The SABR model is widely used by practitioners in the financial industry, especially in the interest rates derivatives markets. A suitable characteristic of any local and stochastic volatility model is that the model can yield the same prices of the vanilla options that were applied as inputs to the calibration of the model. failure to do so will clearly cause the model not … [Read more...]
Risk Neutral Measure : Stochastic Volatility Models
In mathematical finance, a risk-neutral measure,is a probability measure that results when one assumes that the current value of all financial assets is equal to the expected value of the future payoff of the asset discounted at the risk-free rate. The concept is used in the pricing of derivatives. It is important to note that clearly the probabilities over asset outcomes in … [Read more...]
Heston Model in Stock Trading
Named after Steven Heston, the Heston model is a mathematical model describing the evolution of the volatility of an underlying asset. It is a stochastic volatility model: such a model assumes that the volatility of the asset is not constant, nor even deterministic, but follows a random process. The Heston Model is one of the most widely used stochastic volatility (SV) … [Read more...]
Chen Model in Stock Trading
Chen Model is a mathematical model. The Chen Model deals with the interest rates and their development. The Chen Model is important in the context of finance. It was the first stochastic mean and stochastic volatility model and it was published in 1994 by Lin Chen. The Chen Model could be described as being a certain kind of "one-factor model". It could also be called a … [Read more...]
Free Stock Tips for 18th March 2010
The Various – Daily Stock Recommendation Given by the various analysts and Stock Brokers are : Jaiprakash Associates Ltd. - Daily Stock Recommendations 18-03-2010 Source Action Tip Period Target Price (Rs.) Salil Sharma Buy, stop loss Rs 144 - 155.00 Salil Sharma Buy, stop loss Rs 143 - 159.00 Tata Motors Ltd. - Daily Stock … [Read more...]