Credit Spreads and Credit-sensitive Fi ...
A credit spread is the difference in yield between a corporate bond and... Read More
-a. Describe the carry arbitrage model without underlying cashflows and with underlying cashflows;
-f. Describe how currency swaps are priced, and calculate and interpret their no- arbitrage value;
-g. Describe how equity swaps are priced, and calculate and interpret their no- arbitrage value.
-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. Identify assumptions of the Black–Scholes–Merton option valuation model;
-i. Describe how the Black model is used to value European options on futures;
-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.