'Spot price' diaporamas de présentation

Hedging Strategies Using Futures

Hedging Strategies Using Futures. Chapter 4. Chapter Outline. 4.1 Basic principles 4.2 Arguments for and against hedging 4.3 Basis risk 4.4 Minimum variance hedge ratio 4.5 Stock index futures 4.6 Rolling the hedge forward 4.7 Summary. 4.1 Basic principles.

1.7k views • 72 slides

Too good to be true? The Dream of Arbitrage

Too good to be true? The Dream of Arbitrage. Aswath Damodaran. The Essence of Arbitrage. In pure arbitrage, you invest no money, take no risk and walk away with sure profits. You can categorize arbitrage in the real world into three groups:

880 views • 60 slides

Too good to be true? The Dream of Arbitrage

Too good to be true? The Dream of Arbitrage. Aswath Damodaran. The Essence of Arbitrage. In pure arbitrage, you invest no money, take no risk and walk away with sure profits. You can categorize arbitrage in the real world into three groups:

614 views • 60 slides

Foundations of Multinational Financial Management Alan Shapiro John Wiley & Sons

Foundations of Multinational Financial Management Alan Shapiro John Wiley & Sons. Power Points by Joseph F. Greco, Ph.D. California State University, Fullerton. The Foreign Exchange Markets. Chapter 6. CHAPTER OVERVIEW. 6.1 ORGANIZATION OF THE FOREIGN EXCHANGE MARKET 6.2 THE SPOT MARKET

515 views • 36 slides

The Foreign Exchange Market

The Foreign Exchange Market. Chapter 7. The Foreign Exchange Markets. I. INTRODUCTION A. The Market: the place where money denominated in one currency is bought and sold with money denominated in another currency. INTRODUCTION.

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Derivatives Interest Rate Derivatives

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The Foreign Exchange Market

The Foreign Exchange Market. Chapter 6. The Foreign Exchange Markets. I. INTRODUCTION A. The Market: the anyplace where money denominated in one currency is bought and sold with money denominated in another currency. INTRODUCTION.

438 views • 28 slides

Derivatives Workshop

Derivatives Workshop. Actuarial Society October 30, 2007. Agenda. Intro to Derivatives Buying/Short-selling Forwards Options Swaps. What are Derivatives?. A financial instrument that has a value determined by price of something else

475 views • 28 slides

Mechanics of Futures Markets

Mechanics of Futures Markets. Chapter 2. Chapter Outline. 2.1 Trading Futures contracts 2.2 Specifications 2.3 Convergence of futures price to spot price 2.4 Operation of margins 2.5 Newspaper quotes 2.6 Keynes and Hicks 2.7 Delivery 2.8 Types of traders 2.9 Regulation

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A Survey of Parallel T ree-based Methods on Option Pricing

A Survey of Parallel T ree-based Methods on Option Pricing. Presenter: LI,Xinying. Outline. Introduction Black-Scholes Model Binomial Options Pricing Model Trinomial Options Pricing Model Improved Binomial Option Pricing CPU-GPU Hybrid Parallel Binomial Summary. Introduction. Stock.

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MPR Price Risk Presentation

MPR Price Risk Presentation. March 27, 2008 2008 MPR Workshop. Agenda. Frame the questions Fuel Price Risk Forecasting Fixed Forward Fuel Price Portfolio Analysis (CAPM). The MPR Proxy Plant. Best estimate of market price for long-term fixed price electricity

453 views • 27 slides

University of Minnesota, Jan. 21, 2011

Equity Derivatives. Dave Engebretson Quantitative Analyst Citigroup Derivative Markets, Inc. January 21, 2011. University of Minnesota, Jan. 21, 2011. Contents. Vanilla Options Terminology Pricing Methods Risk and Hedging Spreads Exotic Options Questions/Discussion.

382 views • 27 slides

Currency Futures and Options (chapter 7)

Currency Futures and Options (chapter 7). The following sections in chapter 7 are not required for the exam: - American option-pricing relationships European option-pricing relationships Binomial option-pricing model European option-pricing formula

441 views • 27 slides

Foreign Exchange Options

Foreign Exchange Options. Prof. Ian Giddy New York University. Tools for Hedging. Petrobras has to pay for equipment from Japan, in Japanese yen, in 3 months Lock in a forward price Or use a call option on the Yen? How much will it cost?. Option Hedge. CALL OPTION ON YEN. FORWARD

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Derivatives Introduction

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Software, Hardware, and Database Structure Options for Research in Financial Economics SAS and Computing Speed

Software, Hardware, and Database Structure Options for Research in Financial Economics SAS and Computing Speed. Michael Boldin, WRDS, University of Pennsylvania boldinm@wharton.upenn.edu. Main Questions. How can researchers take advantage of modern computing technology ?

364 views • 20 slides

Introduction to Futures and Futures Market

Introduction to Futures and Futures Market. Yu Chen-Wen President of the Futures Club, National Taiwan University Department of International Business. All Rights Reserved by the author The Information on this file may not be reproduced, republished or mirrored without permissions.

586 views • 18 slides

Convenience Yields Modeling as Call Options : Indian wheat Market

National Workshop on Commodity Research Organized By NCDEX (NICR) 10 th October 2007, India International Centre. Convenience Yields Modeling as Call Options : Indian wheat Market. BY Ashutosh Roy IIM Ahmedabad. Convenience Yield (CY) defined .

424 views • 16 slides

When are Advance Purchase Discounts Profitable?

When are Advance Purchase Discounts Profitable?. James Dana Kellogg School of Management. Motives for Advance Purchase Discounts. Traditional Price Discrimination Courty and Li, 2000, Deneckere and McAfee,1996, Anderson and Dana, 2005 Reducing Monopoly Distortion - Homogeneization

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Options

Options.

284 views • 13 slides