'Hedge ratio' presentation slideshows

Practical Examples using Eviews

Practical Examples using Eviews. Presented by ??? 2013/10/24. P.40-P.43 File: SandPhedge.xls. Estimation of an optimal hedge ratio. This section shows how to run a bivariate regression using Eviews . We focus on the relationship between SPOT and FUTURES :

788 views • 46 slides

Chapter 10: Futures Hedging Strategies

649 views • 43 slides

Dynamic Hedge Ratio for Stock Index Futures: Application of Threshold VECM

Dynamic Hedge Ratio for Stock Index Futures: Application of Threshold VECM. Written by Ming-Yuan Leon Li Department of Accountancy Graduate Institute of Finance and Banking National Cheng Kung University, Taiwan July, 2007. Arbitrage Threshold?.

695 views • 42 slides

CHAPTER 16

CHAPTER 16. Option Valuation. 16.1 OPTION VALUATION: INTRODUCTION. Option Values. Intrinsic value - profit that could be made if the option was immediately exercised Call: stock price - exercise price Put: exercise price - stock price

520 views • 39 slides

Review 1: Slope of Payoff Profile for Call

400 views • 32 slides

Chapter 3: Hedging Strategies using Futures

977 views • 30 slides

Financial Risk Management

Financial Risk Management. Session 2 Forward Contracts and Futures Contracts. Hedging with FX forwards. Major corporates attempt completely hedge (cover) their FX exposure. All divisions involved in foreign trade usually hedge FX risk under the centralized control of HQ or regional office.

577 views • 29 slides

Currency Option Valuation

Currency Option Valuation. Option valuation involves the mathematics of stochastic processes. The term stochastic means random; stochastic processes model randomness. Myron Scholes and Fischer Black. Binomial Option Payoffs Valuing options prior to expiration.

487 views • 22 slides

Short-term Hedging with Futures Contracts

The Academy of Economic Studies Bucharest DOFIN - Doctoral School of Finance and Banking. Short-term Hedging with Futures Contracts. Supervisor: Professor Mois? Alt?r MSc Student Iacob C?lina-Andreea. July 2010. Contents. I. The use of the optimal hedge ratio. II. Objectives.

314 views • 20 slides

Short-term Hedging with Futures Contracts

The Academy of Economic Studies Bucharest DOFIN - Doctoral School of Finance and Banking. Short-term Hedging with Futures Contracts. Supervisor: Professor Mois? Alt?r MSc Student Iacob C?lina-Andreea. July 2010. Contents. I. The use of the optimal hedge ratio. II. Objectives.

328 views • 20 slides

Hedging Risk with Forwards and Futures

Hedging Risk with Forwards and Futures. Derivatives contracts, including forwards and futures have become a huge market with over $100 trillion in value. Futures (forward) contracts are agreements between two agents where one agrees to purchase and the

593 views • 19 slides

Metallgesellschaft : A Prudent Hedger Ruined, or a Wildcatter on NYMEX

199 views • 19 slides

Pension Plan Risk Management

346 views • 16 slides

Pension Plan Risk Management

194 views • 16 slides

Derivatives

Derivatives. Lecture 21. Greeks. The Greeks measure the various risks of an option. Every option has risk related to the variables contained in the price of the option. Knowing these risks allows us to create strategies and select the best option to include in the strategy. Delta Gamma

245 views • 9 slides

Futures Markets

317 views • 9 slides

Hedging with Forward & Futures

199 views • 9 slides

Risk Management with Futures

Risk Management with Futures. Risk Management: Hedging. Activity that controls the price risk of a position Combine the derivative with the underlying asset Position in derivative is the opposite to that in the underlying asset

196 views • 8 slides