أوبشن - فويتشر - CFD
Mapping a European stock option
A European stock option can be mapped to two positions: 1. A Long position in the asset, plus 2. a ...
VaR of Forward Foreign Currency Contract
First, we used the formula for the value of a forward contract to identify the three risk factors. T...
How d2 in Black-Scholes becomes PD in Merton model
In Black-Scholes, N(d2) is the probability that the option will be struck in the risk-neutral world....
Risk factors in a forward foreign currency contract
We use the formula for the value of a forward contract to infer the three risk factors that can be m...
Undiversified bond value at risk (VaR)
This illustrates the calculation of value at risk (VaR) for a two-bond portfolio....
How d2 in Black-Scholes becomes PD in Merton model
In Black-Scholes, N(d2) is the probability that the option will be struck in the risk-neutral world....
Risk factors in a forward foreign currency contract
We use the formula for the value of a forward contract to infer the three risk factors that can be m...
Undiversified bond value at risk (VaR)
This illustrates the calculation of value at risk (VaR) for a two-bond portfolio....
Bond returns value at risk (VaR) as bond risk
Bond risk can be measured by "price returns value at risk (VaR)" where the price returns V...
Monte carlo simulation: Brownian motion
This is a classic building block for Monte Carlos simulation: Brownian motion to model a stock price...
