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Hi, I recently interviewed for a mbs analytics role and was asked whether the key rate duration on a 2X5 receiver swaption was either negative, zero or positive with respect to the 2-year key rate and the 7-year key rate. I answered that the duration was negative with respect to the 2-year key...

Hi, I'd like to learn more about these two types of fx exotic options both from a qualitative standpoint (i.e. motivations for trading, examples of trade ideas, scenario analysis under different correlation regimes etc.) and a quantitative standpoint (if any closed form pricing exists, monte...

Baxter & Rennie's Financial Calculus was recommended to me as a good introductory book to understanding pricing. I have a math and finance background and was able to get through the first 30 or so pages without major pause. However, on page 32, a definition is provided for a previsible process...