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Kutlu MERİH
Kutlu MERİH

Bu sunum Finansal Matematik Analiz için gerekli ve temel olan konuları içeriyor. Bunlara ek yapılabilir veya daraltılabilir. Her konu wikipedia ile bağlantılı hale getirilmiştir. Böylece içerik ve kapsam hakkında fikir edinilebilir.

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FİNANSAL MATEMATİK Hedging, Arbitraging, Pricing Eğitim Program Taslağı Mart 2015 Doç. Dr. Kutlu MERİH
 Bu sunum Finansal Matematik Analiz için gerekli ve temel olan konuları içeriyor.  Bunlara ek yapılabilir veya daraltılabilir.  Her konu wikipedia ile bağlantılı hale getirilmiştir.  Böylece içerik ve kapsam hakkında fikir edinilebilir.
Temel Matematik  Calculus  Power / Taylor Series  Differential Equations  Real Analysis  Mathematical models
Olasılık ve Dağılımlar  Probability  Probability Distributions  Quantile Functions  Value At Risk  Expected Value  İntegral Dönüşümler  Moment Üreten Fonksiyon  Laplace Transformation  Karakteristik Fonksiyon
Stokastik Prosesler  Binomial Distribution/Process  Normal Distribution/Process  Log-normal Distribution/Process  Poisson Distribution/Process
Korelasyon - Kointegrasyon  Korelasyon  Kointegrasyon  Copulas  Gaussian Copulas  Diğer Copulas
Volatilite/Heteroscedasticity  Volatility  ARCH model  GARCH model  Stochastic volatility  SABR Volatility Model  Markov Switching Multifractal
Stokastik Analiz  Risk-neutral Measure  Stochastic Integrals  Chapman-Kolmogorov KDD  Partial Differential Equations  Heat Equation  Stochastic Differential Equations  Itô's Lemma  Stochastic Calculus  Brownian Motion  Lévy Process Bu kısma ben talibim: K. M.
Türev Ürün Fiyatlama  The Brownian Motion Model of Financial Markets  Rational pricing assumptions  Risk neutral valuation  Arbitrage-free pricing  Futures  Futures contract pricing  Options  Put–call parity (Arbitrage relationships for option  Intrinsic value, Time value  Moneyness
Black-Scholes Fiyatlama  Black–scholes Model  Black Model  Binomial Options Model  Monte Carlo Option Model  Implied Volatility, Volatility Smile  Optimal Stopping (Pricing Of American Optio )
Türev Ürün Duyarlılığı: Grekler  Gamma  Lambda  Rho  Speed  Theta  Ultima  Vanna  Vega  Vomma  Zomma
 The table shows the relationship of the more common sensitivities to the four primary inputs into the Black-Scholes model  (spot price of the underlying security,  time remaining until option expiration,  volatility and  the rate of return of a risk-free investment)  and to the option's value, delta, gamma, vega and vomma.  Greeks which are a  first-order derivative are in blue,  second-order derivatives are in green, and  third-order derivatives are in yellow.  Note that vanna is used, intentionally, in two places as the two sensitivities are mathematically equivalent.
Spot Price (S) Volatility (σ) Time to Expiry (τ) Risk- Free Rate (r) Value (V)  Δ Delta ν Vega Θ Theta ρ Rho Delta (Δ)  Γ Gamma Vanna Charm Gamma (Γ)  Speed Zomma Color Vega (ν)  Vanna Vomma Dvega Dtime Vomma  Ultima
speed zomma color
Olasılık Metrik Değişimleri Girsanov's Theorem Radon–Nikodym Derivative Martingale Representation Theorem Feynman–Kac Formula Statistical Finance
Alternatif Teknikler  Asymptotic Analysis  Ergodic Theory  Saddlepoint Approximation
Nümerik Teknikler  Numerical Analysis  Monte Carlo Method  Numerical Methods Laplace Transforms Fourier Transforms  Numerical Partial Differential Equations Crank–Nicolson Method Finite Difference Method Finite Elements Method
Faiz Türevleri Interest rate derivatives Short rate model  Hull-White model  Cox-Ingersoll-Ross model  Chen model LIBOR Market Model Heath-Jarrow-Morton framework
Diğer Destek Konular  Chaos Theory and Fractals  Computational Finance  Quantitative Behavioral Finance  Derivative (Finance), List Of Derivatives Topics  Modeling And Analysis Of Financial Markets  International Swaps And Derivatives Association  Fundamental Financial Concepts - Topics  Model (Economics)  List Of Finance Topics

