Finance 17
- Option pricing in a jumpy world
- Intro to Jump Diffusion Models
- Above and Beyond Black-Scholes world
- Duality between option prices and probability distributions
- Risk-neutral valuation
- Black-Scholes option pricing
- Single Period Binomial Model
- Formalizing Arbitrage
- No arbitrage principle
- To return or log return?
- VaR and CVaR through Monte Carlo simulations
- Value at Risk (VaR) of a single risk factor
- Value at Risk (VaR) and Conditional Value at Risk (CVaR)
- Hedging and Global Minimum Variance Portfolio
- Modern Porfolio Theory (MPT)
- Geometric Brownian Motion (GBM)
- Random walk as the basis of asset pricing models