" "

FINANCIAL DERIVATIVES

:
2009 - 2008

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Financial
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Money Market

Capital
Market

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Market

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Market

Seconda
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Market

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- Options
-Future Contracts -
- Forward Contracts
\ -Swaps -

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Option Contract
Buyer , Writer
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Short Position
Long Position

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( Over- The- Counter
Put and Call Brokers and Dealers
.Association 1973
Chicago Board Options
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.1-1 :Call Option

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 .2-1 :American Options

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.2-2 :European Options
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.3-1 :Covered Call Option
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.3-2 :Naked Call Option


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.3-3 :Covered Put Option

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.3-4 :Naked Put Option

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In -The- Money

Out Of The
-Money

At-The -Money

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(
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( ( 136 ,
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= 450 = 50 + 50 + 350 .
11

 : .
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) 1000 = 10 * 100 (
= 50 + 350 ) 1000
550 = ( 50 + .

Option Valuation
ITM
OTM .ATM
.
Intrinsic Value and
:Time Value
-1 :Intrinsic Value
$120
$115
ITM ) $5 (
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:
Vi Max S K ,0

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ITM
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ITM :
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Vi Max K S ,0

-2 :Time Value
)(
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Price value = Intrinsic + Time Value

$ 120
$115 .$7
.$2 = 5-7

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( (Volatility
Underlying Asset

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))Option Price = Intrinsic Value + (Time Value +(Volatility

):(1

13

 2/1/2008
$100
1/9/2008
$4 .
:
-1
96 100 102 104 110 120 140 :
.50 80
-2
.
-3 .
:
:
:

MV

SP

//

140

100

40

36

36-

120

100

20

16

16-

110

100

10

6-

104

100

102

100

2-

100

100

4-

96

100

4-

80

100

4-

50

100

4-

14

104

4-

) ( Break-even Price
.
:

BP = K+ P
:
15

 :BP
:P
.104
= .104 =4 + 100
):(2
1/5 $ 50


$50 $3 .

:
-1
:
.70 60 53 50 47 40 30 20

-2
.
-3 .

:
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:

SP

MV

50

20

30

16

//

37

37-

50

30

20

17

17-

50

40

10

7-

50

47

50

50

3-

50

53

3-

50

60

3-

50

70

3-

47

3-

17

) ( Break-even Price
.
:

BP = K- P
:
:BP
:P
.47
= .47 =3 -50

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18

.
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Hedging Ratio
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:
Pu Pd
Su Sd

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: Pu .

Pd

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: S u .
: S d .

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 -1 Binomial Option
Pricing Model
Cox, Ross
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:



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.

.
:
C (H S0 ) E

:
: C
: S 0
: E .
:
) H ( S d Pd
) (1 r

rf

):(1

$50
$65 .$39
.
= .%6
:

= 7,62
):(2
.
= 4,795
20

 -2 :Black and Scholes

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.:
.1
.2
.3
.4
.5 .
.

/
:

N ( d 2 )

rf t

C S N (d1 ) Ke

:
: C
: S
)

: N (d .

: K
: e = 2,71828.
: r f , .
: t .

21

d1

d2

S
) ( r f 0,5 2 )t
X

(ln

d (1)

) ( (t ) 2
1

) d ( 2 ) d (1) ( (t ) 2

:
S
)
X

(ln

S
X

: .
,
, ,
,

,
.
:
= 415
, ,400
= %25
= %7 = 45.
: :
-1 :d1
d1 :
415
1
45
) ) (0,06766 (0,25) 2
400
2
365 0,5583
45
0,25
365

-2

22

d2

))N(d(1

(ln

d (1)

71.2 %

t
45
0,4705
365

d ( 2) d (1)

d ( 2) 0,5583 0,25

. %68.1

))N(d(2

-2 :
)0,681 25,21

45
365

0 , 06766

c ( 415 0,712) 400(e

)( ,
.$ 25.21
,
.

Put Option Evaluation

.
.
:
X
) (1 r f

PCS

:
rf t

P C S Xe

: = , $3.97
,%10 = .
= , $40 = ,$45
.

- " Forward Contracts

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23

 - " Future Contrats

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Clearing Houses

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S&P500

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Margin

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Futures Clearing house ,
%10 -5 15 ) 1500
$2500 ( .
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-1 :Initial Margin
, %10-5
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-2 :Maintenance Margin
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Making-to-

Market

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27

 "
" SWAPS
- :

.


.
.
.Contreparties

:
-1
-2
-3
-4
-5
-6 .




.
- :
:
Interest Rate Swaps
Currency Swaps
Commodity Swaps
Swapions

-1
-2
-3
-4

-1 Interest Rate Swaps

28


,

Bankruptcy .

.
-1
:Floating Interest Rate Swaps

Fixed For

) Plain vanilla
( ,

.
Fixed-Rate Payer

) ( Floating
Rate Payer .

) .LIBOR (London Interbank Offering Rate
LIBOR
, LIBOR
.
LIBOR Money Rates ,

LIBOR .LIBOR FLAT
30 +
.

.
Notional Principal

.
)
(...

29

 .Paper Profits Or Losses LIBOR

T
LIBOR .T-1

) (1
,
, 1996\3\1
%5 100
,$
LIBOR .
.
:
) (

5%

) (

LIBOR
:

Swapti
on

1996\9\1 :
= 100 * 2,5 = %5
=

LIBOR * 6\12 * 100

= 2,1

% 4,2 = 1996\3\1
12\6 ) 6 ( .
:
1997\3\1 :
= 100 * 2,5 = %5
=
= 2,4

LIBOR

) 100 * 12\6 *(1996\9\1

% 4,8 = 1996\9\1
12\6 ) 6 ( .

2,5 ,
30

Swapti
on


6 .

LIBOR

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:B

A $100000000 5
%8 .
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$100000000 )(
.%8
B $100000000
.%12 .

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.$100000000

A
%8
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.LIBOR
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360

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floting

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M I floting I fixed

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-2
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Cap
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Currency Swaps

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 :
.1
Capital
Market Swaps
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Money Market Swaps

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10 $ 5,
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10%

11,2%

6
LIBOR+0.3%

LIBOR+1%

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33


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%1,2 %0,7
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%10
LIBOR+1% .

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6 10.$

LIBOR

%9,95 .
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-1 %10 .
-2 %9,95 .
-3 LIBOR .

%0,05 + . %0,25
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-1 LIBOR+1% .
-2 .
-3 %9,95 .

%10,95 , %0,25
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34


%0,25 , %0,5.
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-125-119-115-111-109-107-105-102-95-80-65
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 ,

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2009 \7 \ 4

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-1
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2005
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84 . 2001
-4 .
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40

An Introduction To Derivatives And Risk -5

Management
Don M. Chance Robert Brookers
Thomson higher education USA 2008
. " " -6
.

:
2008 13 -1
337 -2
2009 \ 1430

:
WWW.Siironline.org -1
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WWW.Aljazeeratalk.net -5

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