Risk Management

FORMULAE SHEET for: (Corporate) Financial Risk Management (from Hull text fifth edition) (plus 4th edition) (1) Determining forward and future prices (Chapter 5) /(Chapter 3) F = S0 exp (rT)(5.1, p. 101) /(3.5, p. 46) F = (S0 I) exp (rT)(5.2, p. 103) /(3.6, p. 49) F = S0 exp[(r rf) T ](5.9, p. 111) /(3.7, p. 51) f = (F- K) exp (-rT)(5.4, p. 106) /(3.8, p. 51) f = S0 - K exp (-rT)(5.5, p. 106) /(3.8, p. 51) f = S0 - I - K exp (-rT)(5.6, p. 107) /(3.10, p. 52) (2) Properties of stock options (Chapter 9) /(Chapter 8) c ( S0 (p. 210) /(p. 186) p ( X exp(- r T) (p. 210) /(p. 187) c ( S0 X exp (- r T) (p. 211) /(p. 188) p ( X exp (- r T) S0 (p. 213) /(p. 189) (3) Put Call Parity comparability (Chapter 9) /(Chapter 8) S0 + p - c = X exp (- r T) (9.3, p.213) /(8.3, p.191) S0 exp(- q T) + p - c = X exp (- r T) (13.3, p.288) /(12.3, p.256) (4) Binomial probability formulae (Chapter 11) /(Chapter 10): p = exp(rT) d [ CH.11 p. 246: equations 11.2/11.3] u d [ CH.10 p. 221: equations 10.2/10.

3] c = exp(-rT) [ p cu + (1 p) cd ] p = exp(-rT) [ p pu + (1 p) pd ] f = exp(-2r(T). [p2fuu + 2p(1-p)fud + (1-p)2fdd] (11.10, p. 251) (10.8, p. 225) (5) Black-Scholes formulae(Chapter 12) /(Chapter 11) [CH 12 p. 273: equation 12.5/ 12.6] /[CH 11 p. 241: equation 11.5/ 11.6] c = S0. N(d1) exp(-rT). X. N(d2) p = X . exp(-rT) . N(-d2) S0 . N(-d1) d1 = In(S/X) + (r + (2/2)T ( (T d2 = d1 - ( (T (6)... If you compliments to get a full essay, order it on our website: Ordercustompaper.com

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