- Accueil
- Home
- Training Catalog-2023
- Training courses
- MISSION EXAMPLES
- CONTACT
- Blog
- I. Stochastic Models and Processes
- II. Mathematical Tools and Principles
- III. Quantitative Finance Applications
- IV. Advanced Concepts and Theories
- V. Technical Methods and Interpolations
- VI. Miscellaneous Quant Topics
- VIII. Quant Interview Questions
- VII. Data Science and Technology in Finance
- Behavorial finance
- Corporate finance
- Quizzes
- Webinars
- The Layman’s Quant Lexicon
III. Quantitative Finance Applications · 13. novembre 2023
In the Black-Scholes formula, Δ is the option delta, showing the price change of a call option for a $1 change in the stock price. Δ equals N(d1), where N is the cumulative normal distribution function, and d1 factors in the stock price, strike price, time to expiration, risk-free rate, and volatility.
#OptionsTrading #Delta #BlackScholesModel
III. Quantitative Finance Applications · 10. novembre 2023
Convertible bonds blend debt and equity, featuring an option to convert into a set number of shares. Key factors include conversion ratio and price. Valuation hinges on stock dynamics, credit risk, and hazard rate. At maturity, value is the higher of face value or conversion outcome. Monte Carlo simulations help in pricing, considering callability and putability options. #ConvertibleBonds #CreditRisk #FinancialModeling #InvestmentStrategies