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March 18, 2012 by MoneyScience
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Emanuel Derman Goldman Sach Quantitative Strategies Research Notes Introduction The insight behind the Black-Scholes formula for options valuation is the recognition that, if you know the future volatility of a stock, you can replicate an option payoff exactly by a continuous rebalancing of a portfolio consisting of the underlying stock and a risk-free bond. If no arbitrage is possible, then the value of the option should be the cost of the...

research library, options, mathematical finance, financial markets, equations, emanuel derman, quantitative analyst, arbitrage, rational pricing, volatility smile

March 18, 2012 by MoneyScience
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Manabu Kishimoto Abstract One of the significant equations in financial mathematics is the Black-Scholes equation, a partial differential equation that governs the value of financial derivatives, such as options. In this paper, various derivations of the Black-Scholes equation are illustrated. Throughout these derivations, core concepts in financial mathematics, such as Ito’s lemma, the replicating portfolio, the CAPM, arbitrage pricing, risk-neutral pricing, and put-call parity, are...

pdf, research library, mathematical finance, options, stochastic processes, equations, stock market, differential equation, capital asset pricing model, partial differential equation, rational pricing, education

March 18, 2012 by MoneyScience
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Fischer Black University of Chicago Myron Scholes Massachusetts Institute of Technology Journal of Political Economy, 1973 Abstract If options are correctly priced in the market, it should not be possible to make sure profits by creating portfolios of long and short positions in options and underlying stocks. Using this principal, a theoretical valuation formula for options is derived. Since almost all corporate liabilities can be viewed as combinations of options, the formula and the...

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March 18, 2012 by MoneyScience
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BusinessSchools: Worth another mention: The Black-Scholes Formula: A Documentary http:/

mathematical finance, options, equations, stock market, quantitative analyst, derivative, espen gaarder haug, mary quant

March 18, 2012 by MoneyScience
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BusinessSchools: RT @WB_Finance: Why you donât get published: an editorâs view http:/

March 18, 2012 by MoneyScience
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fin_tech: RT @hftreview: Running a Proprietary HFT Firm: An interview withÂ Raj Fernando and Leslie Sutphenread more... http:/

leslie sutphenread, raj fernando, rt, hunter field target

March 18, 2012 by MoneyScience
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BusinessSchools: The Financial Education Daily is out! http:/

the financial education daily, romanian language, education, human interest

March 18, 2012 by MoneyScience
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BusinessSchools: The Black-Scholes Formula: A Documentary - http:/

finance, http://t.co/safrgy2m #derivatives #quant #finance, mathematical finance, options, quantitative analyst, valuation, derivatives, espen gaarder haug, mary quant

March 18, 2012 by MoneyScience
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This documentary from the BBC's Horizon program charts the history behind perhaps the most important formula in finance: the Black-Scholes-Merton options pricing model. Two of its creators were awarded the Nobel Prize in Economics in 1997 and only a year later their hedge fund Long Term Capital Management (LTCM) had collapsed with staggering losses of $100 billion due to significant leverage of the strategy. The Black-Scholes Formula was derived by observing that an investor can...

long term capital management, bbc, finance, horizon, usd, investment, mathematical finance, options, equations, hedge fund, myron scholes, robert c. merton, british broadcasting corporation

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