Topics in Derivatives

Topics in Derivatives

4.11 - 1251 ratings - Source

Over the last decades the financial markets worldwide underwent tremendous changes, which gave birth to an infinite number of new financial products. Derivatives are the most important innovation with regard to volume that are currently issued on many different underlyings, thus enabling investors to easily buy or sell many different financial products or commodities. This work takes the different aspects of derivatives into account and, after explaining the theoretical background, presents three possible applications for derivatives. First, technical trading methods are applied to intraday futures data, a method which has gained great importance during the last few years. In the next section, a pricing model is developed for profit participation certificates by means of a structural form model. Later, this model is used to price several profit participation certificates traded at the EUWAX in Stuttgart. In the last part, an event study methodology is applied by using implied volatilities to test the influence of a change in a firm's leverage on its risk, as measured by the volatility implied in option prices.I would especially like to thank Professor Dr. Manfred Steiner for his excellent supervision and support of my dissertation project. ... Our team assistant Christine Schuster was a also very supportive during my time at the Chair of Finance. ... Augsburg, December 2007 John Henning Fock Table of Contents List of Tables .

Title:Topics in Derivatives
Author:John Henning Fock
Publisher:BoD – Books on Demand - 2008


You Must CONTINUE and create a free account to access unlimited downloads & streaming