Standard Brownian Motion / Wiener Process
In this video, we take a look at the Standard Brownian Motion (Wiener Process) – an important building block that we encounter in the four readings on Interest Rate Models (FRM Part 2, Market Risk).
Category: Valuation and Risk Models
Quantiles for Lognormally Distributed Stock Price
In this short video from FRM Part 1 curriculum, we look at how to find the quantiles for a lognormally distributed random variable (in this case the stock price).
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.
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.
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.
Expected Shortfall : A First Look
In this short video, we introduce this risk measure Expected Shortfall, which is defined as the probability weighted average of tail losses.
Time Scaling of Mean and Standard Deviation of Returns
In this short video from FRM Part 1 curriculum, we explore rules of thumb for scaling mean / expected value of returns and volatility / standard deviation when the time period or horizon is changed.
Delta: Variation with Time to Maturity
In this short video, we explore the impact of changing the time to maturity on the delta of European call and put options.
Key Rate Durations: Building a Case
In this short video, we build a case for Key Rate Durations – what they are, and for what purpose we may put them to use, specifically in this case, for estimating the percentage price impact of non-parallel shifts in interest rate term structures.
Pricing a Bond: Replication vs Bootstrapping
In this short video, we take a comparative look at two valuation approaches for finding fair value of a fixed income instrument – replicating portfolio approach vs using rates recovered via bootstrapping.