derivatives_general_paper
... wants to hedge against the risk of default of an issuer (or speculate on it) and the counterparty accepts to take over this risk against a premium; philosophically, CDS are very close to insurance contracts. ...
... wants to hedge against the risk of default of an issuer (or speculate on it) and the counterparty accepts to take over this risk against a premium; philosophically, CDS are very close to insurance contracts. ...
The Greek Letters Chapter 17 1
... As an example, assume your position is currently Delta neutral (D=0) but that G=-3,000. You however find a call option with DC=0.62 and GC=1.50 You need GP = (1)Gexisiting position + nCGC = 0 i.e. need -3,000 + nC (1.50) = 0. Buy nC = 3,000/1.5 = 2,000 Call options and now have a Gamma of zero. The ...
... As an example, assume your position is currently Delta neutral (D=0) but that G=-3,000. You however find a call option with DC=0.62 and GC=1.50 You need GP = (1)Gexisiting position + nCGC = 0 i.e. need -3,000 + nC (1.50) = 0. Buy nC = 3,000/1.5 = 2,000 Call options and now have a Gamma of zero. The ...
Answers to Concepts Review and Critical
... A company’s internally generated cash flow provides a source of equity financing. For a profitable company, outside equity may never be needed. Debt issues are larger because large companies have the greatest access to public debt markets (small companies tend to borrow more from private lenders). E ...
... A company’s internally generated cash flow provides a source of equity financing. For a profitable company, outside equity may never be needed. Debt issues are larger because large companies have the greatest access to public debt markets (small companies tend to borrow more from private lenders). E ...
What Price for a Dark Pool?
... the top five price levels for bids and offers. The best bid and offer are separated by around 10BPS (0.10%). Successive price levels up the book are separated by similar very small price increments. The evolution of the mid price tends to jump by just a small number of ‘ticks’ at a time as can be se ...
... the top five price levels for bids and offers. The best bid and offer are separated by around 10BPS (0.10%). Successive price levels up the book are separated by similar very small price increments. The evolution of the mid price tends to jump by just a small number of ‘ticks’ at a time as can be se ...
Chap012
... Risk, Return and Financial Markets • We can examine returns in the financial markets to help us determine the appropriate returns on non-financial assets • Lesson from capital market history – There is a reward for bearing risk – The greater the potential reward, the greater the risk – This is calle ...
... Risk, Return and Financial Markets • We can examine returns in the financial markets to help us determine the appropriate returns on non-financial assets • Lesson from capital market history – There is a reward for bearing risk – The greater the potential reward, the greater the risk – This is calle ...
OPTION VALUE CALCULATION AFFECTED COMPONENTS
... value calculations. Over the time, different models had been introduced. All of those models take into account factors affecting prices. Mostly, factors used in calculations on the same type of financial instruments are approximately the same. Therefore question arises, which factor affects price mo ...
... value calculations. Over the time, different models had been introduced. All of those models take into account factors affecting prices. Mostly, factors used in calculations on the same type of financial instruments are approximately the same. Therefore question arises, which factor affects price mo ...
Maker-Taker Pricing Effects on Market Quotations
... orders, displaying orders when permitted, and arranging trades when possible. This net difference is approximately the same amount that traditional fee exchanges would collect in total from buyers and/or sellers when arranging trades. Although maker-taker fees are a very small fraction of trade pric ...
... orders, displaying orders when permitted, and arranging trades when possible. This net difference is approximately the same amount that traditional fee exchanges would collect in total from buyers and/or sellers when arranging trades. Although maker-taker fees are a very small fraction of trade pric ...
New Issue of Securities (Chapter 6 of Listing Requirements): Fund
... Receipt of confirmation from Bursa Depository that the additional new shares are ready for crediting into the respective account holders; and (iii) An announcement in accordance to paragraph 12.2 of Guidance Note 17 is submitted via Bursa Link before 3.00 p.m. on the market day prior to the listing ...
... Receipt of confirmation from Bursa Depository that the additional new shares are ready for crediting into the respective account holders; and (iii) An announcement in accordance to paragraph 12.2 of Guidance Note 17 is submitted via Bursa Link before 3.00 p.m. on the market day prior to the listing ...
Determinants of stock-bond market comovement in the Eurozone
... two asset classes for the US or the major developed markets. In the European context, Kim et al (2006) find that real economic integration and the absence of currency risk induce increased stock-bond comovement. However, monetary policy convergence have created uncertainty about the economic prospec ...
... two asset classes for the US or the major developed markets. In the European context, Kim et al (2006) find that real economic integration and the absence of currency risk induce increased stock-bond comovement. However, monetary policy convergence have created uncertainty about the economic prospec ...
Estimating Security Returns Variance
... Price volatility of a security thirty years ago hardly seems relevant today). On the other hand, longer-term returns such as those computed on a monthly or annual basis will more closely follow a normal distribution than returns computed on a daily or shorter-term basis. This is a highly desirable q ...
... Price volatility of a security thirty years ago hardly seems relevant today). On the other hand, longer-term returns such as those computed on a monthly or annual basis will more closely follow a normal distribution than returns computed on a daily or shorter-term basis. This is a highly desirable q ...
Market Liquidity and Liquid Wealth Timothy C. Johnson March, 2007
... of aggregate savings as well, but need not be imposed here, because it will hold endogenously anyway in the cases considered below.5 Moreover it is worth pointing out that there are also no financial constraints in the model. Agents in this economy may write any contracts and trade any claims with o ...
