How Traders Manage Their Exposures Chapter VI. Delta.

Slides:



Advertisements
Similar presentations
Four Faces of a Linear Function
Advertisements

Introduction Greeks help us to measure the risk associated with derivative positions. Greeks also come in handy when we do local valuation of instruments.
Nearly all business activities entail a variety of risks. Agriculture more so than most businesses.
Chapter 21 Value at Risk Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull 2012.
Chapter 21 Value at Risk Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull 2012.
Chapter 14 The Black-Scholes-Merton Model
How Traders Manage Their Exposures
Interest Rate Risk Chapter 7
Chapter 27 Martingales and Measures
1.1 Introduction Chapter The Nature of Derivatives A derivative is an instrument whose value depends on the values of other more basic underlying.
FE-W EMBAF Zvi Wiener Financial Engineering.
Hedging Strategies Using Futures Chapter 3 1 Options, Futures, and Other Derivatives, 7th Edition, Copyright © John C. Hull 2008.
© K. Cuthbertson and D. Nitzsche Figures for Chapter 5 SHORT-TERM INTEREST RATE FUTURES (Financial Engineering : Derivatives and Risk Management)
Chapter 8 Why People Trade
Finance 300 Financial Markets Lecture 24 © Professor J. Petry, Fall 2002
Options, Futures, and Other Derivatives 6 th Edition, Copyright © John C. Hull Chapter 18 Value at Risk.
Risk Management and Financial Institutions 2e, Chapter 13, Copyright © John C. Hull 2009 Chapter 13 Market Risk VaR: Model- Building Approach 1.
1 Introduction Chapter 1. 2 The Nature of Derivatives A derivative is an instrument whose value depends on the values of other more basic underlying variables.
Options, Futures, and Other Derivatives, 4th edition © 1999 by John C. Hull 1.1 Introduction Chapter 1.
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 1.1 Introduction Chapter 1.
Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright © John C. Hull 2010 Introduction Chapter 1 (All Pages) 1.
The Greek Letters.
Fundamentals of Futures and Options Markets, 5 th Edition, Copyright © John C. Hull The Greek Letters Chapter 15.
Financial Risk Management of Insurance Enterprises Valuing Interest Rate Options.
©David Dubofsky and 12-1 Thomas W. Miller, Jr. Chapter 12 Using Swaps to Manage Risk Swaps can be used to lower borrowing costs and generate higher investment.
Finance 300 Financial Markets Lecture 26 © Professor J. Petry, Fall 2001
1 Value at Risk Chapter The Question Being Asked in VaR “What loss level is such that we are X % confident it will not be exceeded in N business.
Value at Risk Chapter 20 Value at Risk part 1 資管所 陳竑廷.
Chapter 9 Risk Management of Energy Derivatives Lu (Matthew) Zhao Dept. of Math & Stats, Univ. of Calgary March 7, 2007 “ Lunch at the Lab ” Seminar.
Fundamentals of Futures and Options Markets, 6 th Edition, Copyright © John C. Hull Introduction Chapter 1.
Hedging with Forward & Futures Risk Management Prof. Ali Nejadmalayeri, Dr N a.k.a. “Dr N”
Derivation of the Beta Risk Factor
Hedging Strategies Using Futures Chapter 3 1 Options, Futures, and Other Derivatives, 7th Edition, Copyright © John C. Hull 2008.
Fundamentals of Futures and Options Markets, 5 th Edition, Copyright © John C. Hull Value at Risk Chapter 18.
0 Forwards, futures swaps and options WORKBOOK By Ramon Rabinovitch.
15.1 The Greek Letters Chapter Example A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stock S.
Value at Risk Chapter 16. The Question Being Asked in VaR “What loss level is such that we are X % confident it will not be exceeded in N business days?”
Fundamentals of Futures and Options Markets, 7th Ed, Ch3, Copyright © John C. Hull 2010 Hedging Strategies Using Futures Chapter 3 1.
Hedging Strategies Using Futures Chapter 4. Long & Short Hedges A long futures hedge is appropriate when you know you will purchase an asset in the future.
International Finance FINA 5331 Lecture 5: Balance of Payments concluded. The market for foreign exchange Read: Chapters 5 Aaron Smallwood Ph.D.
Problems Consider the following Bond Structure Face ValueInterest Rate (%) Maturity (Years) Current Price
1 Martingales and Measures MGT 821/ECON 873 Martingales and Measures.
ENVR 210 CLICKER QUESTIONS Chapter 4 – Question Set #3.
Value at Risk Chapter 20 Options, Futures, and Other Derivatives, 7th International Edition, Copyright © John C. Hull 2008.
Economics 434 Financial Markets Professor Burton University of Virginia Fall 2015 December 1, 2015.
Credit Risk Losses and Credit VaR
Capital Market Theory. Outline  Overview of Capital Market Theory  Assumptions of Capital Market Theory  Development of Capital Market Theory  Risk-Return.
Options, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.1 Value at Risk Chapter 16.
Options, Futures, and Other Derivatives, 4th edition © 1999 by John C. Hull 14.1 Value at Risk Chapter 14.
Chapter 11 Managing Bond Portfolios 1. McGraw-Hill/Irwin © 2004 The McGraw-Hill Companies, Inc., All Rights Reserved. Interest Rate Risk A change in market.
Chapter 8 Systems of Linear Equations in Two Variables Section 8.3.
Fundamentals of Futures and Options Markets, 6 th Edition, Copyright © John C. Hull Hedging Strategies Using Futures Chapter 3.
Financial Engineering Professor Brooks BA /5/08.
Sharpe – Lintner’s model Capital Asset Pricing Model - CAPM
Hedging Strategies Using Futures
Hedging Strategies Using Futures
Hedging Strategies Using Futures
How Traders Manage Their Risks
Market Risk VaR: Model-Building Approach
Chapter 28 Martingales and Measures
Financial Market Theory
Solving a System of Linear Equations
Hedging Strategies Using Futures
Chapter 12 Using Swaps to Manage Risk
Presentation transcript:

How Traders Manage Their Exposures Chapter VI

Delta

Delta

Delta: Example Example: The value of your portfolio is $117,000. One way of investigating risks you face is to revalue the portfolio on the assumption that there is a small increase in the price of gold from $800 per ounce to $ per ounce. Suppose that the new portfolio value is $116,900. A $0.1 increase in the gold price decreases your portfolio value by $100.

Delta:Example

Delta: Linear Products A linear product is one whose value at any given time is linearly dependent on the value of the underlying market variable. Forward, futures, and swaps are linear products.

Feedback: Privacy Policy Feedback
Do Not Sell My Personal Information
About project: SlidePlayer Terms of Service

© 2025 SlidePlayer.com. Inc. All rights reserved.