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The One Sigma Method
The One Sigma Method

Storage costs in commodity option pricing
Storage costs in commodity option pricing

Optimal Option Portfolio Strategies: Deepening the Puzzle of Index
Optimal Option Portfolio Strategies: Deepening the Puzzle of Index

... into account is thus critical but unfortunately hard to do within the traditional optimization approach. We offer a simple portfolio optimization method – optimal option portfolio strategies (OOPS) – that solves these problems. Instead of a mean-variance objective, we maximize ...
Foreign Currency Transactions and Hedging
Foreign Currency Transactions and Hedging

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A Two-Asset Jump Diffusion Model with Correlation

monte carlo simulation in financial engineering
monte carlo simulation in financial engineering

... introduced, whose dynamic is given by dSt0 /St0 = rt dt, where rt is the instantaneous risk free interest rate at time t. Based on such models, starting from Black and Scholes (1973) and Merton (1973), an elegant and remarkably practical mathematical theory of derivative pricing has been developed. ...
Pricing and Hedging of swing options in the European electricity and
Pricing and Hedging of swing options in the European electricity and

Chapter 15
Chapter 15

a diversified portfolio of alternative strategies
a diversified portfolio of alternative strategies

... An investor should consider the Fund’s investment objectives, risks and fees and expenses carefully before investing. This and other important information can be found in the Fund’s prospectus, and if available summary prospectus, which you can obtain by calling 877.628.2583. Please read the prospec ...
Having Your Options and Eating Them Too
Having Your Options and Eating Them Too

A General Equilibrium Analysis of Option and Stock Market
A General Equilibrium Analysis of Option and Stock Market

Pricing Swing Options and other Electricity Derivatives
Pricing Swing Options and other Electricity Derivatives

The Option Greeks and Market Making
The Option Greeks and Market Making

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Structural Models I

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Valuation of Asian Options

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Volatility trading in options market: How does it a ect where

Financial Accounting and Accounting Standards
Financial Accounting and Accounting Standards

... O 4 Explain how to account for a fair value hedge. ...
U.S. EQUITY HIGH VOLATILITY PUT WRITE INDEX FUND (NYSE
U.S. EQUITY HIGH VOLATILITY PUT WRITE INDEX FUND (NYSE

... Non-Correlation Risk. The Fund’s return may not match the return of the Index for a number of reasons. For example, an option sold by the Fund may be exercised prior to its expiration, which will result in the Fund buying the underlying stock at that time and holding the stock until the end of the ...
Optimal Delta Hedging for Options
Optimal Delta Hedging for Options

... A number of researchers have implemented stochastic volatility models and used the models’ assumptions to convert the usual delta to an MV delta. They have found that this produces an improvement in delta hedging performance, particularly for out-of-the-money options. The researchers include Bakshi ...
NaikLee RFS 90 - NYU Stern School of Business
NaikLee RFS 90 - NYU Stern School of Business

Perspective article: “Why the use of options as hedging instruments
Perspective article: “Why the use of options as hedging instruments

advanced cotton futures and options strategies
advanced cotton futures and options strategies

... options expire, both put options will expire worthless. Taking into consideration the producer paid 1.25 cents per pound for the strategy, the loss would equal the initial cost. If the futures price equals 74 cents per pound when the put options expire, the purchased put option would have a positive ...
Derivatives - Escuela FEF
Derivatives - Escuela FEF

An Introduction to Value At Risk
An Introduction to Value At Risk

... • FX – spot, ATM volatility, foreign and domestic rates, risk-reversals and butterflies • Commodities – spot, ATM volatility, various measures of skew • Interest Rates – forward swap rates, ATM volatilities, volatility skew for each expiry and tenor. ...
______ is NOT a commonly used contractual hedge against foreign
______ is NOT a commonly used contractual hedge against foreign

... 7) A US exporter is concerned about the depreciation of JPY against USD due to JPY receivables of JPY400,000,000 on February 1st ( in 167 days). To hedge (protect himself/herself) the position, exporter decides to use futures markets. Currently CME (Chicago Mercantile Exchange) JPY contracts (12,500 ...
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Moneyness

In finance, moneyness is the relative position of the current price (or future price) of an underlying asset (e.g., a stock) with respect to the strike price of a derivative, most commonly a call option or a put option. Moneyness is firstly a three-fold classification: if the derivative would make money if it were to expire today, it is said to be in the money, while if it would not make money it is said to be out of the money, and if the current price and strike price are equal, it is said to be at the money. There are two slightly different definitions, according to whether one uses the current price (spot) or future price (forward), specified as ""at the money spot"" or ""at the money forward"", etc.This rough classification can be quantified by various definitions to express the moneyness as a number, measuring how far the asset is in the money or out of the money with respect to the strike – or conversely how far a strike is in or out of the money with respect to the spot (or forward) price of the asset. This quantified notion of moneyness is most importantly used in defining the relative volatility surface: the implied volatility in terms of moneyness, rather than absolute price. The most basic of these measures is simple moneyness, which is the ratio of spot (or forward) to strike, or the reciprocal, depending on convention. A particularly important measure of moneyness is the likelihood that the derivative will expire in the money, in the risk-neutral measure. It can be measured in percentage probability of expiring in the money, which is the forward value of a binary call option with the given strike,and is equal to the auxiliary N(d2) term in the Black–Scholes formula. This can also be measured in standard deviations, measuring how far above or below the strike price the current price is, in terms of volatility; this quantity is given by d2. Another closely related measure of moneyness is the Delta of a call or put option, which is often used by traders but actually equals N(d1), not N(d2), and there are others, with convention depending on market.
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