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  • Derivatives

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    Ranjeet Maurya
    37 просмотров2 страницы
    The document covers several topics related to derivatives, including: 1) Futures and swaps, including the basics of futures contracts and trading, determination of futures prices, and standard and foreign currency swaps. 2) Options and the Black-Scholes formula, including options basics, pricing relationships, the Black-Scholes formula itself and its assumptions, and implied volatility. 3) Binomial trees and option pricing, including one-period and two-period trees and using them to price options. 4) Risk management with derivatives, including hedging strategies using futures, options strategies like protective puts, delta hedging, value at risk calculations, and how to avoid losing money

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    The document covers several topics related to derivatives, including: 1) Futures and swaps, including the basics of futures contracts and trading, determination of futures prices, and standard and foreign currency swaps. 2) Options and the Black-Scholes formula, including options basics, pricing relationships, the Black-Scholes formula itself and its assumptions, and implied volatility. 3) Binomial trees and option pricing, including one-period and two-period trees and using them to price options. 4) Risk management with derivatives, including hedging strategies using futures, options strategies like protective puts, delta hedging, value at risk calculations, and how to avoid losing money

    Авторское право:

    Attribution Non-Commercial (BY-NC)
    Скачайте в формате DOC, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    37 просмотров2 страницы

    Derivatives

    Загружено:

    Ranjeet Maurya
    The document covers several topics related to derivatives, including: 1) Futures and swaps, including the basics of futures contracts and trading, determination of futures prices, and standard and foreign currency swaps. 2) Options and the Black-Scholes formula, including options basics, pricing relationships, the Black-Scholes formula itself and its assumptions, and implied volatility. 3) Binomial trees and option pricing, including one-period and two-period trees and using them to price options. 4) Risk management with derivatives, including hedging strategies using futures, options strategies like protective puts, delta hedging, value at risk calculations, and how to avoid losing money

    Авторское право:

    Attribution Non-Commercial (BY-NC)
    Скачайте в формате DOC, PDF, TXT или читайте онлайн в Scribd
    Отметить как неприемлемый контент
    из 2

    Futures and Swaps

    I. Futures Basics
    A. Contract Design
    B. Futures Trading
    II. Determination of Futures Prices
    A. Hedging and Speculating with Futures
    B. The Spot-Futures Parity
    C. Pricing Foreign Currency Futures
    III. Swaps
    A. Standard Swaps
    B. Foreign Currency Swaps and Basis Rate Loans
    IV. Credit Derivatives
    A. Credit Default Swaps
    B. Collateralized Debt Obligations (CDOs)
    C. Credit and Liquidity Crises, 2007 on
    Options and the Black-Scholes Formula
    I. Options Basics
    A. Types of Options
    B. Option Payoffs
    C. Option Trading
    II. Option Pricing Relationships
    A. General Price Comparisons
    B. Stock Options: Specific Price Comparisons
    III. The Black-Scholes Formula
    A. Objective and Assumptions
    B. The Formula
    C. Dividends
    D. Changing the Inputs of the Black-Scholes
    Formula: “The Greeks”
    E. Implied Volatility
    Binomial Trees and Option Pricing
    I. One-Period Black-Scholes Tree
    A. Dynamics of the Stock Price
    B. Call Option Pricing
    C. Risk-Neutral Probability vs. Actual Probability
    II. Two-Period Tree
    A. To Price a Two-Period Call
    B. Risk Neutral Valuation
    Risk Management with Derivatives
    I. Futures and Forwards Strategies
    A. Hedging Using Futures and Forwards
    B. Basis Risk
    II. Option Strategies
    A. Protective Put
    B. Covered Call
    C. Straddle
    D. Spreads
    E. Collars
    III. Delta Hedging and Portfolio Insurance
    A. Delta Hedging
    B. Portfolio Insurance
    IV. Value at Risk
    A. Risk of a Portfolio
    B. Computing VaR
    V. How Not to Lose Money with Derivatives
    A. Do Derivatives Make the World Riskier?
    B. Understanding Hedging
    C. Some Pitfalls
    D. Risk Controls
    E. Accounting for Derivatives: FAS 133

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