What's new

# hedging

1. ### Optimal hedge ratio with futures which expire later than holding period

Write down the optimal hedge ratio equation for a stock portfolio and use the information provided to solve the hedging problem. Assume a fund manager has a £5 million portfolio of shares with a beta risk of 0.87. Price risks are apparent in a two –month holding period horizon. The only front...
2. ### Carol Alexander | Market Risk Analysis, Pricing, Hedging & Trading Financial Instruments (Volume III)

Pricing, Hedging, and Trading Financial Instruments forms part three of the Market Risk Analysis four-volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the...
3. ### YouTube T4-19: Hedging (aka, neutralizing) option delta and gamma

To hedge options Greeks, we want to rely on the formula: +/- Quantity * %Greek = Position Greek, where a short position is represented by negative quantity. In this example, the market maker writes 10,000 ATM call options, each with percentage (per option) delta of 0.550 and gamma of 0.0440...
4. ### P1.T4.908. Interest rate factors and the DV01-based hedge (Tuckman Ch.4)

Learning objectives: Describe an interest rate factor and identify common examples of interest rate factors. Define and compute the DV01 of a fixed income security given a change in yield and the resulting change in price. Calculate the face amount of bonds required to hedge an option position...
5. ### hedging counterparty risk with credit derivatives

Hi all, I have some doubt regarding this part in Gregory, chapter 4: "Hedging: Hedging counterparty risk with instruments such as credit default swaps (CDSs) aims to protect against potential default events and adverse credit spread movements. o Hedging creates operational risk and additional...
6. ### Tuckman, Chapter 6: Empirical Approaches to Risk Metrics and Hedging

Hi, What is intuition behind the negative sign before the notional amounts? In calculations we seem to disregard the negative? Thank you
7. ### P1.T3.710. Long and short hedges (Hull Chapter 3)

Learning objectives: Define and differentiate between short and long hedges and identify their appropriate uses. Describe the arguments for and against hedging and the potential impact of hedging on firm profitability. Define the basis and explain the various sources of basis risk, and explain...
8. ### P1.T3.707. Hedging versus speculation (Hull Chapter 1)

Learning objectives: Describe the over-the-counter market, distinguish it from trading on an exchange, and evaluate its advantages and disadvantages. Differentiate between options, forwards, and futures contracts. Identify and calculate option and forward contract payoffs. Calculate and compare...
9. ### P1.T3.406. Hedging strategies

Concept: These on-line quiz questions are not specifically linked to AIMs, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical AIM-by-AIM question such that the intended difficulty level is nearer to an actual...