Risk 1 - Hans Buehler

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Daily Return / Initial Fair Value Modeling <strong>Risk</strong> – Basics 40% Naked European Call (matures 99% OTM) 30% 20% 10% 0% -10% -20% Using actual -30% HSI market 04-Jul-08 04-Sep-08 04-Nov-08 04-Jan-09 04-Mar-09 data 04-May-09 13
Daily Return / Initial Fair Value Modeling <strong>Risk</strong> – Basics 40% Delta-Hedging an European Call 30% 20% Unhedged Hedged 10% 0% -10% -20% -30% 04-Jul-08 04-Sep-08 04-Nov-08 04-Jan-09 04-Mar-09 04-May-09 14
Page 1 and 2: Equity Derivatives Teach-In Modelin
Page 3 and 4: Contents • Introduction, Overview
Page 5 and 6: Modeling Risk Basics 4
Page 7 and 8: Modeling Risk - Basics Black & Scho
Page 13: Fair Value -200% -180% -160% -140%
Page 17 and 18: Probability Modeling Risk - Basics
Page 23 and 24: Modeling Risk - Local Volatility Bl
Page 25 and 26: Modeling Risk - Local Volatility Bl
Page 27 and 28: Implied Vol 8346 9737 11128 12519 1
Page 29 and 30: Modeling Risk - Local Volatility Du
Page 31 and 32: Implied Volatility Implied Volatili
Page 33 and 34: Thank you very much for your attent

Risk 1 - Hans Buehler

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