Quantitative Models For Financial Markets

The study analyses quantitative models for financial markets by starting from geometric Brown process and Wiener process by analyzing Ito’s lemma and first passage model. Furthermore, it is analyzed the prices of the options, Vanilla & Exotic, by using the expected value and numerical methods. From contingent claim approach ALM strategies are also analyzed so to get the effective duration measure of liabilities. Furthermore, the study analyses interest rate models in simulated environment by using the drift condition in combination with the inflation models as expectation of the markets. The credit risk model is considered as well in intensity model & structural model by getting the PD probability from the Rating Matrix as well by using the diagonal. Furthermore, the systemic risk is considered as well by using a deco relation concept. Moreover, it is achieved the equity pricing along the equilibrium between financial markets with implications for the portfolio construction. Finally, the VaR model is presented in combination with a percentile approach