Brief Overview of Futures and Options in Risk ManagementBasic Definitions: A security whose value depends on the worth of other basic underlying variables. E.G. Futures, Options, Forward Contracts, Swaps. A derivative is a financial instrument whose value is derived from that of another security....
1 RiskManagement using IndexOptionsandFutures 2 Outline Introduction Usingoptions Usingfuturescontracts Dynamichedging 3 Introduction Portfolioprotectioninvolvesadding componentstoaportfolioinorderto establishafloorvaluefortheportfolio using: •Equityorstockindexputoptions •Futurescontracts •Dynamichedging 4 Hedg...
risk managementoptions on futuresfuturesFutures hedging creates liquidity risk through marking to market. Liquidity risk matters if interim losses on a futures position have to be financed at a markup over the risk-free rate. This study analyzes the optimal risk management and production decisions of...
Liquidity risk matters if interim losses on a futures position have to be financed at a markup over the risk-free rate. This study analyzes the optimal risk management and production decisions of a firm facing joint price and liquidity risk. It provides a rationale for the use of options on...
CME Group is the world's leading and most diverse derivatives marketplace offering the widest range of futures and options products for risk management. SUBDOMAINS openmarkets.cmegroup.com OpenMarkets - Perspectives on Global FinanceOpenMarkets A Closer Look at CME Group’s Bitcoin Futures Launch. ...
CME Group is the world's leading and most diverse derivatives marketplace offering the widest range of futures and options products for risk management. SUBDOMAINS openmarkets.cmegroup.com OpenMarkets - Perspectives on Global FinanceOpenMarkets
Futures and options in risk management valuing options -- Volatility -- Option strategies -- Equity options -- Futures and options on equity indices -- Currency forwards and futures -- ... TJ Watsham - 北京大学出版社 被引量: 16发表: 2003年 Valuing Volatility Derivatives This chapter focuses ...
Barnea and Hogan use synthetically created variance swaps on VIX futures to quantify the variance risk premium inVIX options.The results of this methodolog... Amir,Barnea,Reed,... - 《Journal of Portfolio Management》 被引量: 16发表: 2012年 An assessment of credit risk management techniques...
The insurance is based on the fact that the cash and futures prices move together and are well correlated. The price spread between the cash and futures, however, is not invariant. The hedgers, therefore, run the risk that the price spread, known as the “basis,” could move against ...
Successful futures traders generally have one trait in common: the confidence that comes from being backed by solid risk management strategies. But a trait found among other futures traders istoo muchconfidence, says Jack D. Schwager, a leading expert on futures and bestselling author of the “M...