FRM1-金融市场与产品
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Financial Markets and Products
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3. Fomula-Financial Market and Product
1. 对冲比率1.1 The optimal hedge ratioHR=ρS,FσSσFHR=\rho_{S,F}\frac{\sigma_S}{\sigma_F}HR=ρS,FσFσSβ=Cov(S,F)σF2=ρσFσSσF2=ρσSσF=h∗\beta=\frac{Cov(S,F)}{\sigma^2_F}=\frac{\rho\sigma_F\sigma_S}{\sigma^2_F}=\frac{\rho\sigma_S}{\sigma_F}=h^*β=σF2Cov(S,F)=σ原创 2022-04-29 17:11:03 · 344 阅读 · 1 评论 -
3.1 Forwards and Futures
1. Futures of a Features ContractKey Features of a Futures ContractUnderlying asset: financial assets and commoditiesContract size: setting a suitable size to attract both retail investors and large corporations.Treasury bond futures has a face va原创 2022-03-01 22:24:38 · 1778 阅读 · 0 评论 -
3.1.1 Exchanges and OTC Markets
closed outTrades arebyoffsetvolatilitymillionmillion。原创 2023-04-03 10:58:47 · 491 阅读 · 0 评论 -
3.1.2 Introduction to Forward and Futures
ForwardFuturesandSwapOptionsareT0TT−F0T0TSTtTat time t.F0Tat time 0tTF0T0TFtT。原创 2023-04-03 11:16:29 · 273 阅读 · 0 评论 -
3.1.3 Futures Markets
converges(相交)原创 2023-04-03 11:06:41 · 285 阅读 · 0 评论 -
3.1.4 Using Futures for Hedging
1. Short and Long HedgingShort HedgeLong HedgeHedgers short a futures contractHedgers long a futures contractAgainst a price decrease in existing long positionAgainst a price increase in existing short positionRealizes a positive return原创 2021-09-17 22:01:04 · 680 阅读 · 0 评论 -
3.1.5 Pricing Financial Forwards and Futures
1. Pricing Financial Forwards Pricing and ValuationThe price is the predetermined price in the contract that the long should pay to the short to buy the underlying asset at the settlement date.The contract value is zero to both parties at initiation.Sh原创 2021-09-15 23:36:29 · 365 阅读 · 0 评论 -
3.1.6 Commodity Forwards and Futures
1. Types of Commodities(1) Agricultural Commodities(2) Metals(3) Energy(4) Weather2. Commodity Forwards Prices(1) Lease RateThe lease rate for an investment commodity is the interest rate charged to borrow the underlying asset.F=S(1+R1+l)TF=S(\f原创 2021-09-15 23:19:07 · 289 阅读 · 0 评论 -
3.2.1 Foreign Exchange Market
Value of receiver swap(支付浮动利率)Value of payer swap(支付固定利率)原创 2023-03-12 16:25:26 · 650 阅读 · 0 评论 -
3.2.2 Swaps
Value of receiver swap(支付浮动利率)Value of payer swap(支付固定利率)原创 2023-04-03 11:08:37 · 392 阅读 · 0 评论 -
3.3 Options
文章目录1. Introduction to Options1.1 Options Types 1.1.1 Terminology 1.1.2 Options Types1.2 Payoff and Profit of Option1.2.1 Intrinsic Value (Exercise Value)1.2.2 Time Value (Speculative Value)1.2.3 Payoff and Profit Option1.2.4 Call Option1.2.5 Put Option1.原创 2022-03-06 21:15:46 · 833 阅读 · 0 评论 -
3.3.1 Introduction to Options
is the date after which an option is void(无效).原创 2023-04-03 11:31:11 · 636 阅读 · 1 评论 -
3.3.2 Option Markets
1. Exchange-Traded Options on StocksBasics of Trading Rules on CBOE2. Trading&Margin RequirementsTrading MechanicsMargin RequirementsOption Clearing Corporation(OCC)3. Other Types of OptionsOver-the-Counter MarketWarrantsConvertible BondsEmpl原创 2022-03-06 21:24:21 · 176 阅读 · 0 评论 -
3.3.3 Properties of Options
1. Six FactorsSix Factors Affecting Option PricesS0S_0S0: current stock price.XXX: strike price of the option.TTT: time to expiration of the option.rrr: short-term risk-free interest rate over TTT.DDD: present value of the dividend of the underlyin原创 2022-03-06 21:35:44 · 467 阅读 · 0 评论 -
3.3.4 Trading Strategies
1. Single Option StrategiesCovered Call(Long Stock + Short Call)Protective Put(Long Stock + Long Put)Principal Protected Notes(PPNs)2. Spread Trading StrategiesBull Call SpreadBull Put SpreadBear Call SpreadBear Put SpreadBox SpreadButterfly Spre原创 2022-03-13 13:07:37 · 688 阅读 · 0 评论 -
3.3.5 Exotic Options
1. Single Asset ExoticsDefinition of Exotic OptionsTransformation of American OptionsPackagesZero-Cost ProductsForward Start OptionsGap OptionsCliquet OptionsChooser OptionsBinary OptionsAsian OptionsLookback OptionsCompound OptionsBarrier Opt原创 2022-03-13 13:16:20 · 261 阅读 · 0 评论 -
3.3.6 Binomial Trees
1. One-step Binomial TreesDefinition of Binomial ModelBinomial model: after one period, the value of the underlying asset will either go up to SuS_uSu or go down SdS_dSd.No-arbitrage ArgumentLaw of one price: Assets that produce identical(完全相同的) fu原创 2022-03-14 19:14:14 · 901 阅读 · 0 评论 -
3.3.7 The Black-Scholes-Merton Model
1. AssumptionStock Price MovementsThe stock prices are often modeled by geometric Brownian motion (GBM).The stock price STS_TST, is log-normally distributed. A variable that is log-normally distributed has a minimum of zero and conforms to prices bett原创 2022-03-14 20:47:05 · 668 阅读 · 0 评论 -
3.3.8 The Greek Letters
1. Five Greek LettersIntroduction to Five Greek Letters1.1 DeltaDeltaDelta of Financial InstrumentsDelta Hedging1.2 GammaGammaGamma Hedging1.3 VegaVegaCompare Vega with Gamma1.4 ThetaTheta(θ)Theta(\theta)Theta(θ): is the rate of change of the原创 2022-03-14 21:58:14 · 1062 阅读 · 0 评论