Risk 1 - Hans Buehler

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Modeling <strong>Risk</strong> Local Volatility 21
Modeling <strong>Risk</strong> – Local Volatility Black & Scholes – Implied Volatility • Recall the Black&Scholes formula for a European call: FV( T,Stoday) : = DF( T) = DF( T) E S BS ( T) K F(T)N ( d ) KN( d ) d = ln( F( T) / K) s BS T 1 2 s 2 BS T 22
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 and 14: Fair Value -200% -180% -160% -140%
Page 15 and 16: Daily Return / Initial Fair Value M
Page 17 and 18: Probability Modeling Risk - Basics
Page 21: Modeling Risk - Basics Black & Scho
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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