'Convexity adjustment' diaporamas de présentation

H.G. Wells

440 views • 31 slides

Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility

Modeling of Variance and Volatility Swaps for Financial Markets with Stochastic Volatility. Anatoliy Swishchuk Department of Mathematics & Statistics, York University, Toronto, ON, Canada Seminar-April 15, 2004 Department of Statistics, University of Toronto. Outline. Introduction

512 views • 30 slides

Alpha in Practice

Alpha in Practice. Eric Falkenstein. Alpha Examples. Best way to find alpha currently, is to see what alpha was like in the past Current alpha, as obvious as shown here, I, nor anyone else, would show you. Option Market Makers in 1980s. Outsiders could not arbitrage Bid-ask too large

581 views • 22 slides

Alpha in Practice

Alpha in Practice. Eric Falkenstein. Alpha Examples. Best way to find alpha currently, is to see what alpha was like in the past Current alpha, as obvious as shown here, I, nor anyone else, would show you. Option Market Makers in 1980s. Outsiders could not arbitrage Bid-ask too large

227 views • 22 slides

Fixed Income portfolio management: - quantifying & measuring interest rate risk

Fixed Income portfolio management: - quantifying & measuring interest rate risk. Interest rate risk measures: Duration Convexity PVBP Interest Rate Risk Management. Finance 30233, Fall 2010 S. Mann. Zero-coupon bond prices for various yields & maturities. Duration.

303 views • 16 slides