«SHORT-DATED»に関連する英語の本
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1
Options: Recent Advances in Theory and Practice
For rational volatility forecasts, these should be the short-dated options, because
mean-reversion in volatility will make the implied volatilities of long-dated options
more stable than those of short-dated options. The jump risk, as reflected in the ...
Stewart Dimont Hodges, 1990
2
Option Spread Strategies: Trading Up, Down, and Sideways Markets
Recall that the delta of a short-dated option is much more sensitive to moneyness
than that of a long-dated option. In other words, short-dated at-the-money options
have a greater gamma than longer-dated at-the-money options, and therefore ...
3
A Foreign Exchange Primer
A short-dated contract is a foreign exchange contract that is executed today to
buy one currency for another currency at a rate agreed today with settlement less
than spot. As has been stated, most foreign exchange deals are executed for ...
4
Mathematics of Derivative Securities
Hedging. Long. Maturity. Commodity. Commitments. with. Short-dated. Futures.
Contracts. M. J. Brennan. and. N.I.. Crew. Abstract. The problem of hedging a
long term commitment to deliver a fixed amount of a commodity by trading in
short ...
Michael Alan Howarth Dempster, Stanley R. Pliska, 1997
5
Principles of Financial Engineering
The trade is constructed with at-the-money swaption straddles, weighted in such
a way as to make this a play on the slope of the vol curve, which at current levels
is more inverted compared to historical levels, noted (the trader) Short-dated ...
6
Parliamentary Debates: House of Representatives
He was aware that clause 11, which is as follows, limited the amount to £
2,000,000 :— “The amount of all short-dated debentures issued under this Act,
together with all debentures or other securities issued under the third section of
this Act, ...
New Zealand. Parliament, 1873
7
Financial Risk Manager Handbook + Test Bank: FRM Part I /
Buy short-dated options and sell long-dated options. c. Sell short-dated options
and sell long-dated options. d. Buy short-dated options and buy long-dated
options. 14.3 OPTION RISKS 14.3.1 Distribution of Option Payoffs Unlike linear ...
Philippe Jorion, GARP (Global Association of Risk Professionals), 2010
8
Trading and Investing in Bond Options: Risk Management, ...
Index. Accounting, computerized trading system, 193-194 Adjusted lognormal
model, European option, short-dated, 122-123 Afternoon option, embedded
option, 42 parameter estimation, 95-% ...
9
Interest Rate Swaps and Other Derivatives
Whereas gamma is usually a measure that is associated with short-dated options
, vega is a term that is usually associated with long-dated options. In the rates
markets, for example, the terms “short-dated options” and “gamma” are often
used ...
10
Trading Weekly Options: Pricing Characteristics and ...
This chapter will show how despite their limited life, short-dated options actually
are useful as risk-management tools. Short-dated options can offer short-term
protection against a potentially adverse move in an underlying security. The
limited ...
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Short-Dated Treasuries Fall on Fed View Before Housing Report
Two-year Treasuries declined before housing data this week that analysts predict will show the U.S. economy is strong enough to withstand higher interest rates. «Bloomberg, 7月 15»
#SaxoStrats - Buying short-dated EURJPY put
Ahead of a Bank of Japan meeting expected to reveal more about BOJ QE forward thinking and an upgrade of GDP, Saxo Bank's Head of FX Strategy John ... «TradingFloor.com, 5月 15»
RLAM adds enhanced cash fund to short-dated range
The Royal London Enhanced Cash Plus fund will invest in money market instruments and short-dated investment grade debt issued by corporates, governments ... «Investment Week, 5月 15»
TREASURIES-Short-dated yields post biggest daily fall since 2009 …
NEW YORK, March 18 (Reuters) - U.S. Treasuries yields sank on Wednesday, with short-dated note yields posting their biggest daily declines in six years, after ... «Reuters, 3月 15»
Russian Bonds Rise on Oil Gains as Short-Dated Auction Sells Out
(Bloomberg) -- Russian bonds climbed, pushing yields lower for the first time in three days, as oil recovered from a one-month low and the government sold all ... «Bloomberg, 3月 15»
iShares cuts fees on ultra short-dated bond range
Ultra short-dated debt, however, typically functions as an alternative to cash, with yields on one-year debt looking more attractive in an environment where ... «Investment Week, 3月 15»
Short-dated JGBs firm, longer bonds hit by high volatility
TOKYO, Jan 26 (IFR) - Japanese government bonds were mixed on Monday in thin trading as short-dated bond prices gained on firmness in Treasuries and ... «Reuters, 1月 15»
Short-Dated Italian, Spanish Bonds Favored, Thiel Says
Jan. 9 -- Scott Thiel, head of the global bond team at BlackRock Inc.'s Investment Institute, talks about European Central Bank policy, its implications for the ... «Bloomberg, 1月 15»
NEST to replace cash, money market funds with short-dated Gilts
The National Employment Savings Trust (NEST) is tendering for 10 single-year maturity Gilt funds as it looks to boost returns while maintain risk for two ... «IPE.com, 12月 14»
Pimco launches active short-dated corporate bond ETFs
Pimco has launched two actively managed short-dated investment grade corporate bond ETFs in partnership with Source. The London-listed, Dublin-domiciled ... «Fundweb, 12月 14»
