options futures and other derivatives

... the OTC derivatives markets and got into financial difficulties because it took high risks and found it was unable to roll over its short term funding  It had hundreds of thousands of OTC derivatives ... Trang 27Exchanges Trading Options International Securities Exchange  Eurex (Europe)  and many more (see list at end of book) Trang 28Options vs Futures/Forwards A futures/forward contract ... 30Three Reasons for Trading Derivatives: Hedging, Speculation, and Arbitrage  Hedge funds trade derivatives for all three reasons  When a trader has a mandate to use derivatives for hedging or

Ngày tải lên: 06/01/2018, 12:20

... broker Fundamentals of Futures and Options Markets, 9th Ed, Ch 2, Copyright © John C Hull 2016 Margin Cash Flows When Futures Price Increases Fundamentals of Futures and Options Markets, 9th Ed, ... Futures and Options Markets, 9th Ed, Ch 2, Copyright © John C Hull 2016 24 Profit from a Short Forward or Futures Position Profit Price of Underlying at Maturity Fundamentals of Futures and Options ... Futures Markets and Central Counterparties Chapter Fundamentals of Futures and Options Markets, 9th Ed, Ch 2, Copyright © John C Hull 2016 Futures Contracts  Available

Ngày tải lên: 06/01/2018, 12:20

... beta, and VF is the current value of one futures (=futures price times contract size) Fundamentals of Futures and Options Markets, 9th Ed, Ch3, Copyright © John C Hull 2016 13 Example Futures ... the main business they are in and take steps to minimize risks arising from interest rates, exchange rates, and other market variables Fundamentals of Futures and Options Markets, 9th Ed, Ch3, ... F is the standard deviation of F, the change in the futures price during the hedging period  is the coefficient of correlation between S and F h  Fundamentals of Futures and Options Markets,

Ngày tải lên: 06/01/2018, 12:21

... the zero rates for time periods T 1 and T 2 are R 1 and R 2 with both rates continuously compounded.  The forward rate for the period between times T 1 and T 2 Trang 28Application of the FormulaYear ... or lower the rate Similar arrangements in other countries Trang 6Repo Ratesa financial institution that owns securities agrees to sell them today for X and buy them bank in the future for a slightly ... institution obtains a loan  The rate of interest is calculated from the difference between X and Y and is known as the repo rate Trang 7LIBOR swapsexchanged for a fixed rate (discussed in Chapter

Ngày tải lên: 06/01/2018, 12:21

... shares? Fundamentals of Futures and Options Markets, 9th Ed, Ch 5, Copyright © John C Hull 2016 Notation for Valuing Futures and Forward Contracts S0: Spot price today F0: Futures or forward price ... Fundamentals of Futures and Options Markets, 9th Ed, Ch 5, Copyright © John C Hull 2016 15 Forward vs Futures Prices   When the maturity and asset price are the same, forward and futures prices are ... relationship between F0 and S0 does not hold (see Business Snapshot 5.4 on page 120) Fundamentals of Futures and Options Markets, 9th Ed, Ch 5, Copyright © John C Hull 2016 20 Futures and Forwards on

Ngày tải lên: 06/01/2018, 12:21

... Fundamentals of Futures and Options Markets, 9th Ed, Ch 6, Copyright © John C Hull 2016 Treasury Bond Price Quotes in the U.S Cash price = Quoted price + Accrued Interest Fundamentals of Futures and Options ... the futures rate Fundamentals of Futures and Options Markets, 9th Ed, Ch 6, Copyright © John C Hull 2016 19 There are Two Reasons  Futures is settled daily where forward is settled once  Futures ... Fundamentals of Futures and Options Markets, 9th Ed, Ch 6, Copyright © John C Hull 2016 20 Forward Rates and Eurodollar Futures continued  A “convexity adjustment” often made is Forward Rate = Futures

Ngày tải lên: 06/01/2018, 12:21

... Futures, and Other Derivatives, 9th Ed, Ch 7, Copyright © John C Hull 2016 Interest Rate Swap Between Citigroup and Intel (Figure 7.3, page 165) 2.97% Citi Intel LIBOR Options, Futures, and Other Derivatives, ... rate Options, Futures, and Other Derivatives, 9th Ed, Ch 7, Copyright © John C Hull 2016 Interest Rate Swap Between Apple and Citigroup (Figure 7.1, page 162) 3.0% Citi Apple LIBOR Options, Futures, ... forwards have a positive value and some have a negative value Options, Futures, and Other Derivatives, 9th Ed, Ch 7, Copyright © John C Hull 2016 34 Credit Risk When derivatives transactions with

