Options, futures, swaps, and the mathematics that price them. From basic mechanics through Greeks, pricing models, and risk management.
VaR is a quantile loss estimate, not a promise and not a worst-case number. Here is how to calculate it, backtest it, and report it without misleading anyone.
Treasury futures control $100,000 of notional on 1-3% margin, so hedges live or die on conversion factors, cheapest-to-deliver switches, and basis risk.
Position limit violations are accelerating as an enforcement priority—and the penalties are no longer symbolic.
The 2023 ION ransomware attack paralyzed clearing at 42 firms; derivatives cyber risk lives in vendor concentration and hard regulatory deadlines.
Position Greeks, the algebraic sum across all legs, reveal risk no single contract shows; a delta-neutral iron condor can still hide short vega.
The cross-currency basis is a live gauge of dollar scarcity, and its swings create mark-to-market losses hedgers cannot offset, hitting -100 bps in 2008.
