The study analyses quantitative models for financial markets by starting from geometric Brown process and Wiener process by analyzing Ito's lemma and first passage model. Furthermore, it is analyzed the prices of the options, Vanilla & Exotic, by using the expected value and numerical methods. From contingent claim approach ALM strategies are also analyzed so to get the effective duration measure of liabilities. Furthermore, the study analyses interest rate models in simulated environment by using the drift condition in combination with the inflation models as expectation of the markets. The...
The study analyses quantitative models for financial markets by starting from geometric Brown process and Wiener process by analyzing Ito's lemma and ...
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...
The study analyses stochastic differential equations by showing Itos lemma and solving the geometric Brown process. Interest rate model is also treate...