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FRM Success: Xcel Series Day 3

November 15, 2012
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Dear FRM Candidate,

Just a few days to to go! Hope you are making the best out of your study time by revising and solving plenty of practice questions.

Last week, we took a look at several trading strategies. I hope it helped cement your concepts. This time, we will look at more excel sheets on Financial Markets and Products and Valuation and Risk Models.

Financial Markets and Products:
1. Cheapest to Deliver - You can learn how to identify the cheapest to deliver in a T.Bond contract
2. Duration Hedging - Understand how to calculate the number of T.Bond contracts needed to hedge a bond portfolio.
3. Forex Futures Arbitrage - Discover arbitrage situations when interest rate parity does not hold.
4. Interest Rate Swap - Check out the mechanics of a plain vanilla interest rate swap

Valuation and Risk Models:
1. Option Pricing - Find the value of an option by both Black Scholes and Monte Carlo Simulation
2. VaR - Find the Historical VaR, Parametric VaR, EWMA Volatility, Margin Requirement based on VaR, and forecast the stock price using Geometric Brownian Motion.

I hope these models help you attain a deeper understanding of these topics.

Wishing you luck for your exams!
Team Pristine


About the Author

Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, it is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, and Operational Risk Modeling. EduPristine has conducted more than 500,000 man-hours of quality training in finance.


Global Association of Risk Professionals, Inc. (GARP®) does not endorse, promote, review or warrant the accuracy of the products or services offered by EduPristine for FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to EduPristine nor is GARP® responsible for any fees or costs of any person or entity providing any services to EduPristine Study Program. FRM®, GARP® and Global Association of Risk Professionals®, are trademarks owned by the Global Association of Risk Professionals, Inc

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