Sunday, May 18, 2014

* Financial Mathematics

Refresher Mathematics:
- Practice Problems Using the Chain Rule of Differentiation (pdf)

- Practice Problems In Stochastic Calculus Using Ito's Lemma (pdf)

Black-Scholes Theory:
- Derive the Black Scholes PDE Using a Replicating Portfolio (pdf)

- Derive the Black Scholes PDE (with dividends) Using a Hedging Portfolio  (pdf)

- Derive the Black Scholes PDE Using Risk-Neutral Pricing Theory (pdf)

- Derive the Explicit Solution for Black-Scholes Call Option Delta (pdf)

- Find S(t) and E[S(t)] for Geometric Brownian Motion (pdf)

Put-Call Parity:
- Derive Put-Call Parity (pdf)

Introduction to Binomial Trees:
- Derive the Binomial Tree Risk Neutral Probability and Delta (pdf)

- Exploring Arbitrage Opportunities in the Binomial Tree (pdf)

PDE: The Heat Equation
- Derive the Heat Kernel in 1D (pdf)

- Heat Equation: Derive the Solution Formula Using Green's Function (pdf)

- Heat Equation: Solving for Green's Function (pdf)

This is trade analysis, not a recommendation.

Legal Stuff:
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