Optimal Hedging when the Underlying Asset Follows a
... 1997). It identi es the cheapest trading strategy whose terminal wealth is at least equal to the derivative's payo. Since the option buyer alone carries the price of the hedging risk, the initial capital required is often unacceptably large. Eberlein & Jacod (1997) show that, under many models, the ...
... 1997). It identi es the cheapest trading strategy whose terminal wealth is at least equal to the derivative's payo. Since the option buyer alone carries the price of the hedging risk, the initial capital required is often unacceptably large. Eberlein & Jacod (1997) show that, under many models, the ...
contract design, arbitrage, and hedging in the eurodollar futures
... to use the discount or add-on pricing function. Physical delivery of a Eurodollar time deposit is impractical. These instruments do not trade in a secondary market. Hence, the only parties who could hold short positions, and therefore deliver the underlying would be London banks. This feature, if ad ...
... to use the discount or add-on pricing function. Physical delivery of a Eurodollar time deposit is impractical. These instruments do not trade in a secondary market. Hence, the only parties who could hold short positions, and therefore deliver the underlying would be London banks. This feature, if ad ...
chapter 16
... Amortization of bond discount. Unamortized bond discount related to converted bonds. Conversion of convertible bonds. Conversion of convertible preferred stock. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bond ...
... Amortization of bond discount. Unamortized bond discount related to converted bonds. Conversion of convertible bonds. Conversion of convertible preferred stock. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bonds issued with detachable stock warrants. Bond ...
File
... When stock dividends or stock splits occur, companies must restate the shares outstanding after the stock dividend or split, in order to compute the weighted-average number of shares. ...
... When stock dividends or stock splits occur, companies must restate the shares outstanding after the stock dividend or split, in order to compute the weighted-average number of shares. ...
Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
... a stock price model. He justified this approach by a psychological argument based on the Weber-Fechner law, which states that humans perceive the intensity of stimuli on a log scale rather than a linear scale. In a more systematic manner, the same process exp(Bt ), which is called exponential—or geo ...
... a stock price model. He justified this approach by a psychological argument based on the Weber-Fechner law, which states that humans perceive the intensity of stimuli on a log scale rather than a linear scale. In a more systematic manner, the same process exp(Bt ), which is called exponential—or geo ...
exam133
... [XXXXX Footnote 22 in the Appendix B Example 3 Paragraph 123 of FAS 133. If the hedged item were a foreign-currency-denominated available-for-sale security instead of a firm commitment, Statement 52 would have required its carrying value to be measured using the spot exchange rate. Therefore, the sp ...
... [XXXXX Footnote 22 in the Appendix B Example 3 Paragraph 123 of FAS 133. If the hedged item were a foreign-currency-denominated available-for-sale security instead of a firm commitment, Statement 52 would have required its carrying value to be measured using the spot exchange rate. Therefore, the sp ...
Forward and Futures Contracts
... past, the firm has issued straight debt with a yield-to-maturity of 8.2%. If the new bonds are convertible into 20 shares of stocks, per $1,000 face value, what interest rate will the firm have to pay on the bonds? You have the opportunity to buy a mine with 1 million kgs of copper for $400,000. C ...
... past, the firm has issued straight debt with a yield-to-maturity of 8.2%. If the new bonds are convertible into 20 shares of stocks, per $1,000 face value, what interest rate will the firm have to pay on the bonds? You have the opportunity to buy a mine with 1 million kgs of copper for $400,000. C ...
Download Dissertation
... (1997). These two papers show how security market data restrict the admissible region for means and standard deviations of intertemporal marginal rates of substitution (IMRS) which can be used to assess model specification. Specifically, Hansen and Jagannathan (1991) calculate the lower bound on the ...
... (1997). These two papers show how security market data restrict the admissible region for means and standard deviations of intertemporal marginal rates of substitution (IMRS) which can be used to assess model specification. Specifically, Hansen and Jagannathan (1991) calculate the lower bound on the ...
What is Arbitrage? - Palladium Capital Advisors
... Option Arbitrage commonly refers to an equity trading strategy utilizing options, such as calls, puts, and warrants. The value of an option and the way it is priced in the market is based on sophisticated pricing models involving a number of variables including volatility, share price, exercise pric ...
... Option Arbitrage commonly refers to an equity trading strategy utilizing options, such as calls, puts, and warrants. The value of an option and the way it is priced in the market is based on sophisticated pricing models involving a number of variables including volatility, share price, exercise pric ...
