+ All Categories

Home > Documents > Review dynamic hedging & BS PDE - Sebastian...

Review dynamic hedging & BS PDE - Sebastian...

Date post:	10-Oct-2020
Category:	Documents
Upload:	others
View:	2 times
Download:	0 times

Download Report this document

Share this document with a friend

Embed Size (px):

10

Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM STA2503-04 Page 1

Transcript

Page 1: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Review dynamic hedging & BS PDEWednesday, October 11, 2017 2:09 PM

STA2503-04 Page 1

Page 2: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

STA2503-04 Page 2

Page 3: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Feynman-Kac part IWednesday, October 11, 2017 2:38 PM

STA2503-04 Page 3

Page 4: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Feynman-Kac part 2Wednesday, October 11, 2017 3:15 PM

STA2503-04 Page 4

Page 5: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

STA2503-04 Page 5

Page 6: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

STA2503-04 Page 6

Page 7: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Feynman-Kac part 3Wednesday, October 11, 2017 4:11 PM

STA2503-04 Page 7

Page 8: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

STA2503-04 Page 8

Page 9: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Delta-HedgingWednesday, October 11, 2017 4:28 PM

STA2503-04 Page 9

Page 10: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

STA2503-04 Page 10

Recommended

Arbitrage-Free Pricing of XVA...XVA Pricing A. Capponi Motivation Model Hedging Arbitrage Theory Explicit Examples PDE Repre-sentations Conclusion Arbitrage-Free Pricing of XVA Agostino

Programa de Desenvolvimento Educacional - PDE. I Seminário Integrador Turma PDE 2013.

HEDGING LINEAR RISK. HEDGING Risk that has been measured can be managed Hedging: taking positions that lower the risk profile of the portfolio Hedging.

Klainerman PDE UnifiedSubject

CERTIFICATION!!!!. PDE Website

PDE Intro Strauss

Transforming Drug Discovery Innovative ...€¦ · Drug Discovery at Scale PDE-1b – ADHD PDE-2 – Bone Healing, Cognition, Inflammatory Pain PDE-4 – COPD, Asthma PDE-4B – Cognition

PDE Full Solutions

PDE Matlab Tutorial

PDE Notes Tao.ps

Chapter--7777 Pricing and Hedging Performance of thethe BS ...shodhganga.inflibnet.ac.in/bitstream/10603/31751/12/12_chapter 7.pdf · Chapter-7 Pricing and Hedging Performance of

Price volatility Overview of hedging instruments Hedging with futures Hedging with options Hedging with swaps Adapting the instrument & strategy to the.

Inyeccion PDE Descripcion

Hedging Under an Expected Loss Constraint with Small ... · (PDE) technique that we use has its origins in a recent paper [53]. It is based on the theory of the viscosity approach