这个作业是用蒙特卡洛模拟方法估算VaR和CVaR

BEAM046 Financial Modelling

任务1:使用蒙特卡洛模拟方法估算VaR和CVaR
PG呼叫选项的使用以下参数(注意:您不需要
估算库存的VaR或CVaR):
期权行使价:125.00
到期日期:2021年2月25日
VaR置信度:50%,60%,70%,80%,90%
VaR范围:选项的剩余寿命
波动率:期权的隐含波动率
无风险利率:当前3个月美国国库券收益率
预期收益:假设为零
股息:假设为零
任务2:进行一项或多项敏感性分析,以探索
您的结果以假设为依据。
您应在不超过
2,000个单词,不包括标题页,表格和图形,公式和参考。
在编写报告时,应遵循以下准则:
•您的报告应专业呈现。您可以假设它将
由公司的高级管理层阅读,因此它需要整洁,
结构正确,文字简洁明了。这很重要
实践技能。
•您应该对报告使用以下结构:
封面
内容提要:应简要总结分析及其主要内容
发现。
Method and data: this should concisely describe your calculations and the
data on which they are based
Results: this presents the results of your financial model, including the
sensitivity analysis. You should provide a critical discussion of your results.
Conclusion: this should summarise the main findings of the model, critically
evaluate any shortcomings of the data and method, and offer some
suggestions for future work
References: these should be alphabetically listed and properly formatted
(see below)
• You should NOT include appendices in your report
• You should make creative use of properly presented tables and charts. Tables
and charts should be accompanied by detailed explanatory notes. Look at any
paper in a good finance journal to see how to present a table of results (I have
put a sample of a Journal of Financial Economics paper in the Assessment
Information section on ELE, but feel free to look at others also).
• Do NOT include Excel screen prints. Also, you do NOT need to describe the
specific steps you took in Excel or the functions used.
• You should pay attention to the formatting of your reports, particular with
respect to line spacing, paragraphs and section titles
• You should use Equation Editor in Microsoft Word to format any equations
• You should define any variables that are used in equations


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