Introduction
Chapter 1
Fundamentals of Futures and Options Markets, 7th Ed, Ch 1, Copyright John C. Hull 2010
1
The Nature of Derivatives
A derivative is an instrument whose value depends on the value
Introduction
Chapter 1
Fundamentals of Futures and Options Markets, 9th Ed, Ch 1, Copyright John C. Hull 2016
1
The Nature of Derivatives
A derivative is an instrument whose value
depends on the valu
Valuing Stock Options:
The Black-Scholes-Merton
Model
Chapter 13
Fundamentals of Futures and Options Markets, 9th Ed, Ch 13, Copyright John C. Hull 2016
1
The Black-Scholes-Merton
Random Walk Assumpti
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Farmer and Baker
A farmer is expecting to have 100,000 bushels of corn in three months ( September)
She wishes to lock-in the price she receives, So she sells forward if she can find a counter-party
Credit Derivatives
Chapter 21
Fundamentals of Futures and Options Markets, 6th Edition, Copyright John C. Hull 2007
21.1
Credit Derivatives
Derivatives
where the payoff depends on the credit quality
The Greek Letters
Chapter 15
Fundamentals of Futures and Options Markets, 6th Edition, Copyright John C. Hull 2007
15.1
Example (Page 325)
A bank has sold for $300,000 a European call option on 100,00
Valuing Stock Options:The Black-Scholes Model
Chapter 12
Fundamentals of Futures and Options Markets, 6th Edition, Copyright John C. Hull 2007
12.1
The Black-Scholes Random Walk Assumption
Consider
a
Binomial Trees
Chapter 11
A Simple Binomial Model
l A stock price is currently $20 l In three months it will be either $22 or $18
A Call Option (Figure 11.1, page 242)
A 3-month call option on the sto
Mechanics of Options Markets
Chapter 8
Fundamentals of Futures and Options Markets, 6th Edition, Copyright John C. Hull 2007
8.1
Types of Options
A
call is an option to buy A put is an option to sell
Determination of Forward and Futures Prices
Chapter 5
Fundamentals of Futures and Options Markets, 6th Edition, Copyright John C. Hull 2007
5.1
Consumption vs Investment Assets
Investment
assets are
Interest Rates
Chapter 4
Options, Futures, and Other Derivatives 6th Edition, Copyright John C. Hull 2005
4.1
Types of Rates
Treasury
rates LIBOR rates Repo rates
Options, Futures, and Other Derivati
Hedging Strategies Using Futures
Chapter 3
Options, Futures, and Other Derivatives 6th Edition, Copyright John C. Hull 2005
3.1
Long & Short Hedges
A
long futures hedge is appropriate when you know yo
Mechanics of Futures Markets
Chapter 2
Options, Futures, and Other Derivatives, 6th Edition, Copyright John C. Hull 2005
2.1
Futures Contracts
Available
on a wide range of underlyings Exchange traded
Mechanics of Futures Markets
Chapter 2
Fundamentals of Futures and Options Markets, 7th Ed, Ch 2, Copyright John C. Hull 2010
1
Futures Contracts
Available
on a wide range of underlyings Exchange tra