Xem 1-8 trên 8 kết quả Dynamic hedging
  • Dynamic Hedging is the definitive source on derivatives risk. It provides a real-world methodology for managing portfolios containing any nonlinear security. It presents risks from the vantage point of the option market maker and arbitrage operator. The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner's environment.

    pdf515p batrinh 16-07-2009 222 103   Download

  • CHAPTER 12 The Dynamic World of Asian Hedge Funds. Most investors in Asian hedge funds appear to be Americans and Europeans who seek to benefit from recent changes, such as a ruling that now allows hedge funds to be sold in Hong Kong and Singapore.

    pdf20p mama15 27-09-2010 120 28   Download

  • Designed for the widest audience, without sacrificing a high level of understanding, graduating from limited math to arithmetic and algebra and some calculus Covers forwards and futures, options, binomial trees, Black-Scholes, volatility and dynamic strategies with detailed definitions and examples

    pdf497p greengrass304 14-09-2012 27 10   Download

  • Under certain conditions, the Company may use options and futures on securities, indices and interest rates, as described in Section 3.2. "Sub-Fund Details" and Appendix 3 "Restrictions on the use of techniques and instruments" for the purpose of investment, hedging and efficient portfolio management. In addition, where appropriate, the Company may hedge market and currency risks using futures, options or forward foreign exchange contracts. Transactions in futures carry a high degree of risk.

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  • Options are financial instruments which are bought and sold in a market place. The people who do it well pocket large bonuses; companies that do it badly can suffer staggering losses. These are intensely practical activities and this is a technical book for practical people working in the industry.Options are financial instruments which are bought and sold in a market place. The people who do it well pocket large bonuses; companies that do it badly can suffer staggering losses.

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  • In this paper we propose a new, information-based approach for modelling the dynamic evolution of a portfolio of credit risky securities. In our setup market prices of traded credit derivatives are given by the solution of a nonlinear filtering problem. The innovations approach to nonlinear filtering is used to solve this problem and to derive the dynamics of market prices. Moreover, the practical application of the model is discussed: we analyse calibration, the pricing of exotic credit derivatives and the computation of risk-minimizing hedging strategies.

    pdf29p enter1cai 12-01-2013 19 3   Download

  • In this chapter, we study the mathematical structure of a simple one-period model of a financial market. We consider a finite number of assets. Their initial prices at time t = 0 are known, their future prices at time t = 1 are described as random variables on some probability space. Trading takes place at time t = 0. Already in this simple model, some basic principles of mathematical finance appear very clearly. In Section 1.2, we single out those models which satisfy a condition of market efficiency: There are no trading opportunities which yield a profit without any downside risk.

    pdf474p thuymonguyen88 07-05-2013 22 8   Download

  • This interest rate configuration also has implications for households deciding on the maturity of their mortgage financing. When short-term rates are low and deemed unlikely to rise, households shorten the maturity of their borrowing, often counting on being able to switch to long-term mortgages when they feel interest rates may rise. As households switch, banks dependent on short-term funding have to hedge their new interest rate exposures.

    pdf36p taisaovanchuavo 23-01-2013 22 4   Download

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