Formula sheet financial risk PDF

Preview

Summary

formula sheet for financial risk...

Description

Financial Risk Management

Master of Science in Finance Formula Sheet

 h S F

h*QA N QF

N withtail

0

0

−rT

0

–rT

(r+u )T

F0  (S0+U )e

(r-q+u -y)T

P

VA VF

N  (   *)

F0 = S0 e

0

F0  S0e

rT

( r  rf )T

(r+u )T

F 0 < S0 e

360 (100  Y ) n

VA VF

(r–q )T

F = (S – I )e

0

or f = (K – F0 )e

f = (F0 − K)e

F 0  S0 e

N

rT

F =S e

F = S (1+r)

F 0  S0 e

h*VA VF

rT

T 0



F0 < (S0+U) e

cie yti  D   ti   i 1  B 

B   Dy B

n

rT

PDP VF DF

N* 

received price = Settlement Price × Conversion factor + Accrued interest cost to buy = quoted bond price + accrued interest

u  e -rT

CT = Max(ST - K,0)

PT = Max(K - ST,0)

p + S = c + Ke + D 0

–rT

 = (C -C )/(S -S ) u

d

u

d

 = (P -P )/(S -S ) u

d

u

d

ln ST    ln S0  (    2)T ,  T  2

2

ƒ = [ pƒ + (1 – p)ƒ ]e u

t

d  1 u  e  p

d

t

e ( r q ) T  d ud

call = N(d1) put = - N(-d1)   

n

 q i

i

i 1

c  S0 N (d1 )  K e rT N (d2 ) p  K e  rT N (d 2 )  S 0 N (d 1 ) where d1 

ln( S 0 / K )  ( r   2 / 2)T

 T ln( S0 / K)  ( r   2 / 2) T  d1   T d2   T...