October 20, 2014 Interest Rate Risk Management Weekly Update Current Rate Environment
... possible spread to the US. Sparking the rapid sell off in equities and its reciprocal Treasury rally starting on Wednesday was poorer than expected retail sales data in the US, fueling fear of a zero inflation environment. All asset classes were affected by high volatility for the rest of the week, ...
... possible spread to the US. Sparking the rapid sell off in equities and its reciprocal Treasury rally starting on Wednesday was poorer than expected retail sales data in the US, fueling fear of a zero inflation environment. All asset classes were affected by high volatility for the rest of the week, ...
binary search tree
... Child and Parent Every node except the root has one parent A node can have zero or more children Leaves: nodes with no children Also called external nodes Internal node: having one or more children Siblings: nodes having the same parent ...
... Child and Parent Every node except the root has one parent A node can have zero or more children Leaves: nodes with no children Also called external nodes Internal node: having one or more children Siblings: nodes having the same parent ...
Greeks- Theory and Illustrations
... To achieve Vega neutrality we can add 4000 options. Delta increases by (.6) (4000) = 2400 So we sell 2400 units of asset to maintain delta neutrality. As the same time, Gamma changes from – 5000 to ...
... To achieve Vega neutrality we can add 4000 options. Delta increases by (.6) (4000) = 2400 So we sell 2400 units of asset to maintain delta neutrality. As the same time, Gamma changes from – 5000 to ...
DETERMINANTS OF IMPLIED VOLATILITY FUNCTION ON THE
... The groundbreaking work of Black and Scholes (1973) on option pricing assumes that all option prices on the same underlying asset with the same expiration date and different exercise prices should have the same implied volatility (IV) (Canina & Figlewski, 1993). However, few studies find that IV ten ...
... The groundbreaking work of Black and Scholes (1973) on option pricing assumes that all option prices on the same underlying asset with the same expiration date and different exercise prices should have the same implied volatility (IV) (Canina & Figlewski, 1993). However, few studies find that IV ten ...
REAL CLIENT MANAGED PORTFOLIOS MEMORANDUM
... Financial Analysis and Valuation Gentex has been sustaining a stable set of Return on Assets and Return on Equity, with approximately 15% and 13% from 2007 to 2011. Its profit margin declined quickly due to the economic crisis in 2008 and 2009, and immediately picked up again in 2010, which is 16.87 ...
... Financial Analysis and Valuation Gentex has been sustaining a stable set of Return on Assets and Return on Equity, with approximately 15% and 13% from 2007 to 2011. Its profit margin declined quickly due to the economic crisis in 2008 and 2009, and immediately picked up again in 2010, which is 16.87 ...
mainstream theory ii - American University
... 1. What is the Generalized Axiom of Revealed Preference (GARP)? What is GARP’s significance for consumer theory? (Address both theory and empirics.) How might you go about testing GARP with consumer data? (Provide an algorithm, and illustrate it’s use.) Be sure to include a full discussion of the co ...
... 1. What is the Generalized Axiom of Revealed Preference (GARP)? What is GARP’s significance for consumer theory? (Address both theory and empirics.) How might you go about testing GARP with consumer data? (Provide an algorithm, and illustrate it’s use.) Be sure to include a full discussion of the co ...
derivative security - the School of Economics and Finance
... Course Overview Introduction to Derivatives: in general • What is a derivative? • Derivatives markets ...
... Course Overview Introduction to Derivatives: in general • What is a derivative? • Derivatives markets ...
test two review problems
... 2. The price of a house is reduced 10% to a new price of $360,000. What was the original ...
... 2. The price of a house is reduced 10% to a new price of $360,000. What was the original ...
Binomial lattice model for stock prices
... Observe that a portfolio of stock and risk-free asset always has a well-defined price: a portfolio’s price (cost) at time t = 0 is its worth, αS0 + β, and its price at time t = n, n ≥ 0 is its worth at that time, αSn + β(1 + r)n . For example at time t = 1 our (2.3, −7.4) portfolio is worth 2.3S1 − ...
... Observe that a portfolio of stock and risk-free asset always has a well-defined price: a portfolio’s price (cost) at time t = 0 is its worth, αS0 + β, and its price at time t = n, n ≥ 0 is its worth at that time, αSn + β(1 + r)n . For example at time t = 1 our (2.3, −7.4) portfolio is worth 2.3S1 − ...
A EXTENDED WITH ROBUST OPTION REPLICATION FOR BLACK-
... effects and B h is fBm with Hurst index h E It is known that B h for h E 1[ is a process of unbounded variation and square variation zero. See [8, 10]. From this it follows that B h is not a semi-martingale and the use of fractional Brownian motion B h or a more general process Z with zero quadratic ...
... effects and B h is fBm with Hurst index h E It is known that B h for h E 1[ is a process of unbounded variation and square variation zero. See [8, 10]. From this it follows that B h is not a semi-martingale and the use of fractional Brownian motion B h or a more general process Z with zero quadratic ...
Connolly/Lin/Mujeeb
... (The displaced subtree of αbr is “substituted” into the foot of βpp .) Now a modifying prepositional phrase can be added at node 2.2 of the (current) derived tree. However, by our ordering rules, the modifying PP (e.g., “to the picnic”) should actually have been added to βpp before βpp is adjoined i ...
... (The displaced subtree of αbr is “substituted” into the foot of βpp .) Now a modifying prepositional phrase can be added at node 2.2 of the (current) derived tree. However, by our ordering rules, the modifying PP (e.g., “to the picnic”) should actually have been added to βpp before βpp is adjoined i ...
The bright side of higher rates
... Interest rates on U.S. government bonds have increased with market expectations of a Federal Reserve rate hike in December. Rising rates on longer-term bonds reflect optimism about the U.S. economy — growth is accelerating and consumer prices show signs of increasing following an extended period of ...
... Interest rates on U.S. government bonds have increased with market expectations of a Federal Reserve rate hike in December. Rising rates on longer-term bonds reflect optimism about the U.S. economy — growth is accelerating and consumer prices show signs of increasing following an extended period of ...
C14_Reilly1ce
... • Binomial model is discrete method for valuing options because it allows security price changes to occur in distinct upward or downward movements • Prices can change continuously throughout time • Advantage of Black-Scholes approach is relatively simple, closed-form equation capable of valuing opti ...
... • Binomial model is discrete method for valuing options because it allows security price changes to occur in distinct upward or downward movements • Prices can change continuously throughout time • Advantage of Black-Scholes approach is relatively simple, closed-form equation capable of valuing opti ...
Price Planning
... enormous amount of data that Web-based pricing technology crunches into timely, usable information. • Communicating Prices to Customers – electronic gadgets that provide real-time pricing information such as electronic shelves, digital price labels ...
... enormous amount of data that Web-based pricing technology crunches into timely, usable information. • Communicating Prices to Customers – electronic gadgets that provide real-time pricing information such as electronic shelves, digital price labels ...
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.