finance Archives - Sarbojeet Saha

Learning from the Terra Meltdown

Sarbo — Wed, 29 Jun 2022 22:41:21 +0000

The last 6 weeks have certainly been a painful experience for cryptocurrency enthusiasts and investors, with Bitcoin crashing a full 35% since May 15th (and, at the time of writing, a staggering 71% from its all-time high from mid-November 2021). Given Bitcoin’s dominance in the crypto market, wherein it accounts for roughly 42% of the […]

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Understanding the SABR Model for Option Pricing

Sarbo — Fri, 10 Jun 2022 16:36:54 +0000

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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Why Financialisation Damages Markets and Destroys Value

Sarbo — Thu, 21 Jan 2021 14:42:45 +0000

When future economic (and regular) historians will look back over the past century of financial crashes and panics, one wonders what they will conclude. They may argue that we sowed the seeds of our own fiscal and financial destruction. If so, they will certainly be correct. We must ask ourselves why this keeps happening. Supposedly, […]

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Always remember your “hidden client”

Sarbo — Sun, 27 Dec 2020 09:29:49 +0000

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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Beware of geeks bearing models

Sarbo — Sun, 13 Dec 2020 13:05:01 +0000

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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How and why Product Control teams fail

Sarbo — Sun, 06 Dec 2020 17:16:08 +0000

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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The difference between risk and uncertainty

Sarbo — Sat, 28 Nov 2020 05:41:53 +0000

Given the turbulence seen in financial markets and elsewhere these days, people are rightly confused and worried about the future. Forward planning under current circumstances is incredibly difficult. I have spoken to good friends who are used to planning months or even years ahead in their businesses. But these days, most of them cannot plan […]

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