Quant Primer10x

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Quant Primer10x

  1. 1. Quant Primer – 2007 FRM Notation 1 3 Derivatives 4 Matrices 5 i rate, and compounding 2 Variance example
  2. 2. Notation
  3. 3. Notation
  4. 4. Notation
  5. 5. Greek symbols (common) Population “ we want it, but can’t get” Sample “ Use to draw inferences about the population”
  6. 6. Greek symbols (common)
  7. 7. Greek symbols
  8. 8. Greek symbols
  9. 9. Greek symbols
  10. 10. Greek symbols
  11. 11. Greek symbols <ul><li>Population variance </li></ul>
  12. 12. Greek symbols <ul><li>Sample variance </li></ul>
  13. 13. Interest rate (i) Premiums Real risk-free (riskless) rate
  14. 14. Interest rate (i) Premiums Real risk-free (riskless) rate Inflation
  15. 15. Interest rate (i) Premiums Real risk-free (riskless) rate Inflation Default risk (credit risk)
  16. 16. Interest rate (i) Premiums Real risk-free (riskless) rate Inflation Default risk (credit risk) Liquidity
  17. 17. Interest rate (i) Premiums Real risk-free (riskless) rate Inflation Default risk (credit risk) Liquidity Maturity
  18. 18. Future value of PV: compound frequency <ul><li>Interest may be paid annually, semiannually, quarterly, monthly, or even daily </li></ul>
  19. 19. Future value of PV: compound frequency Present Value (PV)
  20. 20. Present Value (PV) Future Value (PV)

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