The Heath-Jarrow-Morton framework ("HJM") is a general framework to model the evolution of interest rate curve - instantaneous forward rate curve in particular (as opposed to simple forward rates) The key to these techniques is the recognition that the drifts of the no-arbitrage evolution of certain variables can be expressed as functions of their volatilities and the … [Read more...]
Heston model: The Overview
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. n the Heston model, we still have one asset (volatility is not considered to be directly observable or … [Read more...]
Variance Gamma Model: Overview
The variance-gamma distribution is a continuous probability distribution that is defined as the normal variance-mean mixture where the mixing density is the gamma distribution. The most widely used option pricing model is the Black-Scholes model. We motivate an alternative option pricing model called the Variance Gamma (VG) model and demonstrate its implementation in the … [Read more...]
Free Stock Tips for 9th March 2010
The Various – Daily Stock Recommendation Given by the various analysts and Stock Brokers are : NMDC Ltd. - Daily stock recommendation 09-03-2010 Source Action Tip Period Target Price (Rs.) Anil Singhvi Sell, stop loss Rs 422 - 400.00 Shree Renuka Sugars Ltd. - Daily stock recommendation 09-03-2010 Source Action Tip Period Target Price … [Read more...]
Exotic Option Style
Exotic options are like regular options except that they have unique features that make them complex. These unique features adapt themselves to situations that might otherwise require some rather crafty financial engineering. Situations requiring an all-or-nothing style hedge, situations where an investor faces exchange rate and price risk, as well as many others situations, … [Read more...]