The aim is to achieve transparency in derivatives real time pricing.
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| A SQUARE :: 07May08 Replicating the market-to-market price of all derivative instruments |
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Category
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Derivative Pricing
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Faculty
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David Gershon
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Expertise
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Derivative Pricing
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Author
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Sona Blessing
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The model accurately and consistently replicates the market prices of all options types as traded in the inter-bank broker markets for currencies, interest rates, equities, energy, commodities, CDOs.
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