Hybrid Approach, Implied Volatility
Über den Vortrag
Der Vortrag „Hybrid Approach, Implied Volatility“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Valuation and Risk Models“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Hybrid Approach Steps
- Question
- Portfolio Volatility
- Implied Volatilities
- Discussion (VaR Methodology)
- Question (Historical Simulation)
Dozent des Vortrages Hybrid Approach, Implied Volatility
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com
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Auszüge aus dem Begleitmaterial
... implied volatility, calculated from a European call option, should be the same as that calculated from a European put option, when both have the same strike price and maturity implied ...
... distributional assumption is least appropriate for a portfolio that contains many embedded derivatives (e.g., options) is computationally fast ...
... simulated price returns as below for sample of 500 days and is trading at 70. What is ...
... as below for sample of 400 days and is trading at 100. What is the VaR at 99%? ...
... For VaR-I (Confidential) 60: Expect at least one ...
