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ClassWrapUp - Applications Callable bonds and convertible...

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1 NBA 6730: Derivative Securities Course Summary 10/07/2010 George Gao NBA6730-Derivative Securities I 2 What We Learned We learned a lot!! Basic derivative securities Forwards and futures Swaps Options Payoffs: linear derivatives vs. nonlinear derivatives Pricing: replicating portfolio, no arbitrage, law of one price Applications Financial futures: bank’s hedge, stock index-futures arbitrage MGRM: long-term forwards and short-term futures Asset return predictability in futures market (momentum) Walt Disney Yen Financing Avon’s PERCS
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2 NBA6730-Derivative Securities I 3 More to Learn Economics behind risk-neutral pricing Option strategies: straddles, strips, straps … Option Greeks and risk management (dynamic replication) Volatility and correlation Credit derivatives
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Unformatted text preview: Applications: Callable bonds and convertible bonds LTCM and portfolio insurance Correlation vehicles (trading equity correlations) Credit default swaps and corporate bonds NBA6730-Derivative Securities I 4 Final Exam Rules 1 hour and 15 minutes (you must take the final exam with the section in which you are registered) Closed books and notes Cheat sheet: 1 side only, letter-size paper! Bring a calculator (no wireless communication function) Preparation Do study in the Fall break! Class notes Assignment (part I questions) Practice questions Readings (should only complement course notes) 3 NBA6730-Derivative Securities I 5 Johnson School Online Course Evaluation (NBA6730)...
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