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Hedging with ﬁnancial futures
Hedging in practice
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altemative American options arbitrage asset price bank basis points basis risk beneﬁt Black-Scholes formula Black-Scholes model borrower call option cashﬂows cheapest to deliver commercial margin correlation cost counterparty coupon currency options Deutschmark differential swap discount dividend early exercise Eurodollar Eurodollar futures European option example exchange rate exercise price Exhibit expiration Fair price ﬁnal ﬁnancial ﬁnite difference ﬁrst ﬁxed rate ﬂoating ﬂows futures contract Futures hedge futures options futures price gilt hedge ratio hedger Implied volatility investment investor issuer LIFFE loan maturity node Number of contracts option delta Option hedge option premium option pricing option values options position OTC option OTC proﬁt/loss Hedge payments portfolio proﬁle proﬁt proﬁt/loss Hedge proﬁt/loss proﬁt/loss Net commercial put option put-call parity redemption retum sell six-month dollar Libor speciﬁc spot rate spread stock price strike price structure swap rate swaption trading transaction Treasury Treasury-bond underlying asset valuation yield curve