2012 금œµˆ•™ 겨¸•™êµ - FM 210 Mhz

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  • 1. February, 3 2012FM 210 Mhz

2. 3. 4. FM 210 (Finance & Math meet at Technomanagement building 210 class ) 5. Mathmatical approach to option(1) American call option implicit method(2) Stability(3) American optionsVon Neumann analysisOperator splitting method 6. (1) Discretize the Black-Scholes equation on n+1 time level using Taylor series expansion. Approximate the first-order spatial derivative at m-th grid point using m-1 and m grid points. Keyword : Taylor expansionTaylor expansion 7. (1) Discretize the Black-Scholes equation on n+1 time level using Taylor series expansion. Approximate the first-order spatial derivative at m-th grid point using m-1 and m grid points. Keyword : Discretize 8. Mathmatical approach to option(1) American call option implicit method(2) Stability(3) American optionsVon Neumann analysisOperator splitting method 9. (2) Check stability in the sense the Von Neumann analysis. 10. (2) Check stability in the sense the Von Neumann analysis. 11. (2) Check stability in the sense the Von Neumann analysis. 12. (2) Check stability in the sense the Von Neumann analysis. 13. (2) Check stability in the sense the Von Neumann analysis. 14. Mathmatical approach to option(1) American call option implicit method(2) Stability Von Neumann analysis(3) American options Operator splitting method 15. Network approach to FinanceNetworkPaper introduction Future researchAsset treewith mathlab code3D simulation with mathlab code 16. Network approach to FinanceNetworkPaper introduction Future researchAsset treewith mathlab code3D simulation with mathlab code 17. 1. The clustering of companies using the correlation matrix of asset returns, 2. Transforming correlations into distances, 3. Selecting a subset with the minimum spanning tree(MST) criterion. 18. Asset Tree ConstructionAsset GraphDetermining the minimum spanning tree(MST) of the distancesExtracting the N(N-1)/2 distinct distance elements from the upper triangular part of theDifferences Order : fixed No cyclesOrder : unfixed Cycles 19. First region - in early time T faster than G (G shows exponential decay) In general, the tree Second region behave and graph a straight line on the log-log plot very similarly. G should decay more faster than T.G are far more optimal (shorter) than the T. 20. Network approach to FinanceNetworkPaper introduction Future researchAsset treewith mathlab code3D simulation with mathlab code 21. Return = importdata('US_200001032008_STOCKReturn.mat'); Corr = corrcoef(Return); Dist = sqrt(2*(1-Corr)); Dist = triu(Dist) + triu(Dist)'; SDist = sparse(Dist); [out1 out2 out3 ] = mst(SDist); MST = [out1 out2 out3 ]; MST_Geometric_SUB02_Application(MST,'a'); 22. ? 23. Network approach to FinanceNetworkPaper introduction Future researchAsset treewith mathlab code3D simulation with mathlab code 24. 0.40.350.4 0.30.30.20.250.10.200.152007 2006-1 20050.1 -0.520040 0.0520030.5 10 20022002.520032003.520042002 2004.520052005.520062006.5 1 0 -1 25. SAME CODEClear all; close all; clf; 26. 1. . 2. () 3. 2 , T ANOVA . 4. , .