# Questions tagged [derivatives]

A financial contract whose payoff is linked to the evolution of an underlying security.

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### Does a barrier breach in a geared put structured note result in greater losses for the investor vs a plain knock in barrier?

I understand how knock in barriers work. But what do geared put in a structured note mean? My understanding is in a geared put vs a regular knock in barrier, the loss for the investor is higher if the ...
45 views

I consider $$Z_n(k):= \exp\{c S^*_n- f(-c)n\}$$ with $f(k):=\log E(e^{kS_1})$ , $S_i=z+i-\sum\limits_{j=1}^iY_j$, $(Y_j)_j$ are i.i.d, $Y_j \in \mathbb{N}_0, z \geq 0$ and $S^*_i:=-S_i$ Define Esscher ...
58 views

### What does hedging a structured note mean? Whom does it benefit? [closed]

I am learning to create structured notes for clients. For a reverse convertible note with a basket of underlying equities,providing a guaranteed coupon and having a European knock-in barrier, the ...
118 views

### How are leveraged futures paid out if they are zero sum?

Alice buys 10 contracts from Bob at 100x leverage and a total cost of £100 - Bob's order was also at 100x leverage. Bob is 10 contracts short and Alice is 10 contracts long. Both have a margin ...
239 views

### Impact on DV01 of cbot bond futures by changing coupon from 6% to 4%

CBOT has been asking customers lately what their thoughts would be on coupon change from 6% to 4% on all bond futures. I believe the last time this was done was in 2000 where the coupon was changed ...
276 views

### Option on an Option

What is the value of the contract (to be paid at current time $t_0$) that gives one the right (but not obligation) to buy a Vanilla Call option (with certain strike K) at a pre-determined price $p$ at ...
53 views

### Why does an autocall on a linear payoff have vega?

Consider a (stochastic) linear index, say $I(t)$, in that it grows at the risk free rate (with some volatility of course). There exists a maturity date $T$ on which I receive $I(T)$; however there is ...
29 views

### Why does an interest rate derivative being in- or out-of-the-money influence the optionality of a multi-currency CSA?

Background Consider a derivative contract with multiple cash CSAs, with the ability of the counterparty posting the collateral to switch to the cheapest-to-deliver (CTD) CSA. Of the possible paths of ...
204 views

### What book(s) would you recommend for structuring and pricing Exotic Products?

I've been looking for good books on structuring equity derivatives (Principal Protected Notes, Autocalls, Lookbacks, Reverse Convertibles etc). I only found ones that discuss mainly the theoretical ...
223 views

### Pricing Swaption Analytically using Libor Market Model

I was asked the following question in a recent interview: "(i) Express a forward swap rate in terms of forward Libor rates. (ii) Apply Ito's lemma to this expression to derive the process for the ...
17 views

### How to calculate reissue price for structured product?

There is a principal structured product which tracks gold prices capped at 12% and 145% Participation. So to achieve this I have kept some amount in Fixed income and rest is used to buy bull call ...
82 views

### Cox-Ingersoll-Ross: Monte Carlo Simulation

I am trying to build a Monte Carlo simulation in Excel (yes, far from optimal) for valuation of a callable bond. I have some experience with MC simulation on path dependent derivatives with stocks as ...
83 views

### PnL due to model recalibration and its relationship with hedging error

Consider the case where at t=0, I calibrate my model to the market, but at t=1 my model is no longer able to recover the price in the market, so it needs recalibration. Say I have delta hedged my ...
64 views

### Can you predict MTM gain or losses on future contract?

I am working on a structured product where I am investing some percentage of invested amount in futures contract. I have created a bull put strategy and I will calculate the delta positions of that ...
48 views

We are looking for a simple way to calculate an approximation of the basket volatility for a set of baskets so that we can estimate which basket might produce the highest coupon in a standard ...
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### Are there noticeable jumps in index options price due to systematic hedging of structured products close to big expiry dates?

I am looking at investigating factors that will cause jumps in index options prices close to big expiries in the name. I imagine systematic rebalancing of structured products will have a large impact ...