August 2022
Intermediate to advanced
689 pages
15h 46m
French
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CHAPITRE 21 Évaluation basée marché
Nous affrontons une volatilité extrême.
—Carlos Ghosn
Une tâche importante dans l’analyse de produits dérivés consiste à évaluer en prenant le marché comme base des options et produits dérivés non cotés ou non liquides. L’approche généralement adoptée consiste à calibrer un modèle d’évaluation avec les cours des options qui sont cotées ou liquides, puis d’utiliser ce modèle calibré pour déterminer le prix d’options non cotées87.
L’étude de cas qui constitue ce chapitre part bien sûr du paquetage DX et montre que tel qu’il a été développé au long des quatre chapitres précédents, il est tout à fait capable d’implémenter une évaluation en base marché. Notre exemple utilise l’indice boursier DAX 30, qui réunit les ...
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I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.