Formula's Flashcards
Qu SPSU formula
State price up formula
Qd SPSD formula
State price down formula
Risk neutral state price formula (up scenario)
Risk neutral state price down scenario
Put call parity formula
If up/down state then stock moves with formula
Bond price movement regardless of state
Formula
Formula of a sub period
Delta T = always in terms of years
0.5 month = 24 periods
VaR (delta normal) formula
Variance formula in excel (matrix)
Portfolio variance: weight transposed * variance covariance matrix * weight vector.
What is the formula of Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
Multiply gamma with long term variance + alpha * pervios return^2 + beta * Previous variance
What is the formula of Computing exponentially weighted moving average volatility (EWMNA)
How do you calculate the Z’s and asset returns for monti carlo simulation
=$correlation$Z1+SQRT(1-$correlation$^2)Z2
The stronger the correlation, the more closly the movements of the second asset will follow the first asset. And this is + second assets will be scaled by the square root of 1 - correlation^2
Formula for Expected shortfall:
=AVERAGEIF(results,”>=”&%var)
or
=AVERAGEIF(results,”<=”&%var)
=AVERAGEIF(M60:M159,”<=”&P60)
We can simulate stock price paths from the ”risk-neutral world” by drawing random numbers Z from a standard normal distribution:
Mu is replaced by RF
How can We can simulate stock price paths from the ”real world” by drawing random numbers Z from a standard normal distribution:
