TAILIEUCHUNG - Lecture Financial markets - Lecture 22: Other derivative markets

Lecture Financial markets - Lecture 22: Other derivative markets include all of the following content: Swaps, Swaptions, macro securities and the American stock exchange. Inviting you refer. | Lecture 22: Other Derivatives Option Parameters Delta: Partial derivative of option price with respect to underlying price: ∂C/∂S Gamma: Second partial derivative of option price with respect to underlying: ∂2C/∂S2 Theta: Partial derivative of option price with respect to time ∂C/∂T. (Equals minus the partial derivative with respect to time remaining until exercise) Vega: Partial derivative of option price with respect to volatility ∂C/∂σ Option Delta Option delta is derivative of option price with respect to stock price For calls, if stock price is way below exercise price, delta is nearly zero For calls, if option is at the money, delta is roughly a half, but price of option may be way below half the price of the stock. For calls, if stock price is way above the exercise price, delta is nearly one and one pays approximately stock price minus pdv of exercise price, like buying stock with credit pdv(E) Call Delta ∂C/∂S ∂log(C)/∂log(S) Call Gamma ∂2C/∂S2 Call Theta ∂C/∂T Behavioral Aspects of Options Demand Thaler’s mental categories theory Writing an out-of-the-money call on a stock one holds, appears to be a win-win situation (Shefrin) Buying an option is a way of attaining a more leveraged, risky position Lottery principle in psychology, people inordinately attracted to small probabilities of winning big Margin requirements are circumvented by options Swaps and Risk Management Swaps are simple exchanges between parties of one risk for another Started in 1981, now in trillions of dollars worldwide Precursor to Swaps: Parallel Loan Agreements Breakdown of Bretton Woods fixed exchange rates in 1973 led to new ways to manage exchange rate risks US firm with UK subsidiary lends dollars to a UK firm with US subsidiary. They lend pounds to US firm. Hedges exchange rate risk Long-term, to terms of parties, hence better than futures market hedging Problems with Parallel Loan Agreements Default Risk: loans are independent instruments, so default by one party does not .

• Tài chính doanh nghiệp
• Financial markets
• Lecture Financial markets
• Economics 252
• Monetary policy
• Derivative markets
• Macro securities
• American stock
• Thị trường tài chính
• Financial futures markets
• Valuation of financial futures
• Interest rate futures
• Financial institutions
• Lecture Financial markets and institutions
• Financial institutions markets
• Capital markets
• Money markets
• Derivative securities markets
• Futures markets
• Option markets
• Swap markets
• Foreign exchange derivative markets
• Bank management
• Types of Financial Markets
• Securities traded
• Valuation of securities
• Money market yields
• Bond markets
• Municipal bonds
• Mortgage markets
• Primary mortgage market
• Stock markets
• Common stock
• Foreign exchange markets
• Foreign exchange
• Commercial banks
• Financial statements
• Risks at financial institutions
• Market risk
• Exchange rates
• Efficient markets
• Excess volatility
• Efficient Markets Hypothesis
• Interest rate derivative markets
• Interest rate swaps
• Mortgage backed securities
• Globalization of mortgage markets
• Financial markets and institutions
• The financial system
• Interest rates change
• Financial markets efficient
• Term structure affect interest rates
• The stock market
• The mortgage markets
• The international financial system
• Financial regulation
• Interest rate fundamentals
• Interest rates
• Security valuation