1 RiskManagement using IndexOptionsandFutures 2 Outline Introduction Usingoptions Usingfuturescontracts Dynamichedging 3 Introduction Portfolioprotectioninvolvesadding componentstoaportfolioinorderto establishafloorvaluefortheportfolio using: •Equityorstockindexputoptions •Futurescontracts •Dynamichedging 4 Hedg...
Portfolio Growth and Risk Management: Using Index Options and Index FuturesMakwani, DharmendraViswanathan, SantoshIUP Journal of Financial Risk Management
options 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 a firm ...
Futures 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 a firm facing joint price and liqui...
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...
A Closer Look at CME Group’s Bitcoin Futures Launch. CME Group’s head of equity index on the advantages of bitcoin coming to a regulated marketplace. The Russell 2000 Surge And What It Means for Futures. The small cap index has seen a bounce, and a move for Russell 2000 futures is ...
Limit Exposure to Risk Availability of Futures Options Points to Consider Expiration Dates Strike Price Exercise & Assignment Futures Option Pricing How to Hedge Using Options on Futures? Long Futures Short Futures There are different types of futures option. These are – Options on index future, Op...
Valuing Futures, Forward and Options on the Stock Index Volatility in a General Equilibrium This chapter focuses on volatility derivatives, like futures and options on a volatility index, and their arbitrage-free valuation. It illustrates the valu... 김병수,김인준,김동석 被引量:...
There are several financial derivatives like options, includingfuturescontracts, forwards, and swaps. Each of these derivatives has specific characteristics, uses, and risk profiles. Like options, they are for hedging risks, speculating on future movements of their underlying assets, and improving portfo...
smaller E-mini S&P 500 futures, one-fifth of the exposure per contract. When investors refer to “S&P futures options,” they mean options that trade on these E-mini contracts. There are also Micro E-mini S&P 500 Index futures, which offer one-tenth the exposure of the E-mini version....