FE RECAP

RECAP - Financial Engineering

BScholes closed form, non-proof. Is asset liability matching, Journal for Political Economy.

BScholes is not pricing, comparative volatility, factor equivalence. 

Implied volatility compare to historic NB non-determinate fractal.

Cox Ross Rubenstein

Ho Lee; Hull White; Garman Kolhagen.

CCDS x2 = two sided CPTY/ hedge, CPTY and hedge provider.

Asset = Put/Call COC conversion.

CRB, CTM theory paper is Duration Spread Approach to Correlation.

Duration Spread is the compound and complex derivative of Duration. 

DS = total set of variations of swap curve to Book, measured in BPV buckets.

One Basis Point Variation, all along the curve, and all buckets.