Matstat seminarium måndagen 5 november kl m13:15 i MH:227

 
                    DYNAMIC GREEKS
 
                    Ragnar Norberg
               London School of Economics
 
 Abstract: The sensitivity of a derivative price to changes in the
 parameters is given by its derivatives w.r.t. the parameters -
 the so-called Greeks. The Greeks are easily obtained when the
 price is a closed form expression. In any case we may determine
 the Greeks as solutions to differential equations derived from
 the differential equation of the price function by simply
 differentiating it w.r.t. the parameters. Existence of Greeks is
 the hard part. The idea extends to other dynamical entities. 
 Some examples with numerical illustrations are given.
 
 Key-words: Derivative prices, Sensitivity,
 Differential equations, Numerical solutions.