Smile dynamics - PowerPoint PPT Presentation

Managing the Newest Derivatives Risks Michel Crouhy

Managing the Newest Derivatives Risks Michel Crouhy IXIS Corporate and Investment Bank / A subsidiary of NATIXIS Derivatives 2007: New Ideas, New Instruments, New markets NYU Stern School of Business, May 18, 2007. Agenda. Some Practical Aspects of Option Modelling:

★ ★ ★ ★ ★

604 views • 39 slides

Mathematical issues with volatility modelling

Mathematical issues with volatility modelling. Marek Musiela BNP Paribas. 25th May 2005. Contents. 1. Mixture models 2. Uncertain volatility models 3. Stochastic volatility models 4. Ergodicity 5. Selfsimilarity 6. What is mean reversion?. Motivation.

★ ★ ★ ★ ★

434 views • 21 slides

Mathematical issues with volatility modelling

★ ★ ★ ★ ★

269 views • 21 slides

View Smile dynamics PowerPoint (PPT) presentations online in SlideServe. SlideServe has a very huge collection of Smile dynamics PowerPoint presentations. You can view or download Smile dynamics presentations for your school assignment or business presentation. Browse for the presentations on every topic that you want.