Συλλογές | |
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Τίτλος |
Derivatives pricing and hedging strategies |

Δημιουργός |
Μπουλουγούρη, Χριστίνα |

Συντελεστής |
Athens University of Economics and Business, Department of Economics Τζαβαλής, Ηλίας |

Τύπος |
Text |

Φυσική περιγραφή |
76p. |

Γλώσσα |
en |

Περίληψη |
In recent years, the derivatives market has met a rapid development. Undoubtedly, the derivative products consist of a powerful tool for funds, banks, companies and managers, who use extensively the derivatives in order to hedge the risk that arises from the different activities. For this reason, it is very important for all those who become active in markets to be aware of the basic characteristics of the derivatives.The purpose of this dissertation is to create a study for financial derivatives and the fundamental tool around them, the financial markets as a whole and further information around the trading. We study the methods that are used in order to price the derivatives and we refer to the risk that arises from trading. Also, we make an extensive study in the hedging techniques that managers use in order to manipulate the risk that arises from different activities.In this assignment, we begin with a significant report in the main definitions that govern the derivatives and generally the trading markets. Also, we talk about the two markets which are met and in which derivatives are negotiated.Next, we refer to the basic tools we use in order to price the derivatives: The binomial tree and the Black-Scholes-Merton model, when the time is compounded continuously. We also make a short reference in some other tools, such as learning networks, which are in experimental phase.In the third chapter, we present the hedging strategies. There are different strategies between futures and options. Furthermore, we refer to the Greek Letters. Greek Letters are significant measures that are used from the traders in order to limit the losses that arise from the expose to the risk.In the last chapter, we implement the delta hedging strategy in real time data. We use European call options in an index and implement the delta hedging technique. The index we use is the FTSE ATHEX Large Cap, which is an index which captures the 25 largest cap companies within the main market segment of the Athens Stock Exchange. Also, we apply the GARCH model for FTSE/ATHEX Large Cap and we contract this method with Black-Scholes pricing method. |

Λέξη κλειδί |
Μοντέλο Black-Scholes FTSE/ATHEX 20 Μοντέλο binomial tree Derivatives market Financial derivatives |

Ημερομηνία |
31-12-2015 |

Άδεια χρήσης |
https://creativecommons.org/licenses/by/4.0/ |