Author Archives: Jayati WALIA

Implied Volatility

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the concept of implied volatility, its interpretation in options pricing and methods of computation. Introduction Volatility is measure of fluctuations observed in an asset’s … Continue reading

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Returns

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains how returns of financial assets are computed and their interpretation in the world of finance. Introduction The main focus of any investment in financial … Continue reading

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The Monte Carlo simulation method for VaR calculation

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the Monte Carlo simulation method for VaR calculation. Introduction Monte Carlo simulations are a broad class of computational algorithms that rely majorly on repeated … Continue reading

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Monte Carlo simulation method

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the Monte Carlo simulation method and its applications in finance. Introduction Monte Carlo simulations are a broad class of computational algorithms that rely majorly … Continue reading

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Black-Scholes-Merton option pricing model

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the Black-Scholes-Merton model to price options. The Black-Scholes-Merton model (or the BSM model) is the world’s most popular option pricing model. Developed in the … Continue reading

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Stress Testing used by Financial Institutions

Stress Testing used by Financial Institutions In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) introduces the concept of Stress testing used by financial institutions to estimate the impact of extraordinary market conditions characterized … Continue reading

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The historical method for VaR calculation

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) presents the historical method for VaR calculation. Introduction A key factor that forms the backbone for risk management is the measure of those potential losses … Continue reading

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The variance-covariance method for VaR calculation

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) presents the variance-covariance method for VaR calculation. Introduction VaR is typically defined as the maximum loss which should not be exceeded during a specific time … Continue reading

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Standard deviation

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) presents an overview of standard deviation and its use in financial markets. Mathematical formulae To identify the center or average of any data set, measures … Continue reading

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Logistic Regression

In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) presents an overview of logistic regression and its application in finance. Introduction Logistic regression is a predictive analysis regression method that is used in classification … Continue reading

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