FX Derivatives Terminology Education Module: 5
... The expiry date is then calculated from the delivery date by moving back two business days. Note: CAD options, like CAD spot, only have a one-day difference between the delivery and expiry dates (i.e. the expiry date is only one day back from the delivery date). Calculating Straight-Month Delivery a ...
... The expiry date is then calculated from the delivery date by moving back two business days. Note: CAD options, like CAD spot, only have a one-day difference between the delivery and expiry dates (i.e. the expiry date is only one day back from the delivery date). Calculating Straight-Month Delivery a ...
Arbitrage Opportunities in Misspecified Stochastic volatility Models
... a dynamic self-financing delta and vega-neutral portfolio Xt with zero initial value, containing, at each date t, a stripe of European call or put options with a common expiry date T . In addition, the portfolio contains a quantity −δt of stock and some amount Bt of cash. To denote the quantity of o ...
... a dynamic self-financing delta and vega-neutral portfolio Xt with zero initial value, containing, at each date t, a stripe of European call or put options with a common expiry date T . In addition, the portfolio contains a quantity −δt of stock and some amount Bt of cash. To denote the quantity of o ...
Having Your Options and Eating Them Too
... executive to crystallise the time value of the ESOP options.9 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 ...
... executive to crystallise the time value of the ESOP options.9 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 ...
Asian basket options and implied correlations in energy
... assets comprising the basket, as they are the so-called correlation, or cross-commodity derivatives that allow to manage the correlation risk. Spread options are very common in energy markets, they are traded both over-the-counter and on commodity exchanges such as ICE4 and NYMEX. However, most trad ...
... assets comprising the basket, as they are the so-called correlation, or cross-commodity derivatives that allow to manage the correlation risk. Spread options are very common in energy markets, they are traded both over-the-counter and on commodity exchanges such as ICE4 and NYMEX. However, most trad ...
Interest Rate Derivatives – Fixed Income Trading Strategies
... Futures Spread Margin and Additional Margin Question 44 Describe the concept of time spread positions with futures. Question 45 Which open futures positions are subject to margin requirements? Question 46 Which is usually the higher margin rate for instruments within the same margin class, the Futur ...
... Futures Spread Margin and Additional Margin Question 44 Describe the concept of time spread positions with futures. Question 45 Which open futures positions are subject to margin requirements? Question 46 Which is usually the higher margin rate for instruments within the same margin class, the Futur ...
Options on Futures: The Exercise and Assignment
... Pin risk: Suppose the option series is about to expire out of the money, but that it looks likely that the daily settlement price of the underlying futures contract will be very close to the option strike price. In this circumstance some long position holders may elect to exercise, despite the optio ...
... Pin risk: Suppose the option series is about to expire out of the money, but that it looks likely that the daily settlement price of the underlying futures contract will be very close to the option strike price. In this circumstance some long position holders may elect to exercise, despite the optio ...
Catastrophe Insurance Products in Markov Jump Diffusion Model
... Markov modulated Poisson process. Markov modulated Poisson process stands for a doubly stochastic Poisson process where the underlying state is driven by a homogenous Markov chain (cf. Last and Brandt, 1995). More precisely, instead of constant average jump rate in the years in the jump diffusion mo ...
... Markov modulated Poisson process. Markov modulated Poisson process stands for a doubly stochastic Poisson process where the underlying state is driven by a homogenous Markov chain (cf. Last and Brandt, 1995). More precisely, instead of constant average jump rate in the years in the jump diffusion mo ...
Greeks
... Delta-neutral straddle implied volatility (ATMV): A straddle is a portfolio of a call & a put at the same strike. The strike here is set to make the portfolio delta-neutral ⇒ d1 = 0. 25-delta risk reversal: RR25 = IV (∆c = 25) − IV (∆p = 25). 25-delta butterfly spreads: BF25 = (IV (∆c = 25) + IV (∆p ...
... Delta-neutral straddle implied volatility (ATMV): A straddle is a portfolio of a call & a put at the same strike. The strike here is set to make the portfolio delta-neutral ⇒ d1 = 0. 25-delta risk reversal: RR25 = IV (∆c = 25) − IV (∆p = 25). 25-delta butterfly spreads: BF25 = (IV (∆c = 25) + IV (∆p ...
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 ...
interest rate swaps - McGraw Hill Higher Education
... specified time in the future at prices specified today. – It’s not an option: both parties are expected to hold up their end of the deal. – If you have ever ordered a textbook that was not in stock, you have entered into a forward contract. ...
... specified time in the future at prices specified today. – It’s not an option: both parties are expected to hold up their end of the deal. – If you have ever ordered a textbook that was not in stock, you have entered into a forward contract. ...
Lecture 7: Quadratic Variation
... r.h.s represents the payoff of a hedging strategy which involves maintaining a constant dollar amount in stock (if the stock price increases, sell stock; if the stock price decreases, buy stock so as to maintain a constant dollar value of stock). Since the log payoff on the l.h.s can be hedged using ...
... r.h.s represents the payoff of a hedging strategy which involves maintaining a constant dollar amount in stock (if the stock price increases, sell stock; if the stock price decreases, buy stock so as to maintain a constant dollar value of stock). Since the log payoff on the l.h.s can be hedged using ...
