Beruflich Dokumente
Kultur Dokumente
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Foreign exchange
initially sold. If you put that hedge on six months ago, you
39
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If an investor thinks that both the BRL and the JPY are going
to strengthen against the USD, they can choose to buy a call
silver trading over the last couple of weeks. The best trade
was to buy gamma at any level as the spot rate moved up
for example.
40
on existing positions.
Exhibit 1
4.00
2.00
3.50
1.80
3.00
1.60
2.50
2.00
1.40
Jul
Oct
2010
Apr
2010
Jul
Jul
Oct
Jul
2011
2011
Apr
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mid-76. Many felt that one of the reasons for the break
was that digital barriers were hit on the way down which
to the market.
Credit derivatives
2010 was a relatively good year for credit investors and the
Exhibit 2
1500.00
1000.00
400.00
500.00
200.00
0
2010
Mar
May
Jul
2010
Sep
Nov
Jul
2011
Mar
2011
At-the-money volatility
At-the-money volatility
500.00
41
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supermodel
superderivatives.com
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ROBUSTA
CALL
makes morning
latte possible
SOYBEAN
COLLAR
makes soy milk
in morning latte
possible
COTTON
OPTION
makes
fashionably
grungy
t-shirt
possible
JET FUEL
STRIP
makes shopping
trip to Milan
possible
GOLD
ACCUMULATOR
makes
wrist
bling
possible
PLATINUM
CONTRACT
makes ring
bling possible
ENERGY
SPREAD
makes
limo ride
from airport possible
superderivatives
superderivatives
pricing | analysis | structuring | trading | risk management
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more to follow.
44
risk was not managed well during the past two years.
Commodities
their exposures.
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baskets of commodities.
require collateral to be posted must be held in a specific
account which earns overnight interest, rather than the
Interest rates
beyond all recognition over the past few years since the
cash flows.
high threshold.
45
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swap rate.
to cope with this change but the buy side does not.
cover these risks. The best example has been hedging worst
off put (embedded into reverse convertibles, auto callable,
etc) with vary swap dispersion or correlation swap.
LIBOR, then the value they get for that trade could be
significantly different from the value a dealer would ask or
46
The old way of valuing swaps does not work anymore and
the new world has been created by the need for people to
Equities
and modelisation.
there have been many cases over the years where banks
risk effectively.
illiquid markets.
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At-the-money volatility
Exhibit 3
100.00
50.00
Jul
2008
Jul
2008
2009
Jul
2010
Jul
2010
2009
2011
2011
47
We also expect to see more development on the hybrid
Contact us:
SuperDerivatives
knock-in barrier.
web: www.superderivatives.com
e-mail: sales@sdgm.com