Figures for Chapter 24 VaR : STATISTICAL ISSUES (Financial Engineering : Derivatives and Risk Management)

Mar 15, 2014

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Figures for Chapter 24 VaR : STATISTICAL ISSUES (Financial Engineering : Derivatives and Risk Management). Figure 24.1 : Daily exchange rate returns (DM - pound sterling) . Figure 24.2(a) : SMA volatility (DM - pound sterling). 30 day window. 125 day window. 252 day window.

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Figures for Chapter 24 VaR : STATISTICAL ISSUES (Financial Engineering : Derivatives and Risk Management)

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Figures for Chapter 24VaR : STATISTICAL ISSUES(Financial Engineering : Derivatives and Risk Management) © K. Cuthbertson and D. Nitzsche
Figure 24.1 : Daily exchange rate returns (DM - pound sterling) © K. Cuthbertson and D. Nitzsche
Figure 24.2(a) : SMA volatility (DM - pound sterling) 30 day window 125 day window 252 day window © K. Cuthbertson and D. Nitzsche
Figure 24.2(b) : EWMA volatility (DM - pound sterling) © K. Cuthbertson and D. Nitzsche
Figure 24.3 : Histogram of call premium for 100 ‘runs’ © K. Cuthbertson and D. Nitzsche

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