The Derivatives-on-Line Pages

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List of Figures

  1. Alternative exchange rate events
  2. Forward contract payoffs
  3. European call option payoffs
  4. Forward--spot convergence
  5. Basis risk
  6. The basis when rolling the hedge
  7. The simple tree one-period tree
  8. Effects of utility on state prices
  9. A one-period tree problem
  10. The solution of the one-period tree
  11. Classification of security markets
  12. Discrete time asset price and the generating Brownian motion
  13. A fitted GARCH model
  14. Brownian and Geometric Brownian Motion paths. One can also observe the expected value and the $ \pm 40 \%$ intervals. Samples of 2000 and 40 points are generated to show the convergence from discrete to continuous time.
  15. The normal distribution...
  16. ...and the Oct-87 events
  17. Payoffs of the Naked and Covered positions of the example discussed in section 8.1. The values of profits and losses are in thousands.
  18. Behavior of a Call option Delta
  19. Behavior of a Call option Theta
  20. Behavior of a Call option Gamma
  21. Behavior of a Call option Vega
  22. Behavior of a Call option Rho
next up previous contents
Next: List of Tables Up: Lecture Notes for the Previous: Contents   Contents
Kyriakos 2003-03-17