... of aggregate savings as well, but need not be imposed here, because it will hold endogenously anyway in the cases considered below.5 Moreover it is worth pointing out that there are also no financial constraints in the model. Agents in this economy may write any contracts and trade any claims with o ...
1. Capital Market Theory: An overview
... diversi…cation bene…ts when adding more uncorrelated securities; the variance is reduced when securities are uncorrelated and have equal weight in portfolio. The e¤ect would be the same in this case, except that we are dealing with one component, diversi…able risk, rather than total risk. The market ...
... diversi…cation bene…ts when adding more uncorrelated securities; the variance is reduced when securities are uncorrelated and have equal weight in portfolio. The e¤ect would be the same in this case, except that we are dealing with one component, diversi…able risk, rather than total risk. The market ...
Intraday Periodicity Adjustments of Transaction Duration and Their
... large-cap stocks, they are less frequent for small-cap stocks. We would also mention that there is some regularity in the occurrence of multiple trades. For example, many multiple trades occur on the hour. In particular, there are many multiple trades at time stamps 10:00 and 15:45. An important fea ...
... large-cap stocks, they are less frequent for small-cap stocks. We would also mention that there is some regularity in the occurrence of multiple trades. For example, many multiple trades occur on the hour. In particular, there are many multiple trades at time stamps 10:00 and 15:45. An important fea ...
assumptions of gordon model
... the market price to be highest. As the payout ratio is increasing the market price is decreasing from Rs.400/- it has gone as low as Rs.106. It is because of the high payout ratio. In a growth firm, we can say that the retention ratio should be high in order to have the higher market price of the sh ...
... the market price to be highest. As the payout ratio is increasing the market price is decreasing from Rs.400/- it has gone as low as Rs.106. It is because of the high payout ratio. In a growth firm, we can say that the retention ratio should be high in order to have the higher market price of the sh ...
The Payments System and the Market for Interbank Funds
... frictions because trading is executed through bilateral negotiation. they can impact market efficiency. Existing theories of trading dynamics in over-the-counter markets have focused on “search” frictions, whereby traders locate each other with delays, to some extent by trial and error, and negotiat ...
... frictions because trading is executed through bilateral negotiation. they can impact market efficiency. Existing theories of trading dynamics in over-the-counter markets have focused on “search” frictions, whereby traders locate each other with delays, to some extent by trial and error, and negotiat ...
Financial Management: Principles and Applications
... fund that tracks an index such as the Dow Jones Industrial Average or the S & P 500. An index fund tracking the DJIA, for example, will automatically purchase stocks in the same percentage that they are used to determine the Dow Jones Industrial Average. Owning an index fund reduces costs, because t ...
... fund that tracks an index such as the Dow Jones Industrial Average or the S & P 500. An index fund tracking the DJIA, for example, will automatically purchase stocks in the same percentage that they are used to determine the Dow Jones Industrial Average. Owning an index fund reduces costs, because t ...
2010 Flash Crash
The May 6, 2010, Flash Crash also known as The Crash of 2:45, the 2010 Flash Crash or simply the Flash Crash, was a United States trillion-dollar stock market crash, which started at 2:32 and lasted for approximately 36 minutes. Stock indexes, such as the S&P 500, Dow Jones Industrial Average and Nasdaq 100, collapsed and rebounded very rapidly.The Dow Jones Industrial Average had its biggest intraday point drop (from the opening) up to that point, plunging 998.5 points (about 9%), most within minutes, only to recover a large part of the loss. It was also the second-largest intraday point swing (difference between intraday high and intraday low) up to that point, at 1,010.14 points. The prices of stocks, stock index futures, options and ETFs were volatile, thus trading volume spiked. A CFTC 2014 report described it as one of the most turbulent periods in the history of financial markets.On April 21, 2015, nearly five years after the incident, the U.S. Department of Justice laid ""22 criminal counts, including fraud and market manipulation"" against Navinder Singh Sarao, a trader. Among the charges included was the use of spoofing algorithms; just prior to the Flash Crash, he placed thousands of E-mini S&P 500 stock index futures contracts which he planned on canceling later. These orders amounting to about ""$200 million worth of bets that the market would fall"" were ""replaced or modified 19,000 times"" before they were canceled. Spoofing, layering and front-running are now banned.The Commodity Futures Trading Commission (CFTC) investigation concluded that Sarao ""was at least significantly responsible for the order imbalances"" in the derivatives market which affected stock markets and exacerbated the flash crash. Sarao began his alleged market manipulation in 2009 with commercially available trading software whose code he modified ""so he could rapidly place and cancel orders automatically."" Traders Magazine journalist, John Bates, argued that blaming a 36-year-old small-time trader who worked from his parents' modest stucco house in suburban west London for sparking a trillion-dollar stock market crash is a little bit like blaming lightning for starting a fire"" and that the investigation was lengthened because regulators used ""bicycles to try and catch Ferraris."" Furthermore, he concluded that by April 2015, traders can still manipulate and impact markets in spite of regulators and banks' new, improved monitoring of automated trade systems.As recently as May 2014, a CFTC report concluded that high-frequency traders ""did not cause the Flash Crash, but contributed to it by demanding immediacy ahead of other market participants.""Recent research shows that Flash Crashes are not isolated occurrences, but have occurred quite often over the past century. For instance, Irene Aldridge, the author of High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, 2nd ed., Wiley & Sons, shows that Flash Crashes have been frequent and their causes predictable in market microstructure analysis.