Ngày tải lên: 06/01/2018, 12:21

... Fundamentals of Futures and Options Markets 9th Ed, Ch 8, Copyright © John C Hull 2016 What happened…  Starting in 2000, mortgage originators in the US relaxed their lending standards and created ... liquidity ratios  CCPs and SEFs for OTC derivatives  Bonuses limited in Europe  Bonuses spread over several years  Proprietary trading restricted Fundamentals of Futures and Options Markets 9th ... Securitization and the Credit Crisis of 2007 Chapter Fundamentals of Futures and Options Markets 9th Ed, Ch 8, Copyright © John C Hull 2016 Securitization

Ngày tải lên: 06/01/2018, 12:21

... Take Market Share from the OTC Market  Flex options  Binary options  Credit event binary options (CEBOs)  Doom options Fundamentals of Futures and Options Markets, 9th Ed, Ch 9, Copyright © ... Fundamentals of Futures and Options Markets, 9th Ed, Ch 9, Copyright © John C Hull 2016 Option Positions  Long call  Long put  Short call  Short put Fundamentals of Futures and Options Markets, ... Fundamentals of Futures and Options Markets, 9th Ed, Ch 9, Copyright © John C Hull 2016 Assets Underlying Exchange-Traded Options Page 210-211  Stocks  ETFs  Foreign Currency  Stock Indices  Futures

Ngày tải lên: 06/01/2018, 12:21

... Fundamentals of Futures and Options Markets, 9th Ed, Ch 10, Copyright © John C Hull 2016 17 Bounds for European and American Put Options (No Dividends) S0 Fundamentals of Futures and Options Markets, ... Fundamentals of Futures and Options Markets, 9th Ed, Ch 10, Copyright © John C Hull 2016 15 Bounds for European or American Call Options (No Dividends) Fundamentals of Futures and Options Markets, ... of Futures and Options Markets, 9th Ed, Ch 10, Copyright © John C Hull 2016 Lower Bound for European Put Prices; No Dividends (Equation 10.5, page 235) p ≥ max(Ke –rT – S0, 0) Fundamentals of Futures

Ngày tải lên: 06/01/2018, 12:21

... Fundamentals of Futures and Options Markets, 9th Ed, Ch 11, Copyright ©) John C Hull ST (c) 2016 Bull Spread Using Calls (Figure 11.2, page 253) Profit ST K1 K2 Fundamentals of Futures and Options Markets, ... Fundamentals of Futures and Options Markets, 9th Ed, Ch 11, Copyright © John C Hull 2016 Bear Spread Using Puts Figure 11.4, page 255 Profit K1 K2 ST Fundamentals of Futures and Options Markets, ... Fundamentals of Futures and Options Markets, 9th Ed, Ch 11, Copyright © John C Hull 2016 10 Butterfly Spread Using Calls Figure 11.6, page 258 Profi t K1 K2 K3 ST Fundamentals of Futures and Options

Ngày tải lên: 06/01/2018, 12:21

... by Cox, Ross, and Rubinstein (1979) Fundamentals of Futures and Options Markets, 9th Ed, Ch 12, Copyright © John C Hull 2016 22 Assets Other than Non-Dividend Paying Stocks  For options on stock ... Futures and Options Markets, 9th Ed, Ch 12, Copyright © John C Hull 2016 21 Choosing u and d One way of matching the volatility is to set u = eσ ∆t d = u = e −σ ∆t where σ is the volatility and ... u−d Fundamentals of Futures and Options Markets, 9th Ed, Ch 12, Copyright © John C Hull 2016 10 Risk-Neutral Valuation  When the probability of an up and down movements are p and 1-p the expected

Ngày tải lên: 06/01/2018, 12:21

... stock (S/S) is assumed to be normal with mean t and standard deviation  t  is expected return and  is volatility Fundamentals of Futures and Options Markets, 9th Ed, Ch 13, Copyright © John ... Valuing Stock Options: The Black-Scholes-Merton Model Chapter 13 Fundamentals of Futures and Options Markets, 9th Ed, Ch 13, Copyright © John C Hull 2016 The Black-Scholes-Merton Random Walk Assumption ... distributed with mean: ln S  (   / 2)T and standard deviation:   T Because the logarithm of ST is normal, ST is lognormally distributed Fundamentals of Futures and Options Markets, 9th Ed, Ch 13,

