Valuation and Risk Models By Shivgan Joshi
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Transcript of Valuation and Risk Models By Shivgan Joshi
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Valuation and Risk Models
By Shivgan Joshihttp://
stockcreditfinancecfa.blogspot.in/
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Content
• Binomial trees• Delta Hedging• Coherent Risk• Black Scholes • Worst case distribution & Concept
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Risk Neutral Approach using binomial tree
• Binomial trees• Single step model• Esd*(t)^.5
http://en.wikipedia.org/wiki/Binomial_options_pricing_model
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Delta Hedging and Ratios
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Coherent Risk
http://en.wikipedia.org/wiki/Coherent_risk_measure
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Black Scholes (BSM Models)
• Lor normal distributed stock prices • D1• D2
• How these things comes from Stochastic Calculus
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Worst case distribution
• Intensity of distribution for losses
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Video Lesson 1
• One step Binomial Model• Risk neutral approach to option valuation• Aim 41, Recommended book Hull
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Video Lesson 2
• Story of Black Scholes• Log Normal distribution • Normal Distribution
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Video lesson 3
• Greek Letters• Partial Derivatives• Hedging risk using greeks
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Video 4
• Delta Hedging
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References