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Caleb Pleavin
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Decks in this class (21)
1) Introduction
What are derivatives 1,
What are drift and volatility in ...,
What is a stock or share 3
12
cards
2) Options
What is a call option 1,
What is a put option 2,
What is a european and american c...
5
cards
3) No arbitrage principle
What is a trading strategy and ho...,
What is a self financing trading ...,
What is a portfolio 3
8
cards
4) Model of stock price movements
What are the defining properties ...,
What is the stochastic differenti...,
What is the expectation of st if ...
5
cards
5) Basics of Stochastic calculus and Itô’s lemma
What is ito s lemma 1,
How do you derive ito s lemma usi...,
What is ito s lemma extended 3
3
cards
6) More General Stochastic Processes
What is an ornstein uhlenbeck ou ...,
What is a square root ornstein uh...
2
cards
7) The Black-Scholes analysis
How can you convert a stochastic ...,
What are the key assumptions of t...,
Media 3
4
cards
8) Formulating the mathematical problem
What boundary conditions are requ...,
What are the boundary and termina...,
What are the boundary and termina...
5
cards
9) Analytic solutions to the Black-Scholes equation
What are the black scholes formul...,
What are the delta values for eur...,
What are the main greeks in the b...
4
cards
10) Solving the heat conduction and Black-Scholes equations
What are the key properties of th...,
What is the fundamental solution ...,
What is the dirac delta function ...
8
cards
11) Similarity solutions to the Heat conduction equation
How do you find the fundamental s...,
How do you solve the heat equatio...
2
cards
12) General solution to the Heat-Conduction equation initial value problem
How do we solve the heat conducti...,
How do we apply the general heat ...
2
cards
13) Options on assets paying dividends
Why are dividends important in op...,
How do dividends affect forward p...,
What is the put call parity when ...
7
cards
14) Discrete dividend payments
What happens to the stock and opt...,
What condition must the option va...,
How can we calculate the value of...
5
cards
15) American Options
How does the early exercise featu...,
Why is pricing an american put op...,
Why does the black scholes pde be...
6
cards
16) Perpetual options
What is a perpetual option and ho...,
What is the ode for a perpetual a...,
What is the general solution to t...
4
cards
17) Interest rate models and bonds
What is a bond and what is a zero...,
How do you price a zero coupon bo...,
What is the price of a bond that ...
8
cards
18) Specifying the Bond Model
What is the market price of risk ...,
What is the vasicek model for int...,
What is the bond pricing pde unde...
6
cards
19) Stochastic Volatility Model
Why do we need stochastic volatil...,
What are the sdes in the heston s...,
How do you hedge a portfolio in t...
6
cards
20) Barrier options
What are the main types of barrie...,
How are barrier options priced us...,
What are the boundary conditions ...
5
cards
21) Analytic Solutions for Barrier Options
What pde and boundary conditions ...,
How can we use substitutions to s...,
What is the analytic solution for...
4
cards
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Mathematical Modelling in Finance
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