Valuation and Risk Models By Shivgan Joshi

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Presentation transcript:

Valuation and Risk Models By Shivgan Joshi

Content Binomial trees Delta Hedging Coherent Risk Black Scholes Worst case distribution & Concept

Risk Neutral Approach using binomial tree Binomial trees Single step model E sd*(t)^.5

Delta Hedging and Ratios

Coherent Risk

Black Scholes (BSM Models) Lor normal distributed stock prices D1 D2 How these things comes from Stochastic Calculus

Worst case distribution Intensity of distribution for losses

Video Lesson 1 One step Binomial Model Risk neutral approach to option valuation Aim 41, Recommended book Hull

Video Lesson 2 Story of Black Scholes Log Normal distribution Normal Distribution

Video lesson 3 Greek Letters Partial Derivatives Hedging risk using greeks

Video 4 Delta Hedging

References

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