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Corporate Actions_doc swift coordination_2015_Online
Corporate Actions_doc swift coordination_2015_Online

CHAPTER 16 Futures Contracts
CHAPTER 16 Futures Contracts

The Impact of Short-Selling in Financial Markets
The Impact of Short-Selling in Financial Markets

Optimal Hedging when the Underlying Asset Follows a
Optimal Hedging when the Underlying Asset Follows a

... 1997). It identies 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
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 ...
File
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. ...
chapter 16
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 ...
Aggregate Jump and Volatility Risk in the Cross
Aggregate Jump and Volatility Risk in the Cross

Essays on Volatility Derivatives and Portfolio Optimization
Essays on Volatility Derivatives and Portfolio Optimization

The Effect of Interest Rate Options Hedging on Term
The Effect of Interest Rate Options Hedging on Term

JOHN C.HULL
JOHN C.HULL

Does Global Fear Predict Fear in BRICS Stock Markets?
Does Global Fear Predict Fear in BRICS Stock Markets?

Lévy Processes in Finance: Theory, Numerics, and Empirical Facts
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 ...
Tax Treatment of Derivatives
Tax Treatment of Derivatives

forward contract
forward contract

exam133
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 ...
Forward and Futures Contracts
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? ƒ You have the opportunity to buy a mine with 1 million kgs of copper for $400,000. C ...
handbook(2014.10)
handbook(2014.10)

Futures Contracts
Futures Contracts

... Margin is required - initial margin as well as maintenance margin. ...
Download Dissertation
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 ...
What is Arbitrage? - Palladium Capital Advisors
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 ...
Interest Rate Derivatives – Fixed Income Trading Strategies
Interest Rate Derivatives – Fixed Income Trading Strategies

The 2008 Short Sale Ban`s Impact on Equity Option Markets
The 2008 Short Sale Ban`s Impact on Equity Option Markets

Index Derivatives Reference Manual
Index Derivatives Reference Manual

The pricing of volatility risk across asset classes
The pricing of volatility risk across asset classes

1 2 3 4 5 ... 18 >

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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