Knowledge Base

Catalog

• Alex's Enterprise Forex Column

  • Enterprise Cross-Border Financing Arbitrage Practical Guide: The Closed-Loop Model of Internal Guarantee External Loan + Rate Locking and Certificate of Deposit Pledge + Working Capital Loan
  • Enterprise Exchange Rate Risk Management Business Operation Guide: Practical Application of Macroeconomic Signals - Exposure Alerts - Strategy Matching
  • Forex Hedging Optimization Loop: Strategy Planning - Execution Implementation - Performance Review
  • Optimizing Enterprise Settlement Exchange Rates: A Practical Guide to the Step-Ladder Hedging + Dynamic Rebalancing Model

• Basic

• Credit

  • A Step-by-Step Guide to Calculating Credit Valuation Adjustment (CVA, DVA, BCVA)
  • 信用曲线怎么建：债券利差、CDS 与违约概率

• Fixedincome

  • Bond classification
  • Bond Option Pricing Principles
  • Bond Riding the Yield Curve Strategy
  • Calculation of Indicators under the Three Classifications of Bond Trading Accounting
  • Cap/Floor Volatility Surface Construction
  • Carry and Roll-down of Interest Rate Swaps
  • Hyperbolic Framework: OIS Discounting + IBOR Forward Rates
  • Interest Rate Caps & Floors
  • Interest Rate Swaptions (Swaption)
  • Practical Implementation and Modeling of Swaption Cube Construction
  • SOFR Curve Construction Methodology: Instruments, Process, and Practice
  • 中国可转债：强赎、回售、下修与转股价值

• Glossary of Structured Products

  • Autocallables
  • Autocallables - CSI500
  • Autocallables - EURUSD
  • A股雪球：敲入、敲出、锁定期与 LocalVol 蒙特卡洛
  • Calculation of Greeks for Cross-Asset Structured Derivatives
  • Digital Structure (Digitals)
  • Double No Touch
  • Dual Sharkfin
  • EUR/USD Daily Observation Discrete Double No-Touch Option
  • Extracting Implied Forward and Implied Dividend Curves from the Options Market: Theory and Practice
  • Foreign Exchange-Linked Option Transaction ("Transaction")
  • Foreign Exchange-Linked Option Transaction (Call Spread)
  • Mathema(MCPx) Structured Derivatives Product Definition and Payoff Script Usage Guide
  • Meridian MCPx - OTC Derivatives Pricing and Valuation Module Introduction
  • Range Accrual
  • RMB-Linked EUR/USD Daily Observation Discrete Range Accrual Option
  • Single Touch
  • Single-Way Sharkfin
  • 凤凰、气囊与累计器：零售结构化产品谱系

• Pricing

  • American Options
  • Application of Partial Differential Equations (PDEs) in Option Pricing
  • Asian Options
  • Barrier Options
  • Basic Concepts of Interest Rates
  • Binomial Tree Model: Principles, In-Depth Research, and Applications
  • Black-Scholes Model
  • Brownian Motion and Wiener Process
  • Business Day Conventions
  • Calculation and Application of Historical Volatility: Models and Comparisons
  • Calculation and Models of Financial Asset Correlation
  • Calibration Process of the Dupire Model
  • Concepts Related to Normal Distribution
  • Construction of the FX Options Volatility Surface
  • Definition of Standard Interbank Option Structure Volatilities
  • Definition Rules for Buy/Sell Directions in Option Combinations
  • Detailed Explanation of the Vanna-Volga Pricing Method
  • Digital Options
  • Foreign Exchange Options Greeks (Greek Letters) Complete Guide
  • Fourier Transform
  • How to Calculate Cross Currency Pair Exchange Rates?
  • How to Calculate Cross-Currency Pair Volatility?
  • Hull-White Model and Its Extensions: Theory, Applications, and Multi-Factor Models
  • Interest Calculation Rules
  • Interest Rate Curve Construction: Building Interest Rate Curves Using the Bootstrapping Method
  • Interest Rate Types
  • Interpolation
  • Local Volatility Models
  • Local-Stochastic Volatility Models (LSV Models)
  • Mean variance and standard deviation
  • Normal vs. Lognormal Volatility
  • Parametric Curve Construction Models and Applications
  • Pricing Callable and Putable Bonds Using the Black-Derman-Toy Model
  • Pricing Theory for Range Accrual Options Based on the Trinomial Tree Model
  • Quanto Adjustment
  • Random Number Generation
  • Stochastic Volatility Models
  • Summary of Foreign Exchange Option Rules
  • The SABR Model and Its Application in Constructing Foreign Exchange (FX) Smile Curves
  • The SVI Model and Its Application in Constructing Foreign Exchange (FX) Smile Curves
  • The Vanna-Volga Model and Its Application in Constructing Foreign Exchange (FX) Smile Curves
  • Trinomial Tree Model: An Efficient Numerical Method for Option Pricing, In-Depth Research, and Applications
  • Valuation of Digital Options via European Option Replication
  • Volatility Surface Construction Models
  • 交叉货币远期与 XCCY Basis：从利率平价到基差调整
  • 结构化产品该用哪条波动率：HistVol / ImpliedVol / LocalVol / SLV
  • 美式期权：从 BAW 近似到 Longstaff-Schwartz
  • 障碍期权 Smile 下的价格连续：KI / KO 与 Vanna-Volga

• Publications

• Risk

  • 从单笔定价到组合估值：历史模拟 VaR 与情景重估
  • 市场数据快照与就绪检查：脏数据如何让估值看起来对、其实错

• Strategy

  • Analysis of Curve Spread, Basis, and Butterfly Strategies in Interest Rate Swap Trading
  • Attribution Analysis in Bond Trading
  • Position and Cash Flow Management of Interest Rate Swaps: A Comprehensive Analysis Using 4.2 Years as an Example
  • RMB Foreign Exchange and Foreign Exchange Option Arbitrage Strategies
  • The Concept of Key Rate Duration and Its Application Exploration in China's Fixed Income Market

• Toolbox

  • In-Depth Analysis: Construction of EURUSD Option Volatility Surface, Pricing, and Greek Calculations in Murex System – A Comparative Study with MCPx and Bloomberg
  • Volatility Surface Construction - Validation Logic Explanation

• Vanilla

  • American Option
  • Asian Option
  • Barrier (European)
  • Digital Option（European）
  • Enterprise Exchange Rate Market Risk Management Strategy
  • European Options
  • Foreign Exchange Asian Options
  • Foreign Exchange Asian Options – Pricing Principles
  • Meridian Asian Options Solution
  • Structured Products for Exchange Rate Hedging – Average Forward
  • Structured Products for Exchange Rate Hedging – Capped Forward
  • Structured Products for Exchange Rate Hedging – Floor Forward
  • Structured Products for Exchange Rate Hedging – Forward Extra
  • Structured Products for Exchange Rate Hedging – Range Forward
  • Structured Products for Exchange Rate Hedging – Ratio Forward
  • Structured Products for Exchange Rate Hedging – Seagull Forward
  • Structured Products for Exchange Rate Hedging – Zero-Cost Collar
  • Valuation of Forex Spot/Forward/Swap and Forex Options

• Welcome to the help page of Mathema Options!