Ngày tải lên: 06/01/2018, 12:21

... Employee Stock Options Chapter 14 Fundamentals of Futures and Options Markets, 9th Ed, Ch 14, Copyright © John C Hull 2016 Nature of Employee Stock Options  Employee stock options are call options ... or take other decisions that maximize the value of the options Fundamentals of Futures and Options Markets, 9th Ed, Ch 14, Copyright © John C Hull 2016 Accounting for Employee Stock Options  ... forfeited  Employees are not permitted to sell options  When options are exercised the company issues new shares Fundamentals of Futures and Options Markets, 9th Ed, Ch 14, Copyright © John

Ngày tải lên: 06/01/2018, 12:21

... contracts Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C Hull 2012 28 Value of Microsoft Shares with and without Hedging (Fig 1.4, page 12) Options, Futures, and Other Derivatives, ... certain price Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C Hull 2012 26 Types of Traders Hedgers Speculators Arbitrageurs Options, Futures, and Other Derivatives, 8th ... value of another asset Examples: futures, forwards, swaps, options, exotics… Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C Hull 2012 Why Derivatives Are Important Derivatives...

Ngày tải lên: 17/04/2015, 17:59

... futures contract on or near the delivery date Other electric rate derivatives include options, price swaps, basis swaps, and forward contracts Futures and options are traded on an exchange where participants ... the link between competition and price volatility, and explain why price volatility will result in new risks for generators, marketers, and end users Futures and other derivatives can help manage ... determined, cost-based rates and encourages market-driven prices Price volatility introduces new risks for generators, consumers, and marketers Electricity futures and other derivatives can help each...

Ngày tải lên: 30/10/2014, 22:31

... either of the two contracts Benefits The CME Milk futures and options contracts offer easy entry into futures and options markets The Milk futures and options contracts trade each month, can be offset ... with CME Milk Class III or Class IV Futures Hedging with Milk Futures The CME Milk Futures contract offers easy entry into futures and option markets Futures and option contract months will be ... sell milk futures Example: Sell July Futures Contract at $13 If both futures and cash prices decline If prices increase July Cash Futures Price + Futures Gain = Selling* Price July Cash Futures...

Ngày tải lên: 21/12/2013, 01:20

... 10 10 Foreign Ex Derivatives Forward contracts Ex-traded futures /options Currency swaps OTC options - Interest Rate Derivatives Forward rate agreements (FRAs) Ex-traded futures /options Interest ... rate swaps OTC Options (caps, etc.) Commodity Price Deriv Ex-traded futures /options Commodity swaps Equity Derivatives Ex-traded futures /options Equity swaps Bae Hedging w/ Currency Futures Now ... eliminate currency risk for the Germany supplier Bae Currency Futures versus Currency Options Currency Futures Obligation to buy/sell FC Currency Options Right to buy/sell FC No premium payable Premium...

Ngày tải lên: 24/01/2014, 06:20

... MON and G401, but slightly increased the sub-G1 cells in A204 cells (P =0.0076 at µM and P =0.0079 at 10 µM) (Figure 4A-C) On the other hand, 4-HPR and the iodo-conjugated derivatives (5j and ... ATRA, B 4-HPR, C and D 4-HPR derivatives, 5h (C) and 5j (D) E-G 4-HPR peptidomimetics, 11a (E), 11c (F), and 11d (G): Figure Inhibition of RT cell growth by 4-HPR and its derivatives and peptidomimetics: ... bioavailability, and/ or reduced toxicities compared to 4-HPR itself, we previously synthesized several novel 4-HPR derivatives which are conjugated to halogens and other moieties, and peptidomimetic derivatives...

Ngày tải lên: 13/08/2014, 18:21

... in SHR and WKY rats Ann Lab Clin Sci 1986;16:419-426 32 Grant KE, Chandler RM, Castle AL, Ivy JL: Chromium and exercise training: effect on obese women Medicine and Science in Sports and Exercise ... for the 20th Century: Chronic and Disabling Conditions 12:1.6, October 2000 Wotecki CE, Welsh SO, Raper N, Marston RW: Recent trends and levels of dietary sugar and other caloric sweeteners In: ... blood pressure and catecholamine excretion in SHR and WKY Am J Physiol 1986;250:E381-385 Kopilas MA, Dang LNT, Anderson HDI: Effect of dietary chromium on resistance artery function and nitric oxide...

Ngày tải lên: 26/10/2012, 08:57