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View Shawn Lim’s profile on LinkedIn, the world's largest professional community. Dynamic hedging and static replication of portfolios, risk neutral pricing model, interest rate models

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Static replication was best done using cash flow diagrams and has resulted in contractual equations with constant weights. Summary. This chapter introduces methods used in dealing with optionality in financial instruments. It discusses options from the point of view of an options market maker. Pricing and Replication. Book chapter Full

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It reviews static replication in the context of bond immunization. We then introduce dynamic hedging in the context of hedging bond positions before moving on to dynamic replication of options using binomial trees. First, we discuss Monte Carlo methods for option pricing including binary FX options. We show how path dependence can be

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relation to hedging and replication. Topics covered include: Simple Option Strategies Pricing Methods under the Black Scholes Assumptions Volatility Digital / Binary Options Barrier Options Asian Options Cliquet / Ratchet Options Equity Linked Forex Options (Quanto) Advanced Greeks for Exotic Options

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Static Options Replication. Emanuel Derman. is widely used in both fixed income and the foreign exchange (FX) markets. Static hedging and pricing of exotic options with payoff frames. Article.

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