tailieunhanh - Lecture Financial modeling - Topic 16: Advanced financial modeling

The topics discussed in this chapter are: FX quotes (direct/indirect), FX appreciation and depreciation, FX conversions, forecasting FX rates using PPP and IRP, FX forward and options pricing, transactional gains/losses and hedging FX exposure, global capital budgeting, global portfolio optimization. | 1 Global Financial Modeling Topic 16 Advanced Financial Modeling L. Gattis Topics FX Quotes (Direct / Indirect) FX Appreciation and Depreciation FX Conversions Forecasting FX rates using PPP and IRP FX Forward and Options Pricing Transactional Gains/Losses and Hedging FX Exposure Global Capital Budgeting Converting Cashflows, Repat Taxes, risk premiums Global Portfolio Optimization 2 Direct and Indirect Prices: Latte 3 The price of a Latte is . dollars Direct Price Quote: $ This a called a direct quote in USD for an American You could also say that the Latte price of a USD is Latte Indirect Quote: Latte/USD This a called a indirect quote Lattes are always quoted in direct terms $ Direct and Indirect Prices: Euro 4 The price of a Euro is . dollars Direct Quote: $ This a direct quote in USD for an American You could also say that the euro price of a USD is .80 euro Indirect Quote: € This a called a indirect quote The euro is usually quoted in direct terms $€ Direct and Indirect Prices: Danish Krone 5 The price of one Krone is .16 . dollars Direct Quote: $ This a direct quote in USD for an American You could also say that the krone price of a USD is krone Indirect Quote: Kr This a called a indirect price The krone is usually quoted in indirect terms, others include Jap. Yen, Swiss Franc, Can. dollar, Chinese yuan, Mexican peso, Brazilian Rial $ Currency Pairs 6 Pairs Format BASE-QUOTE (EUR-USD) BASEQUOTE (EURUSD) BASE/QUOTE (EUR\USD) < US$ price of a Euro (US$/€) < US$ price of a British Pound (US$/£) < Japanese Yen price of a US$ (¥/US$) < US$ price of a Australian Dollar (US$/A$) < Canadian Dollar price of USD (C$/US$) < Yen Price of a Euro (¥/€) Currency Conversions 7 To convert from one currency to another simply use cross multiplication Suppose the USD-CAD exchange rate is C$$. How many CAD . | 1 Global Financial Modeling Topic 16 Advanced Financial Modeling L. Gattis Topics FX Quotes (Direct / Indirect) FX Appreciation and Depreciation FX Conversions Forecasting FX rates using PPP and IRP FX Forward and Options Pricing Transactional Gains/Losses and Hedging FX Exposure Global Capital Budgeting Converting Cashflows, Repat Taxes, risk premiums Global Portfolio Optimization 2 Direct and Indirect Prices: Latte 3 The price of a Latte is . dollars Direct Price Quote: $ This a called a direct quote in USD for an American You could also say that the Latte price of a USD is Latte Indirect Quote: Latte/USD This a called a indirect quote Lattes are always quoted in direct terms $ Direct and Indirect Prices: Euro 4 The price of a Euro is . dollars Direct Quote: $ This a direct quote in USD for an American You could also say that the euro price of a USD is .80 euro Indirect Quote: € This a called a indirect quote The euro is .

• Tài chính doanh nghiệp
• Financial modeling
• Lecture Financial modeling
• Asset expected return
• Indirect prices
• Direct prices
• Advanced financial modeling
• Financial applications
• VBA variables
• Option explicit
• Financial simulations
• Retirement ratios
• Changing asset allocation
• Portfolio optimization
• Portfolio risk return optimization
• Modeling support
• Financial statement simulation
• Cash flow
• Cash flow models
• User defined function
• Calculating cost of capital
• Portfolio models
• Estimating asset risk
• Asset risk
• Portfolio risk
• Computing portfolio risk
• Portfolio value at risk
• Random walk simulations
• Monte Carlo simulation
• Advanced excel awesomeness
• Web queries
• Array functions
• Bond fundamental value
• Macaulay duration
• Modified duration function
• Income portfolio
• Portfolio duration
• Bond functions
• Default adjusted bond return
• Bond returns
• Adjusting returns
• Accrued interest
• Yield curve models
• Forward rates
• Forward contracts
• Random variables
• Forward contract
• Option contracts
• Monte carlo valuation
• Option contract
• Option pricing model
• Implied vols
• Volatility estimation
• BSM option greeks
• Dynamic delta hedging
• Short sales
• Distribution fitting
• Selecting distributions
• Simulation process