ClassWrapUp - Applications: Callable bonds and convertible...

Info iconThis preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
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
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
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
Background image of page 2
Background image of page 3
This is the end of the preview. Sign up to access the rest of the document.

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)...
View Full Document

This note was uploaded on 10/31/2010 for the course NBA 6730 at Cornell University (Engineering School).

Page1 / 3

ClassWrapUp - Applications: Callable bonds and convertible...

This preview shows document pages 1 - 3. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online