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... the option and the underlying security. Delta changes as the value of the underlying security changes. This change is measure by the gamma of the option. Gamma can be used to adjust the delta to better approximate the change in the option price. ...
... the option and the underlying security. Delta changes as the value of the underlying security changes. This change is measure by the gamma of the option. Gamma can be used to adjust the delta to better approximate the change in the option price. ...
Return On A Portfolio
... of securities • Thus, the theory cannot explain differential returns between securities because it cannot identify the relevant factor structure that explains the differential returns ®1999 South-Western College Publishing ...
... of securities • Thus, the theory cannot explain differential returns between securities because it cannot identify the relevant factor structure that explains the differential returns ®1999 South-Western College Publishing ...
The amortized cost of finding the minimum
... is an extension of the adversary of [5], which in turn is an extension of an adversary devised by Borodin et al. [4]. The lower bound obtained using the explicit adversary is weaker than the lower bound obtained using the comparison tree approach, and it can only be used to obtain a lower bound for ...
... is an extension of the adversary of [5], which in turn is an extension of an adversary devised by Borodin et al. [4]. The lower bound obtained using the explicit adversary is weaker than the lower bound obtained using the comparison tree approach, and it can only be used to obtain a lower bound for ...
16. Investing in Bonds
... gains or losses if the bond were held until it matured. Answer: TRUE Diff: 1 Question Status: Previous edition 10) Because convertibility is a desirable feature for investors, convertible bonds tend to offer a higher return than nonconvertible bonds. Answer: FALSE Diff: 1 Question Status: Revised 11 ...
... gains or losses if the bond were held until it matured. Answer: TRUE Diff: 1 Question Status: Previous edition 10) Because convertibility is a desirable feature for investors, convertible bonds tend to offer a higher return than nonconvertible bonds. Answer: FALSE Diff: 1 Question Status: Revised 11 ...
Cache-Oblivious B-Trees
... the RAM model) is to count the number of machine instructions. In a machine with a memory hierarchy, an important additional factor to measure is the number of memory block transfers at each level, scaled according to the relative speed of accesses. The idea of counting memory transfers was introduc ...
... the RAM model) is to count the number of machine instructions. In a machine with a memory hierarchy, an important additional factor to measure is the number of memory block transfers at each level, scaled according to the relative speed of accesses. The idea of counting memory transfers was introduc ...
The Risk-free Rate and the Market Risk Premium
... conditions in some financial markets. One such development from these events has been historically low yields on Commonwealth Government bonds due to investors’ ‘flight to quality’. These market conditions have led some regulated firms and commentators to call for either an uplift factor to adjust t ...
... conditions in some financial markets. One such development from these events has been historically low yields on Commonwealth Government bonds due to investors’ ‘flight to quality’. These market conditions have led some regulated firms and commentators to call for either an uplift factor to adjust t ...
The impact of market liquidity in times of stress on corporate bond
... If large bonds are indeed more liquid then this liquidity should be priced by the market. One standard, and relatively clean, way to test this is to put bond spreads at issuance as the dependent variable of a regression and determine if the liquidity factor affects bond spreads in the predicted dire ...
... If large bonds are indeed more liquid then this liquidity should be priced by the market. One standard, and relatively clean, way to test this is to put bond spreads at issuance as the dependent variable of a regression and determine if the liquidity factor affects bond spreads in the predicted dire ...
Linked Lists, Stacks, Queues
... __iter__ Method Can you use a for loop to traverse the elements in a linked list? To enable the traversal using a for loop in a container object, the container class must implement the __iter__() method that returns an iterator as shown in lines 112-114 in Listing 18.2, LinkedList.py. ...
... __iter__ Method Can you use a for loop to traverse the elements in a linked list? To enable the traversal using a for loop in a container object, the container class must implement the __iter__() method that returns an iterator as shown in lines 112-114 in Listing 18.2, LinkedList.py. ...
Stock Prices in the Presence of Liquidity Crises
... evidence with stock market volatility measure based on annual observations over the sample period between 1980 and 2007, or as long as the data are available. Here we define an indicator of high level of creditor protection as average CRI for a given country being higher than 2.5. We classify countri ...
... evidence with stock market volatility measure based on annual observations over the sample period between 1980 and 2007, or as long as the data are available. Here we define an indicator of high level of creditor protection as average CRI for a given country being higher than 2.5. We classify countri ...
Chapter 22: Credit Risk Modeling
... In portfolio strategies that seek to capitalize on expectations based on short-term movements in yields, the dominant source of return is the impact on the price of the securities in the portfolio. • This means that the maturity of the securities in the portfolio will have an important impact on the ...
... In portfolio strategies that seek to capitalize on expectations based on short-term movements in yields, the dominant source of return is the impact on the price of the securities in the portfolio. • This means that the maturity of the securities in the portfolio will have an important impact on the ...
What is Arbitrage? - Palladium Capital Advisors
... convertible and sell the underlying stock short in anticipation of either the stock moving down in value to match the convertible, or the convertible moving up in value to match the price of the stock. The movement of either the convertible security or the underlying stock generates profit for the h ...
... convertible and sell the underlying stock short in anticipation of either the stock moving down in value to match the convertible, or the convertible moving up in value to match the price of the stock. The movement of either the convertible security or the underlying stock generates profit for the h ...
Suffix Trees and their Applications in String Algorithms
... represented by the leaves numbered 2 and 4. Otherwise, if the pattern y does not occur in the text x there is no pathstring spelled by y in T : in Fig. 1, the pattern y = abaa does not occur in the text x, since the last a does not match the pathstring spelled by aba. Therefore, in both cases, compu ...
... represented by the leaves numbered 2 and 4. Otherwise, if the pattern y does not occur in the text x there is no pathstring spelled by y in T : in Fig. 1, the pattern y = abaa does not occur in the text x, since the last a does not match the pathstring spelled by aba. Therefore, in both cases, compu ...
Balanced BSTs
... of O(lg n) is guaranteed when implementing a dynamic set of n items. • Examples: ...
... of O(lg n) is guaranteed when implementing a dynamic set of n items. • Examples: ...
Tilburg University Model uncertainty and
... these portfolios are mentioned in Section 1.1. The general conclusion from this analysis is that while the relevant set of exposures does vary substantially over time, it is relatively stable across bank types. Finally, we discuss some implications of our ndings for empirical banking research based ...
... these portfolios are mentioned in Section 1.1. The general conclusion from this analysis is that while the relevant set of exposures does vary substantially over time, it is relatively stable across bank types. Finally, we discuss some implications of our ndings for empirical banking research based ...
Fama EF and French KR (1996) Multifactor explanations of asset
... to be, in essence, robust to the consideration of very general constraints on investment and the inclusion of taxes. Fama and French (1996) concluded that average returns on common stocks were related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sal ...
... to be, in essence, robust to the consideration of very general constraints on investment and the inclusion of taxes. Fama and French (1996) concluded that average returns on common stocks were related to firm characteristics like size, earnings/price, cash flow/price, book-to-market equity, past sal ...
University of Groningen An algorithm for the asynchronous Write
... processes (P = 2), allows for a very intuitive and optimal solution. This algorithm solves the problem for any value of N in N +o(N ) steps. One process starts at the left of the array and walks to the right, in the meanwhile setting the values of the array elements encountered to 1. The other proce ...
... processes (P = 2), allows for a very intuitive and optimal solution. This algorithm solves the problem for any value of N in N +o(N ) steps. One process starts at the left of the array and walks to the right, in the meanwhile setting the values of the array elements encountered to 1. The other proce ...
Lattice model (finance)
For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.