Beschreibung Trading Derivatives: The Theoretical Minimum: Trading Vanilla, Exotic and Corporate Derivatives. The purpose of this book is to provide the theoretical minimum for trading derivatives in various asset and product classes from the perspective of a trader or risk manager. While a trader does not require the same level of technical knowledge as a quant, it is essential to understand model risk and behavior when pricing and risk managing derivatives. The same is true when applying hedging techniques, which are often not perfect and may themselves introduce additional risk. Derivatives are often non-linear financial instruments, which makes diligent risk management and scenario analysis even more important. Finally, given the stringent monitoring of capital requirements, the understanding of valuation adjustments, and their impact on the pricing and the derivatives lifecycle is a topic that is impossible to ignore.
: Trading Derivatives: The Theoretical Minimum ~ The purpose of this book is to provide the theoretical minimum for trading derivatives in various asset and product classes from the perspective of a trader or risk manager. While a trader does not require the same level of technical knowledge as a quant, it is essential to understand model risk and behavior when pricing and risk managing derivatives. The same is true when applying hedging .
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Full version Trading Derivatives: The Theoretical Minimum ~ Derivatives are often non-linear financial instruments, which makes diligent risk management and scenario analysis even more important. Finally, given the stringent monitoring of capital requirements, the understanding of valuation adjustments, and their impact on the pricing and the derivatives lifecycle is a topic that is impossible to ignore.
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Exotic Option Definition ~ As-You-Like-It Option: A type of exotic option that allows the option holder to choose whether the option is a call or a put. As-you-like-it options, also known as call-or-put options or chooser .
Derivative Pricing - an overview / ScienceDirect Topics ~ Their framework assumes, among other things, that the underlying's price follows a geometric Brownian motion with constant volatility and drift, does not pay dividends, 1 that continuous and frictionless trading is possible, and that trading will not affect prices. Their main idea is that underlying and derivative can be combined so that the combination is risk free, hence a suitable portfolio .
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: Trading and Pricing Financial Derivatives: A ~ Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of .
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FOREIGN EXCHANGE TRAINING MANUAL ~ an introduction to foreign exchange derivatives ... 95 introduction ... 95 vanilla options ... 95 payoff of a long and short call option ... 96 payoff of a long and short put option ... 96 the greeks ... 97 delta ranges from 0% (deep otlvf) to 100% (deep itlvf) ... 99 trading gamma on a lehman call option ... 102 p&l on gamma hedging example ... 103 (rr) confidential .
Interest rate derivative - Wikipedia ~ Types. The most basic subclassification of interest rate derivatives (IRDs) is to define linear and non-linear.Further classification of the above is then made to define vanilla (or standard) IRDs and exotic IRDs; see exotic derivative.. Linear and non-linear. Linear IRDs are those whose net present values (PVs) are overwhelmingly (although not necessarily entirely) dictated by and undergo .
BASICS OF EQUITY DERIVATIVES ~ 1.1 DERIVATIVES DEFINED Derivative is a product whose value is derived from the value of one or more basic variables, called bases (underlying asset, index, or reference rate), in a contractual manner. The underlying asset can be equity, forex, commodity or any other asset. For example, wheat farmers may wish to sell their harvest at a future date to eliminate the risk of a change in prices by .
Equity Derivative Definition ~ Equity derivatives can act like an insurance policy. The investor receives a potential payout by paying the cost of the derivative contract, which is referred to as a premium in the options market.
Hedging rate exotics, Bergomi-style - Risk ~ Banks typically hedge their positions in exotic rate derivatives, such as Bermudan swaptions, using vanilla interest rate swaps. By doing so, they hedge their portfolio imperfectly. They can delta-hedge the first-order profit and loss risks, using swaps to mimic the exposure to movements in rates or volatility. But second-order P&L risks from gamma and theta – the exposure to the rate of .
(PDF) Structured Products: Performance, Costs and Investments ~ PDF / This paper analyzes structured products with a focus on the Swiss market. Empirical results for these products’ five major categories are. / Find, read and cite all the research you need .
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Volatility arbitrage - Wikipedia ~ In finance, volatility arbitrage (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlying.The objective is to take advantage of differences between the implied volatility of the option, and a forecast of future realized volatility of the option's underlying. In volatility arbitrage, volatility rather than price is .
Taleb on Risk: Dynamic Hedging: : Taleb ~ Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global .
Pricing Data / Bloomberg Professional Services ~ Vanilla OTC derivatives such as swaps, options and forwards Structured notes and exotic derivatives Bloomberg delivers derivatives valuations through the Terminal and the BVAL Derivatives single .
Derivatives and Risk Management Made Simple ~ showed that 57% of members’ schemes are using derivatives. As derivative strategies have become more commonplace, risk regulation has tightened. A number of EU and OECD . directives and guidelines have been issued requiring all counterparties with derivative contracts to report the details of them to a trade repository. The regulatory trend towards greater data transparency and governance is .