SlideShare a Scribd company logo
1 of 35
Financial Engineering & Physical Sciences
How to find a good fund manager ,[object Object],[object Object],[object Object],[object Object]
파생상품  (Derivatives) ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Buy Call
Sell Call
Buy Put
Sell Put
Strangle  (OTM Call + OTM Put)
Condor  (DITM Call – ITM Call – OTM Call + DOTM Call)
Back Spread  (2 OTM Calls – 1 ATM Call)
Strap  (2 ATM Calls + 1 ATM Put)
Financial Engineering ,[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Model of the Behavior of Stock Prices ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
 
[object Object],[object Object],[object Object]
 
Chain Rule ,[object Object],[object Object],[object Object]
Ito’s Lemma ,[object Object],[object Object]
Justification of Generalized Wiener Process ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object]
Risk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]
Risk-Neutral Valuation ,[object Object],[object Object],[object Object],[object Object]
Payoff from Call Option Probability Distribution of Stock Price
Black-Scholes Pricing Formula for European Call & Put Options ,[object Object],[object Object],[object Object]
The Black-Scholes-Merton Differential Equation ,[object Object],[object Object]
[object Object],[object Object]
[object Object],[object Object],[object Object]
Expectation & the B-S-M Equation ,[object Object],[object Object],[object Object]
[object Object],[object Object],[object Object],[object Object]
[object Object],[object Object]
Summary ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

More Related Content

What's hot

The comparative study of finite difference method and monte carlo method for ...
The comparative study of finite difference method and monte carlo method for ...The comparative study of finite difference method and monte carlo method for ...
The comparative study of finite difference method and monte carlo method for ...Alexander Decker
 
Conditional Random Fields
Conditional Random FieldsConditional Random Fields
Conditional Random Fieldslswing
 
Turing machine implementation
Turing machine implementationTuring machine implementation
Turing machine implementationSinaRostami7
 
Alternative option pricing and cva
Alternative option pricing and cvaAlternative option pricing and cva
Alternative option pricing and cvaIlya Gikhman
 
Dynamic Price Competition and Tacit Collusion II
Dynamic Price Competition and Tacit Collusion IIDynamic Price Competition and Tacit Collusion II
Dynamic Price Competition and Tacit Collusion IITakuya Irie
 
BS concept of the Dynamic Hedging
BS concept of the Dynamic HedgingBS concept of the Dynamic Hedging
BS concept of the Dynamic HedgingIlya Gikhman
 
Dynamic Price Competition and Tacit Collusion I
Dynamic Price Competition and Tacit Collusion IDynamic Price Competition and Tacit Collusion I
Dynamic Price Competition and Tacit Collusion ITakuya Irie
 
Turing Machine
Turing MachineTuring Machine
Turing MachineRajendran
 
Theory of computation homework help
Theory of computation homework helpTheory of computation homework help
Theory of computation homework helpAssignmentpedia
 
портфель English
портфель Englishпортфель English
портфель EnglishIlya Gikhman
 
Derivative Powerpoint Meghan Vazquez
Derivative Powerpoint Meghan VazquezDerivative Powerpoint Meghan Vazquez
Derivative Powerpoint Meghan VazquezMeghan
 
Bond Pricing and CVA
Bond Pricing and CVABond Pricing and CVA
Bond Pricing and CVAIlya Gikhman
 
BS concept of dynamic hedging
BS concept of dynamic hedgingBS concept of dynamic hedging
BS concept of dynamic hedgingIlya Gikhman
 
Black scholes pricing consept
Black scholes pricing conseptBlack scholes pricing consept
Black scholes pricing conseptIlya Gikhman
 
Consistency proof of a feasible arithmetic inside a bounded arithmetic
Consistency proof of a feasible arithmetic inside a bounded arithmeticConsistency proof of a feasible arithmetic inside a bounded arithmetic
Consistency proof of a feasible arithmetic inside a bounded arithmeticYamagata Yoriyuki
 
Last my paper equity, implied, and local volatilities
Last my paper equity, implied, and local volatilitiesLast my paper equity, implied, and local volatilities
Last my paper equity, implied, and local volatilitiesIlya Gikhman
 

What's hot (18)

The comparative study of finite difference method and monte carlo method for ...
The comparative study of finite difference method and monte carlo method for ...The comparative study of finite difference method and monte carlo method for ...
The comparative study of finite difference method and monte carlo method for ...
 
