Tree
... Inorder Traversal • Start at the root • Visit the left child of each node, then the node, then any remaining nodes • Recursive algorithm for inorder traversal • If tree is not empty, • Perform inorder traversal of left subtree of root • Visit root node of tree • Perform inorder traversal of its rig ...
... Inorder Traversal • Start at the root • Visit the left child of each node, then the node, then any remaining nodes • Recursive algorithm for inorder traversal • If tree is not empty, • Perform inorder traversal of left subtree of root • Visit root node of tree • Perform inorder traversal of its rig ...
1 The Effect of Interest Rate Increase on Bond Investments in a Low
... We see here two kinds of accounting: the loss in the value of the bond, and the loss in the value of the bond account which includes the value of the bond and current coupon payments. A bond mutual fund. A typical bond mutual fund has share prices called NAVs. A bond fund typically pays interest pa ...
... We see here two kinds of accounting: the loss in the value of the bond, and the loss in the value of the bond account which includes the value of the bond and current coupon payments. A bond mutual fund. A typical bond mutual fund has share prices called NAVs. A bond fund typically pays interest pa ...
Measuring the Duration of Liabilities
... Macaulay and Modified Duration • Cash flows do not change with interest rates This does not hold for: – Collateralized Mortgage Obligations (CMOs) – Callable bonds – P-L liabilities – due to inflation-interest rate correlation ...
... Macaulay and Modified Duration • Cash flows do not change with interest rates This does not hold for: – Collateralized Mortgage Obligations (CMOs) – Callable bonds – P-L liabilities – due to inflation-interest rate correlation ...
Helyette Geman - slides - Oxford-Man Institute of Quantitative Finance
... → The convenience yield accounts for the benefit that accrues to the holder of the physical commodity but not to the holder of the futures contract. It is represented as an implicit dividend → The volatility of the commodity spot price is high when inventory is low → The volatility of Futures contra ...
... → The convenience yield accounts for the benefit that accrues to the holder of the physical commodity but not to the holder of the futures contract. It is represented as an implicit dividend → The volatility of the commodity spot price is high when inventory is low → The volatility of Futures contra ...
06effectiveness
... 147. Assessing hedge effectiveness will depend on its risk management strategy. 148. Sometimes the hedging instrument will offset the hedged risk only partially. 149. The hedge must relate to a specific identified and designated risk, and not merely to overall enterprise business risks, and must ult ...
... 147. Assessing hedge effectiveness will depend on its risk management strategy. 148. Sometimes the hedging instrument will offset the hedged risk only partially. 149. The hedge must relate to a specific identified and designated risk, and not merely to overall enterprise business risks, and must ult ...
Data Structures
... Figure 3.1 Graphic examples of the ‚, O, and ! notation is the minimum above by possible cg(n)value; any greater value would also tion to within constant factors. We write f .n/ D ‚.g.n// i and c2 such that at and to the right of n0 , the value of f .n/ a inclusive. (b) O-notation gives an upper bou ...
... Figure 3.1 Graphic examples of the ‚, O, and ! notation is the minimum above by possible cg(n)value; any greater value would also tion to within constant factors. We write f .n/ D ‚.g.n// i and c2 such that at and to the right of n0 , the value of f .n/ a inclusive. (b) O-notation gives an upper bou ...
Chapter 13 Trees - Margaret M. Fleck
... Base: h = 0. A tree of height zero contains only one node, so obviously the largest value in the tree lives in the root! Induction: Suppose that the claim is true for all full binary trees of height < h. Let T be a tree of height h (h > 0) which has the heap property. Since T is a full binary tree, ...
... Base: h = 0. A tree of height zero contains only one node, so obviously the largest value in the tree lives in the root! Induction: Suppose that the claim is true for all full binary trees of height < h. Let T be a tree of height h (h > 0) which has the heap property. Since T is a full binary tree, ...
Performance
... Search/traversal: breadth-first or depthfirst -- O(|V|+|E|) Routing: shortest path between two points (Dijkstra’s algorithm) -- O(|V|2+|E|) Minimum spanning tree -- O(|E|) Maximum Flow -- O(|V|3), O(|V|2|E|), O(|V||E|2) ...
... Search/traversal: breadth-first or depthfirst -- O(|V|+|E|) Routing: shortest path between two points (Dijkstra’s algorithm) -- O(|V|2+|E|) Minimum spanning tree -- O(|E|) Maximum Flow -- O(|V|3), O(|V|2|E|), O(|V||E|2) ...
quantitative finance after the recent financial crisis
... The results in the existing literature regarding the second question are mixed; furthermore, most of the empirical studies on the subject assume normally distributed jumps in equity returns. We found that a simple affine jump-diffusion model with both stochastic volatility and double exponential jum ...
... The results in the existing literature regarding the second question are mixed; furthermore, most of the empirical studies on the subject assume normally distributed jumps in equity returns. We found that a simple affine jump-diffusion model with both stochastic volatility and double exponential jum ...
Lecture Notes_Chapter 3
... Call (K, t) – Put (K, t) = PV (F0,t – K) • Call (K, t) and Put (K, t) denote the premiums of options with strike price K and time t until expiration ...
... Call (K, t) – Put (K, t) = PV (F0,t – K) • Call (K, t) and Put (K, t) denote the premiums of options with strike price K and time t until expiration ...
Chapter 16 PowerPoint
... Two nodes considered adjacent of neighbors if edge connects them Path between one node and another indicated by list of connect nodes between two Simple path is path with no repeated nodes Lesson 16.4 ...
... Two nodes considered adjacent of neighbors if edge connects them Path between one node and another indicated by list of connect nodes between two Simple path is path with no repeated nodes Lesson 16.4 ...
Complete Binary Trees
... Binary trees contain nodes. Each node may have a left child and a right child. If you start from any node and move upward, you will eventually reach the root. Every node except the root has one parent. The root has no parent. Complete binary trees require the nodes to fill in each level from ...
... Binary trees contain nodes. Each node may have a left child and a right child. If you start from any node and move upward, you will eventually reach the root. Every node except the root has one parent. The root has no parent. Complete binary trees require the nodes to fill in each level from ...
Complete Binary Trees
... will eventually reach the root. Every node except the root has one parent. The root has no parent. Complete binary trees require the nodes to fill in each level from left-to-right before starting the next level. ...
... will eventually reach the root. Every node except the root has one parent. The root has no parent. Complete binary trees require the nodes to fill in each level from left-to-right before starting the next level. ...
Lattice model (finance)
For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.