Modelli per il Calcolo del Value at Risk
Modelli per il Calcolo del Value at Risk
Modelli per il Calcolo del Value at Risk
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
dS<br />
S<br />
Generazione di scenari<br />
Processo stocastico <strong>per</strong> <strong>il</strong> prezzo <strong>del</strong> sottostante<br />
= μ ⋅dt<br />
+ σ ⋅dz<br />
dz ≈ N(<br />
0,<br />
dt)<br />
Versione <strong>del</strong> processo in tempo discreto<br />
S( t + Δt)<br />
= S(<br />
t)<br />
+ ˆ μ ⋅S(<br />
t)<br />
⋅Δt<br />
+ σˆ<br />
⋅S(<br />
t)<br />
⋅ε<br />
⋅ Δt<br />
≈<br />
ε<br />
N(<br />
0,<br />
1)<br />
Slides AB <strong>Mo<strong>del</strong>li</strong> <strong>per</strong> <strong>il</strong> calcolo <strong>del</strong> <strong>Value</strong> <strong>at</strong> <strong>Risk</strong><br />
68