Derivatives on RDX USD Index
... SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trademarks of DBAG. Phelix Base® and Phelix Peak® are registered trademarks of European Energy Exchange AG (EEX). The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra. RDX® is a registered tr ...
... SDAX®, TecDAX®, USD GC Pooling®, VDAX®, VDAX-NEW® and Xetra® are registered trademarks of DBAG. Phelix Base® and Phelix Peak® are registered trademarks of European Energy Exchange AG (EEX). The service marks MSCI Russia and MSCI Japan are the exclusive property of MSCI Barra. RDX® is a registered tr ...
Liquidity and the Law of One Price: The Case of the Futures/Cash
... recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM d ...
... recorded before the open or after the closing time, and trades with special settlement conditions (because they might be subject to distinct liquidity considerations). A preliminary investigation reveals that auto-quotes (passive quotes by secondary market dealers) have been eliminated in the ISSM d ...
Speculation, Risk Aversion, and Risk Premiums in the Crude Oil
... My …ndings on risk premiums are similar to those of Hamilton and Wu (2011), who use a very di¤erent modeling approach. My results are consistent with their interpretation that index-fund buyers who demand commodity futures for portfolio diversi…cation are willing to accept much lower risk compensati ...
... My …ndings on risk premiums are similar to those of Hamilton and Wu (2011), who use a very di¤erent modeling approach. My results are consistent with their interpretation that index-fund buyers who demand commodity futures for portfolio diversi…cation are willing to accept much lower risk compensati ...
FASB Accounting Rules and Implications for Natural Gas Purchase
... Under current accounting guidance,7 a derivative instrument is a financial instrument or other contract with all of the following characteristics: a. There is an underlying asset and a notional payment provision. b. The investment to obtain the derivative is zero or smaller than the initial investme ...
... Under current accounting guidance,7 a derivative instrument is a financial instrument or other contract with all of the following characteristics: a. There is an underlying asset and a notional payment provision. b. The investment to obtain the derivative is zero or smaller than the initial investme ...
Hedging With Futures Contract
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
... been criticized for not taking into account the expected return which is inconsistent with the mean-variance framework. Since the selection of a hedge ratio is dependent on the hedgers’ objective in the hedging position, this will be different for various participants in the carbon market. For exam ...
What Does An Option Price Mean?
... seller, but this polarity switches sign upon each exercise by the buyer. Despite the fact that hyper options can be optimally exercised early an arbitrarily large number of times, the arbitrage-free value of a hyper option on the forward price is simply given by the price of the European option of t ...
... seller, but this polarity switches sign upon each exercise by the buyer. Despite the fact that hyper options can be optimally exercised early an arbitrarily large number of times, the arbitrage-free value of a hyper option on the forward price is simply given by the price of the European option of t ...
С П Е Ц И Ф И К А Ц И Я
... 13.5. The Option shall be exercised according to the procedure defined by the Clearing Rules. 13.6. The Option shall be exercised by concluding the Contract between the Option Holder and Option Writer at a price equal to the price of exercising the Option. 13.7. Exercised Option positions shall be c ...
... 13.5. The Option shall be exercised according to the procedure defined by the Clearing Rules. 13.6. The Option shall be exercised by concluding the Contract between the Option Holder and Option Writer at a price equal to the price of exercising the Option. 13.7. Exercised Option positions shall be c ...
Predatory or Sunshine Trading? Evidence from Crude Oil ETF Rolls
... Our analysis reveals that, when the market is reasonably resilient, the profit maximizing strategy for the predator is to sell before (and, for some parameters after) the period where the liquidator trades, while purchasing during the period that the liquidator trades. In other words, the predator ...
... Our analysis reveals that, when the market is reasonably resilient, the profit maximizing strategy for the predator is to sell before (and, for some parameters after) the period where the liquidator trades, while purchasing during the period that the liquidator trades. In other words, the predator ...
Digital Options
... the spot price reaching a certain level, or barrier over the life time of the option. A number of different types of barrier option regularly trade over the counter (OTC) market. They attractive to some market participants because they are less expensive than the corresponding regular vanilla option ...
... the spot price reaching a certain level, or barrier over the life time of the option. A number of different types of barrier option regularly trade over the counter (OTC) market. They attractive to some market participants because they are less expensive than the corresponding regular vanilla option ...
Using futures and options to manage price volatility in food imports: practice
... spectrum of derivatives, ranging from very simple "plain vanilla” products to the more exotic types. In commodity risk management, and particularly for government use, we discuss here the more standard and simple instruments that are widely available in the market. Exchange-listed commodities have a ...
... spectrum of derivatives, ranging from very simple "plain vanilla” products to the more exotic types. In commodity risk management, and particularly for government use, we discuss here the more standard and simple instruments that are widely available in the market. Exchange-listed commodities have a ...
full text
... as they are all up to the year of 1994 though the global financial markets and the nature of their microstructures have undergone significant changes during the past two decades. Therefore, a martingale restriction test using more recent data is then very necessary. Another motivation for this study ...
... as they are all up to the year of 1994 though the global financial markets and the nature of their microstructures have undergone significant changes during the past two decades. Therefore, a martingale restriction test using more recent data is then very necessary. Another motivation for this study ...