Beschreibung
The study analyses stochastic differential equations by showing Itos lemma and solving the geometric Brown process. Interest rate model is also treated by using the drift condition and affine term structure by analyzing the liquidity and risk premium. Option pricing model is faced by using discretized methods and expected value for vanilla and exotic options with implications for hedging strategies, simulated result is presented with VBA code. Structural model is also considered by using a time dependent default barrier. Portfolio optimization is presented as well with Bayesians applications for smart beta. The percentile of the daily return is also analyzed with implications for the tails risks by using a mixture of normal distribution.
Autorenporträt
I am Graduate in Economics at University of Bologna, did a research at University College London & HEC School of Management, after I was Quant Analyst in a financial institution for several years
Herstellerkennzeichnung:
BoD - Books on Demand
In de Tarpen 42
22848 Norderstedt
DE
E-Mail: info@bod.de
