Flirting with Variance

Download PDF Introduction Variance swaps are OTC derivatives that allow investors to get direct exposure to the volatility of an underlying product, such as stock indexes, exchange rates and other asset classes. They initially gained popularity during the early 2000s following the advances in derivatives pricing theory. Their pure exposure Read more…

The Black-Scholes Model in VBA

The aim of this article is to walk the reader through the implementation of the Black-Scholes model for option pricing in VBA. Firstly, we’ll recap the theoretical framework. Secondly, we’ll provide the code to put the theory into practice and show some basic (but hopefully relevant) applications. The Theory – Read more…