Formula+Sheet+Sep+09

Formula Sheet Sep 09 - Formula Sheet T ∑ PV(CFt x t t =1 D= PO ∆P 1 ≈ − D*x ∆ y x Convexity x(∆ y 2 P 2 p =(1 Rfpp − d(u − d q =

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Unformatted text preview: Formula Sheet T ∑ PV (CFt ) x t t =1 D= PO ∆P 1 ≈ ( − D *x ∆ y ) + x Convexity x (∆ y ) 2 P 2 p = (1 + Rfpp − d ) /(u − d ); q = 1− p d1 = ln( S 0 / X ) + (r + σ 2 / 2)t σt d 2 = d1 − σ t C = S 0 N (d1 ) − Xe − rt N (d 2 ) P = Ee −rt [1 − N ( d2 )] − S0 [1 − N ( d1 )] X σ + X 2 ρ 12σ 1σ 2 ∂VaR = µ1 − CLα 1 1 ∂X 1 σ ∆V 2 ...
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This note was uploaded on 06/01/2011 for the course FIN 3026W taught by Professor Drtoerien during the Summer '09 term at University of Cape Town.

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