Sabtu, 27 Desember 2014

The yield to maturity (YTM) or internal rate of return (IRR)



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Implied versus actual, delta hedging but using which volatility? Case Hedge with actual volatility, Case Hedge with implied volatility, &
The expected profit after hedging using implied volatility
The variance of profit after hedging using implied volatility
Hedging with different volatilities

Actual volatility = Implied volatility
Actual volatility > Implied volatility
Actual volatility < Implied volatility
Pros and cons of hedging with each volatility
Hedging with actual volatility
Hedging with implied volatility
Hedging with another volatility
Portfolios when hedging with implied volatility
Expectation
Variance
Portfolio optimization possibilities
How does implied volatility behave?
Sticky strike
Sticky delta
Time-periodic behavior
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An to Exotic and Path-dependent Options
Option classification
Time dependence
Cash-flows
Path dependence
Strong path dependence
Weak path dependence
Dimensionality
The order of an option
Embedded decisions
Classification tables
exotic options
Compounds and choosers
Range notes
Barrier options
Asian options
Look-back options
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math/coding consequences
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Multi-asset Options
Multidimensional lognormal random walks
Measuring correlations
Options on many underlyings
The pricing formula for European nonpathdependent options on
dividend-paying assets
Exchanging one asset for another as similarity solution
Two Realities of pricing basket options

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Below are some topics which important for your thesis/dissertation:

Easy problems
Medium problems
Hard problems
Realities of hedging basket options
Correlation versus cointegration
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Barrier Options
Different types of barrier options
Pricing methodologies
Monte Carlo simulation
Partial differential equations
Pricing barriers in the partial differential equation framework
'Out' barriers
'In' barriers
Some more
Other features in barrier-style options
Early exercise
Repeated hitting of the barrier
Resetting of barrier
Outside barrier options
Soft barriers
Parisian options
Market practice of what volatility should I use?
Hedging barrier options
Slippage costs
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Fed-income Products and Analysis
Yield, Duration and Convety
Simple Fed-income contracts and features
The zero-coupon bond
The coupon-bearing bond
The money market account
Floating rate bonds
Forward rate agreements
Repos
STRIPS

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Below are some topics which important for your thesis/dissertation:
Amortization
Call provision
International bond markets
United States of America
United Kingdom
Japan
Accrued interest
Daycount conventions
Continuously and discretely compounded interest
Measures of yield
Current yield
The yield to maturity (YTM) or internal rate of return (IRR)
The yield curve
Price/yield relationship
Duration
Convety
Hedging
Timedependent interest rate
Discretely paid coupons
Forward rates and bootstrapping
Discrete data
On a spreadsheet
Interpolation
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Swaps
The vanilla interest rate swap
Comparative advantage
The swap curve
Relationship between swaps and bonds
Bootstrapping
Other features of swaps contracts
Other types of swap
Basis rate swap
Equity swaps
Currency swaps
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Onefactor Interest Rate Modeling
Stochastic interest rates
The bond pricing equation for the general model
What is the market price of risk?
Interpreting the market price of risk, and risk neutrality
Named models
Vasicek
Cox, Ingersoll & Ross
Ho & Lee
Hull & White

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