arbitrage

  1. A

    Delta neutral portfolio and arbitrage

    Hi all, I think I have an interesting question: If we are long a put and long a stock (so that we are delta neutral) then we are long gamma and, both if the stock increase or decrease, our portfolio get a final positive value. Based on this (surely superficial) view, it seems that this...
  2. Nicole Seaman

    YouTube T4-24: Fixed Income: Arbitrage to exploit violation of Law of One Price

    Financial Risk Manager (FRM), Topic 4: Valuation and Risk Models, Fixed Income, Bruce Tuckman Chapter 1, Prices Discount Factors and Arbitrage. How do we exploit the Law of One Price (which asserts that--absent confounding factors like liquidity or taxes--is only one set of discount factors)? We...
  3. Nicole Seaman

    P1.T3.716. Arbitrage and the cost of carry model (Hull Chapter 5)

    Learning objectives: Differentiate between investment and consumption assets. Define short-selling and calculate the net profit of a short sale of a dividend-paying stock. Describe the differences between forward and futures contracts and explain the relationship between forward and spot prices...
  4. David Harper CFA FRM

    How to work put-call parity arbitrage problems

    Dipti today asked a follow-up to this 2010 GARP Practice exam sample question: I solve these by relying on the positive/negative sign (+/-). The only hard part, for me, is memorizing that a positive discounted cash term [+K*exp(-rT)] signifies a long bond (to lend cash). Put-call parity...
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