1 / 11

The Trading Pitt

The Trading Pitt. October 25 th , 2010. Types of Derivatives. Equity Debt Structured Products Securitization Currency and Commodity Swaps Over the Counter derivatives are often used by Hedge Funds and large institutions. Equity Derivatives. Preferred Stock Fixed Dividend

gram
Télécharger la présentation

The Trading Pitt

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. The Trading Pitt October 25th , 2010

  2. Types of Derivatives • Equity • Debt • Structured Products • Securitization • Currencyand Commodity • Swaps • Over the Counter derivatives are often used by Hedge Funds and large institutions

  3. Equity Derivatives • Preferred Stock • Fixed Dividend • Higher Place in Debt Structure • Less Share Price Movement • Less Volume • Specific Active Large Shareholder • Exotic Options • Knock Out/In • Barrier • Asian “Average Value” • Himalayan “Variable Payout”

  4. Equity Options • Exchange Traded • Long Calls • Gives you the right to buy a stock at a price “strike” at a set time in the future • Long Puts • Gives you the right to sell a stock at a price “strike” at a set time in the future • Time Premium in Options • Option value to • Short Options • Selling options is unlimited to

  5. Debt Derivatives • Interest Rates • Swaps • Fixed for Floating • Floating for Floating • Interest Rate Cap – Pay a maximum amount of interest for a set notional amount over life of product • Swaption – Option that is the exact same product just on swaps • Right to enter into but not the obligation • Also gets you out of a swap • Interest Rate Futures • Bond Futures, Eurodollars

  6. Securitization • Mortgage Backed Securities • Pools Home Loans together • Splits it into tranches that investors can purchase • Commercial, Residential, Student Loans, Automotive, etc.

  7. Structured products • Collateralized Debt Obligation • MBS of an MBS • CDO Squared • CDO of a CDO • Credit Linked Notes • CDS as a structured product with collateral • Synthetic Collateralized Debt Obligation • Bespoke Products • Difficult to price, maintain quotes

  8. swaps • Credit Default Swaps • Insurance Policy on a debt offering. • Buyer of protection pays a premium • Seller of protection receives premium. • Credit Event causes seller to pay par for reference entity • Variance • Basic Volatility Play, Implied Volatility is higher than realized • Correlation • Implied correlation is also higher than realized • Dividend • More common in Europe

  9. AbAcus Structured Product

  10. Links • www.markit.com • www.eurex.com • Check out Scribd.com • Financial Engineering • http://www.global-derivatives.com/index.php/pricing-models-topmenu-37

  11. Questions? • Send us an email at thetradinpitt@gmail.com or me at steve.mcmannis@gmail.com • Check out the website http://www.pitt.edu/~sorc/trade/ • Trading Pitt Logo? • Interested in Opportunities?

More Related