Lognormal Distribution for Stock Price (Moments)
In this short video from FRM Part 1 curriculum, we reason out (at an intuitive rather than a rigorous mathematical level) the moments of the distribution of (natural) log of stock price.
Category: Swatches
Buying or Selling Correlation using Variance Swaps
In this short video from FRM Part 2 curriculum, we explore how variance swaps can be used to construct a long or short exposure on correlation.
Callable Bonds: A Quick Summary
In this short video from FRM Part 1 curriculum, we summarize key aspects about callable bonds that we need to keep in mind.
Quantile-Quantile (QQ) Plots: A Detailed Look
In this short video, we take a detailed look at Quantile-Quantile (QQ) Plots – how to interpret them, and use them to identify the correct distribution and/or outliers in the dataset.
Valuing a Floating Rate Note (FRN)
In this short video from FRM Part 1 curriculum, we derive the value of a Floating Rate Note (FRN) – both on a coupon / reset date as between coupon dates.
Arbitrage Free Vs Equilibrium Term Structure Models
In this short video from FRM Part 2 curriculum, we differentiate between two categories of Term Structure Models – ‘Arbitrage Free’ models and ‘Equilibrium Models’.
Realized Volatility vs Implied Volatility
In this short video from FRM Part 1 and FRM Part 2 curriculum, we differentiate between two kind of volatility measures – realized volatility and implied volatility.
Wold’s Representation Theorem
In this short video from FRM Part 1 curriculum, we try and understand the Wold’s Representation Theorem for representing a zero mean covariance stationary series.
Basis Point Volatility vs Yield Volatility
In this short video from FRM Part 2 curriculum, we try and differentiate between basis point volatility and yield volatility.
Quanto Options : Correlation Risk
In this short video from FRM Part 2 curriculum, we explore what quanto options are, their payoff and mechanics and their sensitivity (risk) with respect to fx-equity correlation.