I have a really big task in financial mathematics and a small part of it (to set up the problem), I need to write a PIDE (the Feynman-kac) where we estimate options with jumps. It is derived from the ...
In my course script, it is said that the Vega of the Black Scholes Model is at its maximum for at-the-money options. In order to verify this, I did the following calculations: In the Black Scholes ...
I'm very new at linear programming and I'm trying to figure out a way to approach this problem below: ...
Frequently a company wants to match its assets and liabilities. However, perfect matching is not practical due to fluctuations in interest rates. So they hedge their risk using immunization. This can ...