CFA三级基础班讲义Risk Management Application of Derivatives–pdf下载

Risk Management Application of

Derivatives

Study Session 15

Estimated weights in exam: 5%

Topics include:

Risk management applications of forward and

futures strategies

Risk management applications of option strategies

Risk management applications of swap strategies

10. Interest Rate Options P59

For interest rate options, the exercise price is an interest

rate, and payoffs depend on a reference rate such as

LIBOR

The combination of a long interest rate call option plus

a short interest rate put option has the same payoff as

an FRA. One difference is that interest rate option

payoffs are made after the option expiration date at a

date corresponding to the end of the loan period

specified in the contract (30-day, 60-day, 90-day LIBOR,

etc.). Recall that FRAs pay the present value of this

interest difference at settlement.

12. Delta Hedging P73

Delta hedging a derivative position means combining

the option position with a position in the underlying

asset to form a portfolio, whose value does not change

in reaction to changes in the price of the underlying

over a short period of time

Delta-hedged portfolio: long n stocks and short n/delta calls

The delta-neutral hedging is a dynamic process, since the

delta is constantly changing

13. The Second-Order Gamma Effect

P79

The gamma defines the sensitivity of the option delta

to a change in the price of the underlying asset

gamma = (delta1?delta0)/(S1?S0) = Δdelta/ΔS

Three things to remember about Gamma:

Call and put options on the same stock with the same T and

X have equal gammas

A long position in calls or puts will have a positive gamma

Gamma is largest when the option is at-the-money. If the

option is deep in- or out-of-the-money, gamma approaches

zero

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