banking Archives - Sarbojeet Saha https://sarbosaha.com/tag/banking/ Independent consultant and entrepreneur Fri, 10 Jun 2022 18:34:47 +0000 en-US hourly 1 https://wordpress.org/?v=6.9 175164789 Understanding the SABR Model for Option Pricing https://sarbosaha.com/understanding-the-sabr-model-for-option-pricing/ https://sarbosaha.com/understanding-the-sabr-model-for-option-pricing/#respond Fri, 10 Jun 2022 16:36:54 +0000 https://sarbosaha.com/?p=879 When pricing options, one must always be careful to model the implied volatility of the instrument appropriately. This is not actually particularly easy, because implied volatility is, by definition, not observable in the market. It is essentially a value that, when you plug it into your pricing model, returns back the actual market value of […]

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]]> https://sarbosaha.com/understanding-the-sabr-model-for-option-pricing/feed/ 0 879 Always remember your “hidden client” https://sarbosaha.com/always-remember-your-hidden-client/ https://sarbosaha.com/always-remember-your-hidden-client/#respond Sun, 27 Dec 2020 09:29:49 +0000 https://sarbosaha.com/?p=770 Most of us like to think that our jobs are simple and straightforward. We get a specific task by our managers or bosses. And we then set out to accomplish that task to the best of our abilities. If we do a good job, our bosses reward us. If we do a bad job, they […]

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]]> https://sarbosaha.com/always-remember-your-hidden-client/feed/ 0 770 Beware of geeks bearing models https://sarbosaha.com/beware-of-geeks-bearing-models/ https://sarbosaha.com/beware-of-geeks-bearing-models/#respond Sun, 13 Dec 2020 13:05:01 +0000 https://sarbosaha.com/?p=713 Modelling complex phenomena is as much an art as it is a science. The past twenty years have given us a number of examples where models have gone very badly wrong. These examples serve to demonstrate very clearly the inherent dangers of taking models too seriously. Above all, they have shown us that we must […]

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]]> https://sarbosaha.com/beware-of-geeks-bearing-models/feed/ 0 713 How and why Product Control teams fail https://sarbosaha.com/why-product-control-teams-fail/ https://sarbosaha.com/why-product-control-teams-fail/#respond Sun, 06 Dec 2020 17:16:08 +0000 https://sarbosaha.com/?p=663 Product control in the context of capital markets is one of the most important functions in any organisation that trades financial products. The timely, complete, and accurate reporting of profit and loss (P&L) is essential to the proper functioning of such a business. But that is merely the most basic task of a good product […]

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