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Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM STA2503-04 Page 1

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Page 1: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Review dynamic hedging & BS PDEWednesday, October 11, 2017 2:09 PM

STA2503-04 Page 1

Page 2: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

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Page 3: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Feynman-Kac part IWednesday, October 11, 2017 2:38 PM

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Page 4: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Feynman-Kac part 2Wednesday, October 11, 2017 3:15 PM

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Page 5: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

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Page 6: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

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Page 7: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Feynman-Kac part 3Wednesday, October 11, 2017 4:11 PM

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Page 9: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

Delta-HedgingWednesday, October 11, 2017 4:28 PM

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Page 10: Review dynamic hedging & BS PDE - Sebastian Jaimungalsebastian.utstat.utoronto.ca/wp-content/uploads/2017/10/...Review dynamic hedging & BS PDE Wednesday, October 11, 2017 2:09 PM

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