In the early 70's, Black, Scholes and Merton have made a major breakthrough in option pricing. These contributions and developments are the source of the famous Black-Scholes model which had a great impact on how used by traders, both in terms of option valuation in the development of coverage This work has also been the starting point for the spectacular development of computational finance in the 80's and 90's.En 1997 Merton and Scholes were awarded the Nobel Prize in Economics (Black had died). This formula is widely used in practice to the extent that it defines the implied volatility has become a real unit of measurement. The mathematical model that describes the financial market is both simple and effective. The aim of this paper is to develop options pricer using VBA language and the Black and Sholes model.
Chance of our ignorance, lack of information which prohibits predict what the future brings, and the existence of multiple causes that cross the path of winning anyway, all this creates major undesirable effects of this that financial institutions have fully made the effort to graduate uncertainty or rather determine the predictability that now was mathematical statistics and not deterministic form. Among the methods most used in the context of risk management in finance is the Value at risk. This method allows materializing the risk of losing a position or the entire portfolio. The goal of this paper is to clarify some notions about this approach and to have more ideas and trace while giving tracks to highlight the risks, corrected to overcome weaknesses and to better understand the fluctuations. Thus we would calculate the Value At Risk of a diversified portfolio composed of three assets.
The international financial crisis of 2007 is a good illustration of the realization and the spread of systemic risk. The banking crisis has peaked in September 2008 with the collapse of Lehman Brothers and later support for the financial system. In the spring of 2010, it turned into a sovereign debt crisis. Since the summer, 2011, general instability has continued to reach new heights. This article deals with a phenomenon that lies at the heart of the current situation in the euro area: the phenomenon of contagion. The contagion is one of the mechanisms by which ?nancial instability spreads to the point that a crisis reached systemic proportions. In this article, we use the CDS as an instrument to test the contagion in the financial markets of 9 countries of the Euro area: Portugal, Ireland, Italy, Germany, Greece, Spain, Austria, France and Belgium using the DCC-GARCH model.
In this article, we'll try to propose a modeling of the Moroccan stock market performance. To do this, the MASI, aggregate index representing Casablanca stock exchange, will be modeled from the method "ARIMA - BOX-JENKINS ', then by a GARCH model. This note is endeavoring to first present a brief overview of the theoretical framework of both models: ARIMA and ARCH, then an analysis of serial MASI, then searching of the ARIMA model most appropriate for the MASI(identification and validation of models to reproduce the series), and finally the choice of the most suitable GARCH model based on statistical criteria. The data available are 494 daily values of the evolution of the MASI, from 21/12/2009 to 18/12/2012. Software used are SPSS 17 and Eviews 6.
Show abstract
Full Text
