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Valuation and Risk Models By Shivgan Joshi

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Presentation on theme: "Valuation and Risk Models By Shivgan Joshi"— Presentation transcript:

1 Valuation and Risk Models By Shivgan Joshi http://stockcreditfinancecfa.blogspot.in/ http://stockcreditfinancecfa.blogspot.in/

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

3 Risk Neutral Approach using binomial tree Binomial trees Single step model E sd*(t)^.5 http://en.wikipedia.org/wiki/Binomial_options_pricing_model

4 Delta Hedging and Ratios

5 Coherent Risk http://en.wikipedia.org/wiki/Coherent_risk_measure

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

7 Worst case distribution Intensity of distribution for losses

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

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

10 Video lesson 3 Greek Letters Partial Derivatives Hedging risk using greeks

11 Video 4 Delta Hedging

12 References


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