Reference No: QM0246TECPages: 43Published on: 16, September, 2005
Abstract: This note addresses sampling concepts introduced in a formulaic manner in managerial statistics textbooks like Anderson et. al. [ASW02] or Levin et. al. [LR97] that are used in Quantitative Methods III course. Students with quantitative backgrounds like engineers are unsatisfied with this approach and ask for further information that cannot ... More
Reference No: F&A0531TECPages: 21Published on: 5, February, 2016
Abstract: This note describes the intuition and the mathematics behind the Vanna-Volga method for pricing derivatives in the foreign-exchange markets. After building the intuition through the lens of risk neutral density and movement in volatility smile, the note explains the mathematics of the necessary adjustment to the Black-Scholes valuation formula in ... More