Exponential Function
... If n = 360 days then Then P(1+r) n = P(1.0002569) 360 ≈ 1.0969% and the effective rate is also 9.69% ...
... If n = 360 days then Then P(1+r) n = P(1.0002569) 360 ≈ 1.0969% and the effective rate is also 9.69% ...
Greeks
... Delta-neutral straddle implied volatility (ATMV): A straddle is a portfolio of a call & a put at the same strike. The strike here is set to make the portfolio delta-neutral ⇒ d1 = 0. 25-delta risk reversal: RR25 = IV (∆c = 25) − IV (∆p = 25). 25-delta butterfly spreads: BF25 = (IV (∆c = 25) + IV (∆p ...
... Delta-neutral straddle implied volatility (ATMV): A straddle is a portfolio of a call & a put at the same strike. The strike here is set to make the portfolio delta-neutral ⇒ d1 = 0. 25-delta risk reversal: RR25 = IV (∆c = 25) − IV (∆p = 25). 25-delta butterfly spreads: BF25 = (IV (∆c = 25) + IV (∆p ...
Yield Curves - Bank of England
... How often is the information on this site updated? Why doesn't the spreadsheet for the latest month contain up-to-date data? At which frequency are the yields compounded and how are they quoted? What are the day count conventions? Why are the yields not available for all maturities on some trading d ...
... How often is the information on this site updated? Why doesn't the spreadsheet for the latest month contain up-to-date data? At which frequency are the yields compounded and how are they quoted? What are the day count conventions? Why are the yields not available for all maturities on some trading d ...
Family Games, Inc. Case 4-4
... Step 2: The Facts (cont.) Transaction began 12/30/07 and is expected to be finished 1/2/08 CFO tells Strom to record $12 million revenue in 2007 Strom refuses to “cook the books” CFO leaves Strom with ultimatum approved by CEO ...
... Step 2: The Facts (cont.) Transaction began 12/30/07 and is expected to be finished 1/2/08 CFO tells Strom to record $12 million revenue in 2007 Strom refuses to “cook the books” CFO leaves Strom with ultimatum approved by CEO ...
Succinct tree representations
... blocks, each of size k, then we can store it using (n/k) lg n + (n/k) k lg k = (n/k) lg n +n lg k bits. A careful two-level `tree covering’ method achieves a space bound of 2n+o(n) bits. ...
... blocks, each of size k, then we can store it using (n/k) lg n + (n/k) k lg k = (n/k) lg n +n lg k bits. A careful two-level `tree covering’ method achieves a space bound of 2n+o(n) bits. ...
Pascal`s Triangle
... If they were all different, there would be 8! Ways of arranging them. As there are 5 identical As, we need to divide by 5! ...
... If they were all different, there would be 8! Ways of arranging them. As there are 5 identical As, we need to divide by 5! ...
The Post-2008 Economic Soft Depression and Your Portfolio
... Viking Medium Risk Portfolio • Seeks growth-based returns from a diversified portfolio of mostly global dividend-paying blue-chip multinationals and high quality bonds • May invest in REITs, gold and commodities • Defensive asset allocation designed to reduce risk • Consumer staples and healthcare ...
... Viking Medium Risk Portfolio • Seeks growth-based returns from a diversified portfolio of mostly global dividend-paying blue-chip multinationals and high quality bonds • May invest in REITs, gold and commodities • Defensive asset allocation designed to reduce risk • Consumer staples and healthcare ...
Means and Measures to Giving Greater
... • Not directly related to price spikes, but AS value correlates with flexible and fast response demand and supply – which can reduce materiality of price spikes over time • Fuel cycles are very long, but El Nino / La Nina’s are arguably more predictable in nature – to the extent that price spikes co ...
... • Not directly related to price spikes, but AS value correlates with flexible and fast response demand and supply – which can reduce materiality of price spikes over time • Fuel cycles are very long, but El Nino / La Nina’s are arguably more predictable in nature – to the extent that price spikes co ...
OPTIONS AND FUTURES CONTRACTS IN ELECTRICITY FOR
... market allows the participant to go long or short, that is, changing positions, by buying or selling futures contracts at any time. At the end, the ultimate buyers and sellers of electricity will trade the physical commodities, but in between, a large number of transactions in futures will take plac ...
... market allows the participant to go long or short, that is, changing positions, by buying or selling futures contracts at any time. At the end, the ultimate buyers and sellers of electricity will trade the physical commodities, but in between, a large number of transactions in futures will take plac ...
Pricing and hedging in exponential Lévy models: review of recent
... A great advantage of exponential Lévy models is their mathematical tractability, which makes it possible to perform many computations explicitly and to present deep results of modern mathematical finance in a simple manner. This has led to an explosion of the literature on option pricing and hedgin ...
... A great advantage of exponential Lévy models is their mathematical tractability, which makes it possible to perform many computations explicitly and to present deep results of modern mathematical finance in a simple manner. This has led to an explosion of the literature on option pricing and hedgin ...
25-btrees
... Regular main-memory algorithms that work one data element at a time can not be "ported" to secondary storage in a straight forward way ...
... Regular main-memory algorithms that work one data element at a time can not be "ported" to secondary storage in a straight forward way ...
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.