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Finmath egitimi

  • 1. FİNANSAL MATEMATİK Hedging, Arbitraging, Pricing Eğitim Program Taslağı Mart 2015 Doç. Dr. Kutlu MERİH
  • 2.  Bu sunum Finansal Matematik Analiz için gerekli ve temel olan konuları içeriyor.  Bunlara ek yapılabilir veya daraltılabilir.  Her konu wikipedia ile bağlantılı hale getirilmiştir.  Böylece içerik ve kapsam hakkında fikir edinilebilir.
  • 3. Temel Matematik  Calculus  Power / Taylor Series  Differential Equations  Real Analysis  Mathematical models
  • 4. Olasılık ve Dağılımlar  Probability  Probability Distributions  Quantile Functions  Value At Risk  Expected Value  İntegral Dönüşümler  Moment Üreten Fonksiyon  Laplace Transformation  Karakteristik Fonksiyon
  • 5. Stokastik Prosesler  Binomial Distribution/Process  Normal Distribution/Process  Log-normal Distribution/Process  Poisson Distribution/Process
  • 6. Korelasyon - Kointegrasyon  Korelasyon  Kointegrasyon  Copulas  Gaussian Copulas  Diğer Copulas
  • 7. Volatilite/Heteroscedasticity  Volatility  ARCH model  GARCH model  Stochastic volatility  SABR Volatility Model  Markov Switching Multifractal
  • 8. Stokastik Analiz  Risk-neutral Measure  Stochastic Integrals  Chapman-Kolmogorov KDD  Partial Differential Equations  Heat Equation  Stochastic Differential Equations  Itô's Lemma  Stochastic Calculus  Brownian Motion  Lévy Process Bu kısma ben talibim: K. M.
  • 9. Türev Ürün Fiyatlama  The Brownian Motion Model of Financial Markets  Rational pricing assumptions  Risk neutral valuation  Arbitrage-free pricing  Futures  Futures contract pricing  Options  Put–call parity (Arbitrage relationships for option  Intrinsic value, Time value  Moneyness
  • 10. Black-Scholes Fiyatlama  Black–scholes Model  Black Model  Binomial Options Model  Monte Carlo Option Model  Implied Volatility, Volatility Smile  Optimal Stopping (Pricing Of American Optio )
  • 11. Türev Ürün Duyarlılığı: Grekler  Gamma  Lambda  Rho  Speed  Theta  Ultima  Vanna  Vega  Vomma  Zomma
  • 12.  The table shows the relationship of the more common sensitivities to the four primary inputs into the Black-Scholes model  (spot price of the underlying security,  time remaining until option expiration,  volatility and  the rate of return of a risk-free investment)  and to the option's value, delta, gamma, vega and vomma.  Greeks which are a  first-order derivative are in blue,  second-order derivatives are in green, and  third-order derivatives are in yellow.  Note that vanna is used, intentionally, in two places as the two sensitivities are mathematically equivalent.
  • 13. Spot Price (S) Volatility (σ) Time to Expiry (τ) Risk- Free Rate (r) Value (V)  Δ Delta ν Vega Θ Theta ρ Rho Delta (Δ)  Γ Gamma Vanna Charm Gamma (Γ)  Speed Zomma Color Vega (ν)  Vanna Vomma Dvega Dtime Vomma  Ultima
  • 15. Olasılık Metrik Değişimleri Girsanov's Theorem Radon–Nikodym Derivative Martingale Representation Theorem Feynman–Kac Formula Statistical Finance
  • 16. Alternatif Teknikler  Asymptotic Analysis  Ergodic Theory  Saddlepoint Approximation
  • 17. Nümerik Teknikler  Numerical Analysis  Monte Carlo Method  Numerical Methods Laplace Transforms Fourier Transforms  Numerical Partial Differential Equations Crank–Nicolson Method Finite Difference Method Finite Elements Method
  • 18. Faiz Türevleri Interest rate derivatives Short rate model  Hull-White model  Cox-Ingersoll-Ross model  Chen model LIBOR Market Model Heath-Jarrow-Morton framework
  • 19. Diğer Destek Konular  Chaos Theory and Fractals  Computational Finance  Quantitative Behavioral Finance  Derivative (Finance), List Of Derivatives Topics  Modeling And Analysis Of Financial Markets  International Swaps And Derivatives Association  Fundamental Financial Concepts - Topics  Model (Economics)  List Of Finance Topics