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John C. Hull is a professor of Derivatives and Risk Management at the Rotman School of Management at the University of Toronto. [3] [4]He is a respected researcher in the academic field of quantitative finance (see for example the Hull-White model) and is the author of two books on financial derivatives that are widely used texts for market practitioners: "Options, Futures, and Other ...
A related term, delta hedging, is the process of setting or keeping a portfolio as close to delta-neutral as possible. In practice, maintaining a zero delta is very complex because there are risks associated with re-hedging on large movements in the underlying stock's price, and research indicates portfolios tend to have lower cash flows if re ...
The method calculates the ratio: cumulative change in value of the hedging instrument over its life, compared to the same for the hedged item. Value here may be either fair value , or the present value of future expected cash flows; the modelling is usually under simulation .
In a sign pre-issuance hedging activity was having an impact, the yield on the benchmark 10-year Treasury bond climbed to 4.8% on Jan. 13 from 4.38% on Dec. 17, coinciding with corporate issuance ...
Eighty-six percent of the survey respondents plan to increase their currency hedging activity ahead of the election, despite 73% saying hedging costs have risen, while 66% intend to increase the ...
The superhedging price is a coherent risk measure.The superhedging price of a portfolio (A) is equivalent to the smallest amount necessary to be paid for an admissible portfolio (B) at the current time so that at some specified future time the value of B is at least as great as A.
The fugit is the expected time to exercise an American or Bermudan option. Fugit is usefully computed for hedging purposes — for example, one can represent flows of an American swaption like the flows of a swap starting at the fugit multiplied by delta, and then use these to compute other sensitivities.
Mortgage rates dropped again this week, spurring more potential homebuyers to submit applications as the 2024 buying season wanes. The average 30-year mortgage rate fell to 6.69%, from 6.81% a ...