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Caleb Pleavin
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Decks in this class (17)
1) Introduction to the Course
What is a financial contract,
What is a contract holder,
What is a contract seller
23
cards
2) The Wiener process and Modelling Stock Price
What notation is used for changes...,
How do normal distributions combi...,
What is random walk
9
cards
3) Log-Normal Distribution
What is geometric brownian motion,
What are some useful properties o...,
What are the strengths and weakne...
3
cards
4) Derivatives
What is a derivative,
What is an option,
What is an option holder and opti...
14
cards
5) Trading with Portfolios
What is a portfolio,
What is a hedge,
What is a straddle portfolio
14
cards
6) Risk and No-Arbitrage
What is risk,
What is an arbitrage opportunity,
What is the no arbitrage principle
12
cards
8) Binomial Trees
Describe a one step tree diagrams...,
What is the expected share price ...,
What is the expected call option ...
10
cards
9) Two-Step Binomial Trees
What conditions are required to e...,
Describe the two step binomial tr...,
What is the the initial call opti...
5
cards
10) The Multi-step Binomial Model
How can share prices be represent...,
How can the initial call option p...,
How is the mean share price calcu...
4
cards
11) American Options and Replicating Portfolios
What is an american option,
What is the lower bound of an ame...,
Describe the proof of the lower b...
8
cards
12) The Black-Scholes Model
What are the assumptions of the b...,
If v s what is d,
Describe the proof that
5
cards
13) Exact Solution to the Black-Scholes Equation
What are the key properties of th...,
What is the behavior of a call op...
2
cards
14) The 'Greeks'
How is delta expressed for a euro...,
How is delta derived for a europe...,
What are examples of some of the ...
3
cards
15) More on Replicating Portfolios
What does it mean if a portfolio ...,
How can a trader use a replicatin...,
What is static hedging
5
cards
16) Extension to Black-Scholes Model
What are dividends,
How do we represent dividends mat...,
If 0 s0 and the share pays a cont...
4
cards
18) Term Structure of Interest Rates
What is yield to maturity of a ze...,
How can we write bond price in te...,
Describe the proof that
8
cards
19) Exotic Options
Why might exotic options present ...,
What are some examples of exotic ...,
What is an asian option
9
cards
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introduction to financial mathematics
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