'Option pricing' presentation slideshows

Risk-Neutral Valuation and the Binomial Model

Risk-Neutral Valuation and the Binomial Model. Chapter 11 Sorta. Objectives This segment introduces option pricing in a very simple setting. It has three key objectives: To describe the pricing of options by replication .

1.41k views • 80 slides

Option Market Basics

Option Market Basics. An Introduction to Project 2 Richard Cangelosi February 27, 2003. What Will be Discussed. The Language of options Payoff diagrams Put-call parity Option pricing Basic assumptions Simple model Requirements for Preliminary Report. Objective.

699 views • 53 slides

404 views • 40 slides

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options

Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options. Peter Christoffersen, Kris Jacobs and Chayawat Ornthanalai McGill University . FDIC Risk Management Conference April 12 th 2008. 1/18. Objectives . To understand how should jump dynamics be specified.

512 views • 37 slides

Topic 1: Introduction

Topic 1: Introduction. What is investment?. Traditional view: the current commitment of resources (monies) to achieve later benefits. A broader view: tailor the pattern of cash flows over time to be as desirable as possible. Tailoring cash flow pattern.

426 views • 36 slides

FINA0301 Derivatives Faculty of Business and Economics University of Hong Kong Dr. Huiyan Qiu

Chapter 2 An Introduction to Forwards and Options. FINA0301 Derivatives Faculty of Business and Economics University of Hong Kong Dr. Huiyan Qiu. Chapter Outline. Basic derivatives contracts Forward contracts Call options Put options Types of positions Long / Short position

502 views • 35 slides

Financial Option Market Model for Federated Cloud Environments

Financial Option Market Model for Federated Cloud Environments Adel Nadjaran Toosi * , Ruppa K. Thulasiram ? , and Rajkumar Buyya * * Cloud Computing and Distributed Systems (CLOUDS) Laboratory, Department of Comput ing and Information Systems

672 views • 34 slides

BUFN 722

BUFN 722. ch-19 Deposit Insurance and Other Liability Guarantees. Overview. The focus of this chapter is the mechanisms designed to protect FIs from liquidity crises. Federal Deposit Insurance Corporation Securities Investors Protection Corporation Pension Benefit Guaranty Corporation

488 views • 27 slides

Research Trends and Opportunities in Actuarial Science and Financial Mathematics

Research Trends and Opportunities in Actuarial Science and Financial Mathematics. Rick Gorvett, FCAS, ASA, CERA, MAAA, ARM, FRM, Ph.D. Director, Actuarial Science Program State Farm Companies Foundation Scholar in Actuarial Science University of Illinois at Urbana-Champaign MAA - Illinois

720 views • 25 slides

Bermudan Options with the Binomial Model

Bermudan Options with the Binomial Model. Who are we?. Amir Kazempour I ran. Hossein Nohrouzian Iran . Jessica Radeschnig Sweden. Analytical Finance. Agenda . The Binomial Model Pricing Different Options Example MATLAB Implementation Questions.

466 views • 25 slides

Option Pricing

416 views • 23 slides

REGULATION: A THEORETICAL FRAMEWORK

REGULATION: A THEORETICAL FRAMEWORK. OBJECTIVES:. Justify the existence of banking regulation Consider banking regulation within the theory of regulation Consider the effects adverse selection and moral hazard have on regulation. Why regulation?. Regulation is the response to market failure

527 views • 21 slides

Corporate Financial Decisions

Corporate Financial Decisions. Introduction Timothy A. Thompson. Goal of the Course. Application of Financial Principles to Strategic Decision Making. Principles of Finance. Valuation Discounted cash flow (DCF) Option valuation Risk and return models Capital asset pricing model (CAPM)

364 views • 18 slides

American and European put option

557 views • 17 slides

Call Option Pricing

Call Option Pricing. Using replicating portfolios. Call Options. Call Option, time T Payout Function. Call Option, Net Profit Function. Arbitrage: no riskless profits . Example: Possible stock price movements. Example: Possible call option payouts.

322 views • 15 slides

Advanced Mathematical Methods

497 views • 14 slides

Advanced Mathematical Methods

268 views • 14 slides

ECM C49F Financial Economics

ECM C49F Financial Economics. University of Toronto at Scarborough Travis NG Fall, 2005 Credit: This set of notes was first prepared by Prof. Walid Hejazi, Modified by Travis NG. Financial Economics. Readings: Course package

294 views • 12 slides

High-accuracy PDE Method for Financial Derivative Pricing Shan Zhao and G. W. Wei Department of Computational Science

High-accuracy PDE Method for Financial Derivative Pricing Shan Zhao and G. W. Wei Department of Computational Science National University of Singapore, . 1. Introduction. Major numerical approaches for option pricing ?Binomial tree model ?Finite difference method ?Monte Carlo simulation.

219 views • 9 slides

Financial Modeling

Financial Modeling. Paul A. Spindt. Financial Models. Models are stylized representations Abstractions from reality Designed to capture essentials Goal of modeling is to achieve insight Not to replicate reality Desire to understand how elements fit together and interact.

324 views • 5 slides