Electronic Trading Risks
The risks associated with automated trading are: High-frequency traders’ arms race: The competition... Read More
-c. Describe and compare how the interest rate, currency, and equity swaps are priced and valued;
–d Calculate and interpret the no-arbitrage value of interest rate, currency, and equity swaps.
–a. Describe and interpret the binomial option valuation model and its component terms;
-c. Identify an arbitrage opportunity involving options and describe the related arbitrage;
-d. Calculate and interpret the value of an interest rate option using a two-period binomial model;
-f. Assumptions of the Black-Scholes-Merton Option Valuation Model;
-i. Describe how the Black model is used to value European options on futures;
-j. Describe how the Black model is used to value European interest rate options and European swaptions;
-k. Interpret each of the option Greeks;
-l. Describe how a delta hedge is executed;
-m. Describe the role of gamma risk in options trading;
-n. Define implied volatility and explain how it is used in options trading.