lec04 - Jan 11_10

lec04 - Jan 11_10 - Epics QcPll'ad’l'mJ Hedging...

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Unformatted text preview: Epics : QcPll'ad’l'mJ Hedging] Risk-Mam“! pflmb Jam HJ 9.010 G I. 'Prfcmj Vifk Pephud‘l'oh (Risk C’lfw’nkl‘l’oh) 04? 4‘ St: = M's-1— (A: up Price Y‘HTD st / k 513?, = $34; CL: dn m2 m+fo Assume fim’c C41 MA Gil are Known) 8.3.) C11,:Pflaofil'fufij Ce: = W°fiqd§r> , CUM'I' "5 Gt: 7 1+ can be Shown W“: 6"” f, V” 6 ’°* ( 71*] * : er4+_a ; M—A HMS 8+: 81—?“ fEQ (Sh-1) flare @erh 0k (mime poY+rFoI|'u a+ 't) fit: at S+, 71:91:} Jim, 'de‘ Kb.“ '3‘- CH1 Un der no arbm'erie ) cf: {-1- $4! + 1,113 (St = 22 a“ ( 2%" MS»; + 015%) + '1t 3”“ C 3’*- i "t 0—13") -.L) = €er [E0 (Ct-+1) Ami Europaer Omem um: (M In Mrmrned in Mrs “My. Hm deco prowl/261:4] (f) of rrwhevL gox'nd up wb‘ea‘ {kg when Valli/me howa ’? TM \MHVC So/n' 0F 6‘) r's M d (EH: ’ C}+I (M'd) St it 7 qt Mctké‘”d Gil ll 2 l2. ASSme r 7 an. x”: 'K‘ . i :' :— o_{f‘&3 l-I -— 0-3 00 :_ c—O-I'LXDJJ- ( x i .+ : 0-6.5 To dg’I'CmenL TU. infirm“; purifile S‘oIVL [‘.M+[T:1fo=[é] ch :5 if!) I: C 2 .fi ’70 = ’4'!” Cu'a) SD Tke MPlka‘h'Al PDH'qCvlra OJ' +I'mc 'EZD 1‘8 FED = go-Lf Sn) CORR 15 TM. arbrmfie 1'10 ‘er the'} Prue of, ‘Hn-J cw vs $031 7 M r=0. M" be, Sell lel For '7f FNMA no " 6' 3|;- 'S'o , LOW“) 4;} At to) We T” ‘ C° = “'4‘ A+ ’n'M-L T) Vth(_ TT — T = O u. Risk New What—Hm In flu 1' (Wad bmowxhfl Model) ’Hm 3x134: no arbm‘rAS'e. (F ml only if flare 820343 05?“: Bria—‘5 S) suck ‘wa‘ ,r4+ St: e (E: (SH-0 (5F 8 (Ef ((4%) Vt: effort. Elba ( Vbfl) , YM' \ft'- denudms on $4. Eta: [LAM-3r ngdo Wbfibffln'qll] “SSH.an ST {Mam Arbf'hraqe ‘Pn'o'nj Tim». .- TMC are m; Mammy 13F and 0an 1'75 1km emfi a mm mm: mbabrflrfl So flwi" m use-I- WW4 me flag dt‘SCouwl'ecA expedtri 41m: val/um. Rib}? mm! (‘Pr‘fa‘nj : ST '3 646+ [Eta ( 8TH) =9 5: ( fillia) : em" 51- i. 0+ Simf‘mrk/ ) CH;& ) :- £611 In {L2 {)3de pmboxbl'Qfi-ij onlM/ malted mm; 075 5 amé C’. may: efimufl le- of Mk 7%; mam! In This warm) l‘nvasvl'urs are moi“ clemm'rj h‘fikzr w/unu Ger \ours‘nj fiSbJ III-9., Ylemd'fa'l. ...
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lec04 - Jan 11_10 - Epics QcPll'ad’l'mJ Hedging...

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