CFA三级基础班讲义Risk Management Application of Derivatives-

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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