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About Parivartana Yoga II
Denis Gorokhov is an Executive Director at Morgan Stanley who has worked on pricing exotic derivatives involving credit, counterparty risk, and other factors. He gave a lecture on the HJM model, a flexible framework for pricing interest rates and credit derivatives. The HJM model is analogous to computational methods used in physics to model complex systems. It fits into the general concept of Monte Carlo simulation for pricing financial contracts. Mr. Gorokhov discussed how Monte Carlo methods are used in finance through the example of stock option pricing and hedging. He also explained the Black-Scholes formalism for option pricing and some key aspects of Ito's lemma.
Detailed Information
Author: | ['Gaurav'] |
---|---|
Publication Year: | 2018 |
Pages: | 35 |
Language: | English |
Format: | |
Price: | FREE |
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