Package `jrvFinance`
... bond.price computes the price given the yield to maturity bond.duration computes the duration given the yield to maturity bond.yield computes the yield to maturity given the price bond.prices, bond.durations and bond.yields are wrapper functions that use mapply to vectorize bond.price, bond.duration ...
... bond.price computes the price given the yield to maturity bond.duration computes the duration given the yield to maturity bond.yield computes the yield to maturity given the price bond.prices, bond.durations and bond.yields are wrapper functions that use mapply to vectorize bond.price, bond.duration ...
Derivatives - Escuela FEF
... Summer School Reproduction prohibited without express authorisation ...
... Summer School Reproduction prohibited without express authorisation ...
Margin and capital requirements for options, futures contracts and
... a) Short call – long underlying (or convertible) combination Where, in the case of equity or equity participation unit options, a call option is carried short in an approved participant's account and the account is also long an equivalent position in the underlying interest or in the case of equity ...
... a) Short call – long underlying (or convertible) combination Where, in the case of equity or equity participation unit options, a call option is carried short in an approved participant's account and the account is also long an equivalent position in the underlying interest or in the case of equity ...
Ch. 17 - Role of Derivative Securities
... The first trade someone makes in a particular option is called an opening transaction. If an investor sells an option as an opening transaction, it is called writing the option. Options are fungible, meaning that, for a given company, all options of the same type with the same expiration and str ...
... The first trade someone makes in a particular option is called an opening transaction. If an investor sells an option as an opening transaction, it is called writing the option. Options are fungible, meaning that, for a given company, all options of the same type with the same expiration and str ...
What is Implied by Implied Volatility?
... number may be different from actual volatility because the market may not have perfect knowledge about the future.” As if the market could know anything! As if there were a relation between the derivatives market and that number at the beginning of the paper, which is called the volatility of the un ...
... number may be different from actual volatility because the market may not have perfect knowledge about the future.” As if the market could know anything! As if there were a relation between the derivatives market and that number at the beginning of the paper, which is called the volatility of the un ...
Common Option Strategies - NYU Stern School of Business
... well as the middle office that current implied vol is historically high and that implied vol is mean reverting (see J. Stein, J. of Finance, 1989). This dealer would want to write options at prices reflecting the current and high implied vol, but base his hedging strategies on the lower, long-run vo ...
... well as the middle office that current implied vol is historically high and that implied vol is mean reverting (see J. Stein, J. of Finance, 1989). This dealer would want to write options at prices reflecting the current and high implied vol, but base his hedging strategies on the lower, long-run vo ...
week 5
... The payoffs for both the S2 and 1/S securities are convex. Therefore, according to Jensen’s inequality, the price is higher when the asset price is risky than when it is certain. ...
... The payoffs for both the S2 and 1/S securities are convex. Therefore, according to Jensen’s inequality, the price is higher when the asset price is risky than when it is certain. ...
Having Your Options and Eating Them Too
... If, at the end of the two-year period, the market price of the company’s shares is below $10.00, both the ESOP and the covered call options will expire worthless, but the executive will retain the premium paid by the holder of the covered call options. If, however, the market price is $20.00, both s ...
... If, at the end of the two-year period, the market price of the company’s shares is below $10.00, both the ESOP and the covered call options will expire worthless, but the executive will retain the premium paid by the holder of the covered call options. If, however, the market price is $20.00, both s ...
Interest Rate Derivatives
... term in the drift t∗ m (s, t)dW is random, depending on the history of the stochastic increments dW. Therefore, for a general HJM model it makes the motion of the spot rate non-Markov. Having a non-Markov model may not matter to us if we can find a small number of extra state variables that contain a ...
... term in the drift t∗ m (s, t)dW is random, depending on the history of the stochastic increments dW. Therefore, for a general HJM model it makes the motion of the spot rate non-Markov. Having a non-Markov model may not matter to us if we can find a small number of extra state variables that contain a ...
Chap009
... What determines g and R in the DGM? Decompose a stock’s price into constant growth and NPVGO values. Discuss the importance of the PE ratio. What are some of the major characteristics of NYSE and Nasdaq? ...
... What determines g and R in the DGM? Decompose a stock’s price into constant growth and NPVGO values. Discuss the importance of the PE ratio. What are some of the major characteristics of NYSE and Nasdaq? ...
Why Has Swedish Stock Market Volatility Increased?
... following way; despite the relatively large nominal number of degrees of freedom, we have relatively little information about of what happens at state shifts since these events are rare. I will thus exclude the scores for theses parameters from the tests. I am in effect thus testing the model accord ...
... following way; despite the relatively large nominal number of degrees of freedom, we have relatively little information about of what happens at state shifts since these events are rare. I will thus exclude the scores for theses parameters from the tests. I am in effect thus testing the model accord ...
5. Linear pricing and risk neutral pricing
... Suppose there are positive state prices ψs, s = 1, 2, · · · , S. Then the price of any security d = hd1, d2, · · · , dS i can be found from P = ...
... Suppose there are positive state prices ψs, s = 1, 2, · · · , S. Then the price of any security d = hd1, d2, · · · , dS i can be found from P = ...