Conditional Random Fields
Conditional Random FieldsConditional Random Fields
Conditional Random Fields
 
7 regularization
7 regularization7 regularization
7 regularization
 
Turing machine implementation
Turing machine implementationTuring machine implementation
Turing machine implementation
 
Alternative option pricing and cva
Alternative option pricing and cvaAlternative option pricing and cva
Alternative option pricing and cva
 
Dynamic Price Competition and Tacit Collusion II
Dynamic Price Competition and Tacit Collusion IIDynamic Price Competition and Tacit Collusion II
Dynamic Price Competition and Tacit Collusion II
 
BS concept of the Dynamic Hedging
BS concept of the Dynamic HedgingBS concept of the Dynamic Hedging
BS concept of the Dynamic Hedging
 
Dynamic Price Competition and Tacit Collusion I
Dynamic Price Competition and Tacit Collusion IDynamic Price Competition and Tacit Collusion I
Dynamic Price Competition and Tacit Collusion I
 
Turing Machine
Turing MachineTuring Machine
Turing Machine
 
Copule slides
Copule slidesCopule slides
Copule slides
 
Theory of computation homework help
Theory of computation homework helpTheory of computation homework help
Theory of computation homework help
 
портфель English
портфель Englishпортфель English
портфель English
 
Derivative Powerpoint Meghan Vazquez
Derivative Powerpoint Meghan VazquezDerivative Powerpoint Meghan Vazquez
Derivative Powerpoint Meghan Vazquez
 
Bond Pricing and CVA
Bond Pricing and CVABond Pricing and CVA
Bond Pricing and CVA
 
BS concept of dynamic hedging
BS concept of dynamic hedgingBS concept of dynamic hedging
BS concept of dynamic hedging
 
Black scholes pricing consept
Black scholes pricing conseptBlack scholes pricing consept
Black scholes pricing consept
 
Consistency proof of a feasible arithmetic inside a bounded arithmetic
Consistency proof of a feasible arithmetic inside a bounded arithmeticConsistency proof of a feasible arithmetic inside a bounded arithmetic
Consistency proof of a feasible arithmetic inside a bounded arithmetic
 
Last my paper equity, implied, and local volatilities
Last my paper equity, implied, and local volatilitiesLast my paper equity, implied, and local volatilities
Last my paper equity, implied, and local volatilities
 

Similar to Financial engineering3478

CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...
CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...
CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...Michele Beretta
 
Financial Markets with Stochastic Volatilities - markov modelling
Financial Markets with Stochastic Volatilities - markov modellingFinancial Markets with Stochastic Volatilities - markov modelling
Financial Markets with Stochastic Volatilities - markov modellingguest8901f4
 
Copula-Based Model for the Term Structure of CDO Tranches
Copula-Based Model for the Term Structure of CDO TranchesCopula-Based Model for the Term Structure of CDO Tranches
Copula-Based Model for the Term Structure of CDO Tranchesfinancedude
 
Differential Machine Learning Masterclass
Differential Machine Learning MasterclassDifferential Machine Learning Masterclass
Differential Machine Learning MasterclassAntoine Savine
 
Planning Under Uncertainty With Markov Decision Processes
Planning Under Uncertainty With Markov Decision ProcessesPlanning Under Uncertainty With Markov Decision Processes
Planning Under Uncertainty With Markov Decision Processesahmad bassiouny
 
Numerical method for pricing american options under regime
Numerical method for pricing american options under regime Numerical method for pricing american options under regime
Numerical method for pricing american options under regime Alexander Decker
 
Vasicek Model Project
Vasicek Model ProjectVasicek Model Project
Vasicek Model ProjectCedric Melhy
 
Option pricing under quantum theory of securities price formation - with copy...
Option pricing under quantum theory of securities price formation - with copy...Option pricing under quantum theory of securities price formation - with copy...
Option pricing under quantum theory of securities price formation - with copy...Jack Sarkissian
 
Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)
Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)
Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)Fynn McKay
 
Long term investment strategies: Dollar cost averaging vs Lump sum investments
Long term investment strategies: Dollar cost averaging vs Lump sum investmentsLong term investment strategies: Dollar cost averaging vs Lump sum investments
Long term investment strategies: Dollar cost averaging vs Lump sum investmentsibercovich
 
金利期間構造について:Forward Martingale Measureの導出
金利期間構造について:Forward Martingale Measureの導出金利期間構造について:Forward Martingale Measureの導出
金利期間構造について:Forward Martingale Measureの導出Takanori Nakai
 
Normality_assumption_for_the_log_re.pdf
Normality_assumption_for_the_log_re.pdfNormality_assumption_for_the_log_re.pdf
Normality_assumption_for_the_log_re.pdfVasudha Singh
 
markov chain.ppt
markov chain.pptmarkov chain.ppt
markov chain.pptDWin Myo
 
Theoryofcomp science
Theoryofcomp scienceTheoryofcomp science
Theoryofcomp scienceRaghu nath
 

Similar to Financial engineering3478 (20)

CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...
CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...
CVA In Presence Of Wrong Way Risk and Early Exercise - Chiara Annicchiarico, ...
 
Financial Markets with Stochastic Volatilities - markov modelling
Financial Markets with Stochastic Volatilities - markov modellingFinancial Markets with Stochastic Volatilities - markov modelling
Financial Markets with Stochastic Volatilities - markov modelling
 
Safety-first model with investor’s view under distribution ambiguity
Safety-first model with investor’s view under distribution ambiguitySafety-first model with investor’s view under distribution ambiguity
Safety-first model with investor’s view under distribution ambiguity
 
Copula-Based Model for the Term Structure of CDO Tranches
Copula-Based Model for the Term Structure of CDO TranchesCopula-Based Model for the Term Structure of CDO Tranches
Copula-Based Model for the Term Structure of CDO Tranches
 
presentation
presentationpresentation
presentation
 
Differential Machine Learning Masterclass
Differential Machine Learning MasterclassDifferential Machine Learning Masterclass
Differential Machine Learning Masterclass
 
Planning Under Uncertainty With Markov Decision Processes
Planning Under Uncertainty With Markov Decision ProcessesPlanning Under Uncertainty With Markov Decision Processes
Planning Under Uncertainty With Markov Decision Processes
 
Numerical method for pricing american options under regime
Numerical method for pricing american options under regime Numerical method for pricing american options under regime
Numerical method for pricing american options under regime
 
Black scholes model
Black scholes modelBlack scholes model
Black scholes model
 
Vasicek Model Project
Vasicek Model ProjectVasicek Model Project
Vasicek Model Project
 
Option pricing under quantum theory of securities price formation - with copy...
Option pricing under quantum theory of securities price formation - with copy...Option pricing under quantum theory of securities price formation - with copy...
Option pricing under quantum theory of securities price formation - with copy...
 
Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)
Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)
Solution to Black-Scholes P.D.E. via Finite Difference Methods (MatLab)
 
Long term investment strategies: Dollar cost averaging vs Lump sum investments
Long term investment strategies: Dollar cost averaging vs Lump sum investmentsLong term investment strategies: Dollar cost averaging vs Lump sum investments
Long term investment strategies: Dollar cost averaging vs Lump sum investments
 
金利期間構造について:Forward Martingale Measureの導出
金利期間構造について:Forward Martingale Measureの導出金利期間構造について:Forward Martingale Measureの導出
金利期間構造について:Forward Martingale Measureの導出
 
Normality_assumption_for_the_log_re.pdf
Normality_assumption_for_the_log_re.pdfNormality_assumption_for_the_log_re.pdf
Normality_assumption_for_the_log_re.pdf
 
Black Scholes
Black ScholesBlack Scholes
Black Scholes
 
markov chain.ppt
markov chain.pptmarkov chain.ppt
markov chain.ppt
 
Levy models
Levy modelsLevy models
Levy models
 
Theoryofcomp science
Theoryofcomp scienceTheoryofcomp science
Theoryofcomp science
 
