CityPedia - Trading and Derivatives

These papers look at trading in the City, covering the domain of City quants, traders and risk managers. Please note that membership gives full access to all papers and spreadsheets for free.

0 Glossary

0 Glossary

1.1 Money - central banks and the policy rate

1.1 Money - central banks and the policy rate

1.2 Money - market interest rates

1.2 Money - market interest rates

1.3 Money - discounting and present values

1.3 Money - discounting and present values

1.4 Money - foreign exchange

1.4 Money - foreign exchange

1.5 Money - interest rate and currency swaps

1.5 Money - interest rate and currency swaps

1.6 Money - risk measurement

1.6 Money - risk measurement

2.1a Cash instruments - government bonds

2.1a Cash instruments - government bonds

2.1b Cash instruments - corporate bonds

2.1b Cash instruments - corporate bonds

2.1c Cash instruments - bond reinvestment

2.1c Cash instruments - bond reinvestment

3.1 Modelling price processes

3.1 Modelling price processes

3.2 Modelling price processes - multiple price processes

3.2 Modelling price processes - multiple price processes

3.3 Modelling price processes - Ito's lemma as a basis for derivative pricing

3.3 Modelling price processes - Ito's lemma as a basis for derivative pricing

3.4 Modelling price processes - diffusive parabolic PDEs and expectations

3.4 Modelling price processes - diffusive parabolic PDEs and expectations

4.1 Derivative instruments - forwards and futures

4.1 Derivative instruments - forwards and futures

4.2 Derivative instruments - repos

4.2 Derivative instruments - repos