Lecture 5: Option sensitivities
Greeks
We will discuss the option sensitivities or else the
Greeks
A derivative is a measure of how a function changes
as its input changes. Loosely speaking, a derivative
can be thought of as how much one quantity is
cha
Lecture 8
Bonds
Introduction
Definition: A bond is an instrument in which the issuer
promises to repay the lender the amount borrowed plus
interest over a specified period of time (Hull. 2008).
Maturity: its the day when the debt will cease to exist.
P
Lecture : Short Sales
Introduction
In this lecture we will discuss about:
Betas
Portfolio rebalancing.
Portfolios with lending and borrowings.
Short sales and portfolio management.
Reading: Elton et al (2006). Modern Portfolio Theory
and Investment Analys
Financial Markets
Mario Cerrato
CML SML
CML SML
CML
SML
CML SML
Measuring Risk
Bid-Ask Spread:
The difference between ask and bid prices.
Variance and Standard deviation:
The dispersion between individual and the
mean. (Popular).
Volatility:
An Introduction to
Credit Derivatives
Credit derivatives usefulness
Credit derivatives are financial instruments designed to
transfer credit risk of an underlying asset or assets between
two parties.
They give asset managers the possibility to lay off o
Capital Asset Pricing
Models
Mario Cerrato
CML
(efficiency) SML
(fairly priced)
Using Beta to measuring Risk
Risk can also be measured by the portfolio beta.
Let us define beta of an asset first:
Cov( Ri , Rm )
Bi
m2
However Rm is not observable. Us
Forwards and Futures Contracts: Pricing
and Hedging
Gang Xu
Department of Economics
University of Glasgow
October 24, 2010
1 / 21
Introduction
In this lecture, we will learn:
The concepts of forward and futures contracts and their
trading mechanisms
How t