The Principles and Practice Of Verifying Derivatives Prices
نویسنده
چکیده
Trading desks at investment banks often have substantial positions in a broad range of long-term or exotic derivative securities which can be marked to market only by means of mathematical models. Verifying the fair value of these securities is an increasingly important issue, and involves more than just mathematics and a model. It requires software, skill and common sense, all embedded in a suitable organizational structure. This article describes a multifaceted approach to verifying the prices and hedge ratios of derivative securities.
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