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Advanced Risk Management Strategies in Financial Markets

Explore advanced financial risk management techniques, including options strategies, asset yields comparison, and continuous market operations. Learn from Zvi Wiener and P. Jorion's insights on financial risk management principles.

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Advanced Risk Management Strategies in Financial Markets

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  1. Financial Risk Management Zvi Wiener Following P. Jorion,Financial Risk Manager Handbook FRM

  2. Chapter 6Options Following P. Jorion 2001 Financial Risk Manager Handbook FRM

  3. Assumptions of BS • The underlying price moves continuously • Interest rates are known and constant • The variance of returns is constant • Perfect capital markets • no transaction costs • short sales are allowed • markets operate continuously • price taking Zvi Wiener

  4. Zvi Wiener

  5. Exchange Option (Margrabe 78) r should be replaced by the difference of yields of the two assets. Zvi Wiener

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