1 / 4

Hand-Outs, I

Hand-Outs, I. Hull’s Chapters 2, 3 and 5. Futures markets. Next week’s topic. (Two-word version: think forward.) A note about ”Riding the yield curve”. Fits surprisingly well w/ Course Work #2 --- today’s main topic. Hand-Outs, II.

Download Presentation

Hand-Outs, I

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript


  1. Hand-Outs, I • Hull’s Chapters 2, 3 and 5. Futures markets. Next week’s topic. (Two-word version: think forward.) • A note about ”Riding the yield curve”. Fits surprisingly well w/ Course Work #2 --- today’s main topic. MATH 2510: Fin. Math. 2

  2. Hand-Outs, II • A note about lognormal distributions etc. – in light of yesterday’s Workshop(s). • Exercises for Wed. Nov. 24 Workshop. Note the singular – now Huamao gets time off. • … and as usual: these slides MATH 2510: Fin. Math. 2

  3. Course Work #2 Nice work. Hard work –though Q1+2 wasn’t really supposed to. Yields seem to indicate annual coupons. I don’t know why. I’ll post my spreadsheet on the course homepage. Q3 is useful. Now let’s look at some pictures. MATH 2510: Fin. Math. 2

  4. Riding the Yield Curve Strategy: Invest @ the highest forward rate. That is: where the zero-copon yield curve is steepest, not highest. You hit pay dirt if the yield curve doesn’t move. But that’s a big ”if”. The strategy is risky and/or the market is likely to move against you. Equations, pictures and numbers in the note. MATH 2510: Fin. Math. 2

More Related