1. Nicole Seaman

    P2.T5.22.10. Value at risk (VaR) mapping

    Learning objectives: Summarize how to map a fixed-income portfolio into positions of standard instruments. Describe how mapping of risk factors can support stress testing. Explain how VaR can be computed and used relative to a performance benchmark. Describe the method of mapping forwards...
  2. Nicole Seaman

    P1.T3.22.23. Option market basics

    Learning objectives: Describe the various types and uses of options, define moneyness. Explain the payoff function and calculate the profit and loss from an options position. Explain the specification of exchange-traded stock option contracts, including that of nonstandard products. Questions...
  3. Nicole Seaman

    P1.T3.21.8. Derivatives for hedging

    Learning objectives: Define derivatives, describe the features and uses of derivatives and compare linear and non-linear derivatives. Describe the specifics of exchange-traded and over-the-counter markets, and evaluate the advantages and disadvantages of each. Differentiate between options...
  4. Nicole Seaman

    YouTube T3-37: Simple option trading strategies: an option plus the underlying asset

    These are simple portfolios of two positions: an option + the underlying stock. 1) A protective put is long put + long stock and has a profit profile similar to a long call; 2) its counterparty is short put + short stock and has a profit profile similar to a short call. 3) a covered call is long...
  5. Nicole Seaman

    YouTube T3-36: Is it optimal to early exercise an option?

    It is never optimal to early exercise a call option on a non-dividend-paying stock but it may be advisable to early exercise a call on a dividend-paying stock. For a put option, it is maybe optimal to early exercise a put on EITHER a dividend- or non-dividend-paying stock. The primary trade-off...
  6. Nicole Seaman

    P2.T5.717. Value at risk (VaR) mapping (Jorion Ch.11)

    Learning objective: Describe the method of mapping forwards, forward rate agreements, interest rate swaps, and options. Questions: 717.1. A portfolio manager evaluates the risk of the following two-bond portfolio: We assume that specific risk is negligible and that the volatility of...
  7. Nicole Seaman

    P1.T3.724. Mechanics of options markets (Hull Chapter 10)

    Learning objectives: Describe the types, position variations, and typical underlying assets of options. Explain the specification of exchange-traded stock option contracts, including that of nonstandard products. Describe how trading, commissions, margin requirements, and exercise typically work...
  8. J

    Upper Bound for European Call Option

    If X = strike price, the upper bound for a American put option is P <= X, which makes sense. For a European put option, you must add a time value component to the upper bound [p <= X*exp(-rt)] since you have to wait until the expiration date to receive proceeds from the sale of the underlying...
  9. Nicole Seaman

    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...
  10. jairamjana

    Options Strategy Resource

    This is a resource I made by myself for a quick summary on basic Options Strategy.. I made this 3 years back or so.. So it's a bit ancient for me.. https://www.dropbox.com/s/q56ryasdnfulv27/option_pay_off.pdf?dl=0 Hope its useful. Jairam
  11. Nicole Seaman

    P1.T3.410. Stock option properties

    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...