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Product Coverage OTC Derivatives ISDA CSA Agreement Reg compliant IM CSA OTC Derivatives (cleared) CCP Clearing agreement Repo GMRA Commodities FOA/TOB (Future and Option Agreement) CSA: Credit Support Annex History: IOSCO: calls to develop a consistent global framework for margin requirements in non-centrally cleared derivatives in response to 2008 crisis.（监管要求） ISDA International Swap and Derivatives Association provided the legal framework: ISDA master agreement （法律框架） CSA （操作手册） Variation Margin (TODO: 读合同) Minimum Transfer Amount Indepedent Amount Threshold Interest Dispute resolution Settlement 3 versions, initially appeared in 1994 Initial Margin （GMRA） （FOA） Why the 2008 finacial crisis still triggered if the CSA has been already existed since 1994： ...

$$ C(S_t,t) = N(d_+) S_t - N(d_{-})Ke^{-r(T-t)} $$ Where N is the c.d.f of the normal distribution. B.S. formula services as an accurate mathmatical model to price the option, and enbale the people to hedge the risk against almost any underlying assets. The Greeks for Black–Scholes are given in closed form below. They can be obtained by differentiation of the Black–Scholes formula. Great Introduction: ...

Concept What is a database? A structured set of computerized data with accessible interface SQL: Structure Query Language (SQL), A standard language used in all relational database management system Install the database Two components: MySQL SQL workbench Add the mysql to the environment variable open ~/.zshrc ## add the mysql bin ## no spaces around the = export PATH=${PATH}:/usr/local/mysql/bin ## The save the file source ./zshrc Hierachy: Server -> Multiple database -> Multiple sheets Basic Select, Create, Delete ...

Common Terminologies in Graph Thoery Define an undirected graph with the natrual order as $G = (V,E,\sigma)$ where $V$ is the set of the vertices, $E$ is the set of edges and $\sigma$ is the natrual ordering. Chordal graph A chordal is a path of undirected graph between two non-conescutive vertices. (“shortcut”" between two vertices") A chordal graph referes to every cycle of length four or greater of a simple graph has a chord. (triangulated graph) Chordal Completion ...

Clique seperator Decomposition by clique seperator (Tarjan, 1985) Main Idea: Based on the idea of ‘divide and conquer’, this paper proposed an graph decomposition algorithm by finding the clique seperator recursively. The decomposition results in a binary decomposition tree. The author suggested some general ideas to tackle 4 NP-hard problems by ultlizing the binary decomposition tree. Preliminaries Perfect elimination ordering, Clique, Minimal and Minimum ordering, Seperator Algorithms Text description ...

Overview Revisitting the sparse matrix technology. ...

Monte Carlo Tree Search Summary...

Reinforcement Learning Algorithms Summary...

Markov Property (MP)...

Overview Normal Equation is a method in parallel with gradient descent algorithm to minimize the cost function J. ...