Monthly Archives: July 2022

Pricing barrier options with simulations and sensitivity analysis with Greeks

Posted on July 10, 2022 by Shengyu ZHENG

Pricing barrier options with simulations and sensitivity analysis with Greeks In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) explains the pricing of barrier options with Monte-Carlo simulations and the sensitivity analysis of … Continue reading →

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Asset Allocation

Posted on July 10, 2022 by Akshit GUPTA

Asset Allocation This article written by Akshit GUPTA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) explains asset allocation, a much-discussed topic in asset management. Introduction Asset allocation refers to the process of dividing an investment among … Continue reading →

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Pricing barrier options with analytical formulas

Posted on July 10, 2022 by Shengyu ZHENG

Pricing barrier options with analytical formulas As is mentioned in the previous post, the frequency of monitoring is one of the determinants of the price of a barrier option. The higher the frequency, the more likely a barrier event would … Continue reading →

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Barrier options

Posted on July 6, 2022 by Shengyu ZHENG

Barrier options In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2023) explains barrier options which are the most traded exotic options in derivatives markets. Description Barrier options are path dependent. Their payoffs are … Continue reading →

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Fama-MacBeth two-step regression method

Posted on July 2, 2022 by Youssef LOURAOUI

In this article, Youssef Louraoui (Bayes Business School, MSc. Energy, Trade & Finance, 2021-2022) presents the Fama-MacBeth two-step regression method used to test asset pricing models. This article is structured as follow: we introduce the Fama-MacBeth testing method. Then, we … Continue reading →

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