Now showing items 191-196 of 196
Derivatives pricing using QuantLib: an introduction
(Indian Institute of Management Ahmedabad, 2015)
Given the complexity of over-the-counter derivatives and structured products, al- most all of derivatives pricing today is based on numerical methods. While large fi- nancial institutions typically have their own team of ...
Swiss Roll (B)
(Indian Institute of Management Ahmedabad, 2016-07-07)
In the aftermath of global financial crisis of 2008 and the ensuing capital flows into Switzerland, the Swiss National Bank (SNB) decided to peg Swiss Franc (CHF) to the Euro (EUR), and announced that it would not let CHF ...
Hundred Million Dollar Beta
(Indian Institute of Management Ahmedabad, 2016-07-11)
This case is about the practical and conceptual issues involved in estimating the beta of a company for the purpose of computing the cost of capital using the CAPM (Capital Asset Pricing Model). In many applications of the ...
Swap Curve Steepener
(Indian Institute of Management Ahmedabad, 2017-12-27)
The case is about a decision problem facing James on whether or not to invest in a structured product called the “CMS Steepener” issued by a large US investment bank. The payoff from the product is linked to two constant ...
Blockchain in finance
(Indian Institute of Management Ahmedabad, 2019)
Blockchain—the decentralized replicated ledger technology that underlies Bitcoin and other cryptocurrencies—provides a potentially attractive alternative way to organize modern finance. Currently, the financial system ...
'It is extremely critical for the MPC to maintain credibility'
(Business Standard, 2021-08-23)