Pres fibe2015-pbs-org
Pres fibe2015-pbs-orgPres fibe2015-pbs-org
Pres fibe2015-pbs-org
 

More from artipradhan

Unit 2 business-plan
Unit 2 business-planUnit 2 business-plan
Unit 2 business-planartipradhan
 
Srivastava women 2006
Srivastava women 2006Srivastava women 2006
Srivastava women 2006artipradhan
 
Feasibility study
Feasibility studyFeasibility study
Feasibility studyartipradhan
 
Entrepreneurship development
Entrepreneurship developmentEntrepreneurship development
Entrepreneurship developmentartipradhan
 
Entrepreneurship developmen 21_sep_2010
Entrepreneurship developmen 21_sep_2010Entrepreneurship developmen 21_sep_2010
Entrepreneurship developmen 21_sep_2010artipradhan
 
Entrepreneurship
EntrepreneurshipEntrepreneurship
Entrepreneurshipartipradhan
 
Business plan format_
Business plan format_Business plan format_
Business plan format_artipradhan
 
Sales of goods_act,1930
Sales of goods_act,1930Sales of goods_act,1930
Sales of goods_act,1930artipradhan
 
Sales of good_act
Sales of good_actSales of good_act
Sales of good_actartipradhan
 
Remedies for breach_of_contract-10
Remedies for breach_of_contract-10Remedies for breach_of_contract-10
Remedies for breach_of_contract-10artipradhan
 
Performance of contract-8
Performance of contract-8Performance of contract-8
Performance of contract-8artipradhan
 
Enterprise risk-mgmt[1]
Enterprise risk-mgmt[1]Enterprise risk-mgmt[1]
Enterprise risk-mgmt[1]artipradhan
 
Offer and acceptance-3
Offer and acceptance-3Offer and acceptance-3
Offer and acceptance-3artipradhan
 
Nature of contract-2
Nature of contract-2Nature of contract-2
Nature of contract-2artipradhan
 
Legality of object-7
Legality of object-7Legality of object-7
Legality of object-7artipradhan
 

More from artipradhan (20)

Ventrue capital
Ventrue capitalVentrue capital
Ventrue capital
 
Unit 2 business-plan
Unit 2 business-planUnit 2 business-plan
Unit 2 business-plan
 
Srivastava women 2006
Srivastava women 2006Srivastava women 2006
Srivastava women 2006
 
Mf3 01 ms-mamik
Mf3 01 ms-mamikMf3 01 ms-mamik
Mf3 01 ms-mamik
 
Feasibility study
Feasibility studyFeasibility study
Feasibility study
 
Entrepreneurship development
Entrepreneurship developmentEntrepreneurship development
Entrepreneurship development
 
Entrepreneurship developmen 21_sep_2010
Entrepreneurship developmen 21_sep_2010Entrepreneurship developmen 21_sep_2010
Entrepreneurship developmen 21_sep_2010
 
Entrepreneurship
EntrepreneurshipEntrepreneurship
Entrepreneurship
 
Details
DetailsDetails
Details
 
Business plan format_
Business plan format_Business plan format_
Business plan format_
 
Void agreements
Void agreementsVoid agreements
Void agreements
 
Sales of goods_act,1930
Sales of goods_act,1930Sales of goods_act,1930
Sales of goods_act,1930
 
Sales of good_act
Sales of good_actSales of good_act
Sales of good_act
 
Remedies for breach_of_contract-10
Remedies for breach_of_contract-10Remedies for breach_of_contract-10
Remedies for breach_of_contract-10
 
Performance of contract-8
Performance of contract-8Performance of contract-8
Performance of contract-8
 
Enterprise risk-mgmt[1]
Enterprise risk-mgmt[1]Enterprise risk-mgmt[1]
Enterprise risk-mgmt[1]
 
Offer and acceptance-3
Offer and acceptance-3Offer and acceptance-3
Offer and acceptance-3
 
Ni act
Ni actNi act
Ni act
 
Nature of contract-2
Nature of contract-2Nature of contract-2
Nature of contract-2
 
Legality of object-7
Legality of object-7Legality of object-7
Legality of object-7
 

Financial engineering3478