Everything (including cards Luuk)

Question 2

Qu SPSU formula

State price up formula

Answer 2

Question 3

Qd SPSD formula

State price down formula

Answer 3

Question 4

Risk neutral state price formula (up scenario)

Answer 4

Question 5

Risk neutral state price down scenario

Answer 5

Question 6

Put call parity formula

Answer 6

Question 7

If up/down state then stock moves with formula

Answer 7

Question 8

Bond price movement regardless of state

Formula

Answer 8

Question 9

Formula of a sub period

Answer 9

Delta T = always in terms of years
0.5 month = 24 periods

Question 10

VaR (delta normal) formula

Answer 10

Question 11

Variance formula in excel (matrix)

Answer 11

Portfolio variance: weight transposed * variance covariance matrix * weight vector.

Question 12

What is the formula of Generalized Autoregressive Conditional Heteroskedasticity (GARCH)

Answer 12

Multiply gamma with long term variance + alpha * pervios return^2 + beta * Previous variance

Question 13

What is the formula of Computing exponentially weighted moving average volatility (EWMNA)

Answer 13

Question 14

How do you calculate the Z’s and asset returns for monti carlo simulation

Answer 14

=$correlation$Z1+SQRT(1-$correlation$^2)Z2
The stronger the correlation, the more closly the movements of the second asset will follow the first asset. And this is + second assets will be scaled by the square root of 1 - correlation^2

Question 15

Formula for Expected shortfall:
=AVERAGEIF(results,”>=”&%var)
or
=AVERAGEIF(results,”<=”&%var)

Answer 15

=AVERAGEIF(M60:M159,”<=”&P60)