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Valuation and Risk Models

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

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Valuation and Risk Models

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  1. Valuation and Risk Models By Shivgan Joshihttp://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 • Esd*(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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