term structure? This article reviews VIX’ smiling smirk and the reasons for its formation.

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Trinomial Option Pricing Trees offer a fair-value lattice-model for both American and Bermuda styled options. The pricing tree can also be modified to suit more specific modelling purposes. A short applescript was created for the purpose of creating trinomial trees in Microsoft Mac Excel 2008.

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Tricky VIXy

VIX is moving again and, as in her habit, she is moving hard and fast. If you like that kind of rough tumble action then this post might give you some insights into her enticing curves.

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A VIXen Curve

There are few things nicer in the early hours of the morning than seeing a smoothly convex term structure (or maybe that’s just me). This article reviews the progress over the VIX term structure and, what appears to be, some progression from steepness to smoothness.

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