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TRANSCRIPT
Equity Scorecard
06/04/2016
From Mathematics to Finance
Giovanni Bonaschi
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1 year ago
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1 year ago
•Where I was •What I was doing
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1 year ago
•Where I was •What I was doing •What I was thinking about
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What we do
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What we do
• Mutual fund • Exchange traded fund • Hedge fund • Private equity fund • …
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How we do it
• Commodities • Third Party Funds • Derivatives on derivatives …
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Options
P(StrikePrice,Maturity) C(StrikePrice,Maturity)
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Why a mathematician
Script taken from “Margin Call”
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Why a mathematician
Script taken from “Margin Call”
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Why me?
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Why me?
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Example: Fair Value Model - Europe
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Example: P/E e EPS - Europe
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Example: Technical Indicators – Bollinger Bands for EuroStoxx 50
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Options
P(StrikePrice,Maturity) C(StrikePrice,Maturity)
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Options
dS
S= µ dt + ‡ dW
Black-Scholes
Price PUT(K, T ) Ã3
T,K
S0, ‡
4
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Options
Jin Feng - Martin Forde - Jean Pierre Fouque
dS
S= rdt +
ÔY dW 1
dY = Ÿ
Á2 (◊ ≠ Y )dt + ‹
Á
ÔY dW 2
dÈW 1, W 2Í = fldt
Á æ 0
Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
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Options
Á æ 0fl > 0fl < 0
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Implied Volatility
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Now
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Now
•Where I am •What I am doing
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Now
•Where I am •What I am doing •What I am thinking about
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THANK YOU FOR YOUR ATTENTION
This presentation discusses general market activity, industry or sector trends, or other broad-based economic, market or political conditions and should not be construed as research or investment advice. This material has been prepared by G.A. Bonaschi and is not financial research nor a product of ARCA SGR. The views and opinions expressed may differ from those of ARCA SGR Active Managed Team or other departments or divisions of ARCA SGR and its affiliates.