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Topic: Derivative securities

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In the News (Tue 23 Apr 19)

  SEC Speech: The Growth of Derivative Securities New York, New York: Dec. 8, 2005 (Chester S. Spatt)
Of course, the valuation of a derivative security depends upon its riskiness and required risk premium, while the risk of a security can be cast as the sensitivity of its value to changes in the relevant economic state variable.
Derivative securities can be used to transform the underlying economic risk or exposure of an investor.
These modifications can be implemented by the use of derivative securities such as by adjusting through the use of liquid futures contracts or by swapping the desired addition to the basic exposure for the desired subtraction to the basic exposure.
www.sec.gov /news/speech/spch120805css.htm   (2351 words)

  Derivative (finance) - Wikipedia, the free encyclopedia
High-Risk Mortgage Securities: Securities where the price or expected average life is highly sensitive to interest rate changes, as determined by the FFIEC policy statement on high-risk mortgage securities.
Other uses of derivatives are to gain an economic exposure to an underlying security in situations where direct ownership of the underlying is too costly or is prohibited by legal or regulatory restrictions, or to create a synthetic short position.
One should keep in mind that one purpose of derivatives is as a form of insurance, to move risk from someone who cannot afford a major loss to someone who could absorb the loss, or is able to hedge against the risk by buying some other derivative.
en.wikipedia.org /wiki/Derivative_securities   (1729 words)

 Encyclopedia: Derivative securities   (Site not responding. Last check: 2007-11-02)
In finance, a derivative security is a contract that specifies the rights and obligations between the issuer of the security and the holder to receive or deliver future cash flows (or exchange of other securities or assets) based on some future event.
The terms and payments can be derived from the price of a security or commodity, a published statistics, an event (such as default on payment), or something else.
One use of derivative securities is as a tool to transfer risk.
www.nationmaster.com /encyclopedia/Derivative-securities   (1459 words)

 [No title]   (Site not responding. Last check: 2007-11-02)
In finance, a derivative security or derivative is a contract which specifies the right or obligation between two parties to receive or deliver future cash flows (or exchange of other securities or assets) based on some future event.
Another way of defining a derivative is that it is a security whose value is determined (derived) from one or more other securities, commodities, or events.
Derivatives are one of the most rapidly growing and changing areas of modern finance.
www.informationgenius.com /encyclopedia/d/de/derivative_security.html   (626 words)

 Valuation of Derivative Securities
The two key inputs in valuing derivative securities are the price of the underlying asset and the volatility of the asset’s return.
The inputs needed to implement this model are often difficult to calculate and, therefore, the calculation requires careful and diligent analysis to ensure consistency between the value of the derivative in question and the value of its underlying asset.
Additional complexity is introduced when valuing derivative securities where the underlying assets consist of stock in a privately held firm.
www.axiomvaluation.com /Services/DerivativeSecurities.asp   (398 words)

 Derivative securities   (Site not responding. Last check: 2007-11-02)
Bangladesh - Securities and Exchange Commission Mission is to protect the interests of securities investors; develop fair, transparent and efficient securities markets; and ensure proper compliance with securities laws.
Securities Fraud InfoCenter Securities fraud news and information for people who are interested in learning about securities fraud and securities arbitration.
International Federation of Stock Exchanges The trade organization for regulated securities and derivative markets, settlement institutions and related clearing houses, and their diverse services to capital markets.
www.serebella.com /encyclopedia/article-Derivative_securities.html   (381 words)

 Derivative security
Derivatives which are fully standardized like futures and many options are generally traded through a securities exchange or futures exchange.
The fundamental nature of a derivative is that unlike a bond, as in a Treasury bond, or a stock, or even physical stock or commodity (ie: some raw material, product), a derivative has no physicalistic purpose or reason for existence.
Most financial planners caution against this, pointing out that an investor in derivative securities often assumes a great deal of risk, and therefore investments in derivatives must be made with caution, especially for the small investor (http://news.bbc.co.uk/1/hi/business/2817995.stm).
www.omniknow.com /common/wiki.php?in=en&term=Derivative_securities   (1883 words)

 New Page 1   (Site not responding. Last check: 2007-11-02)
Securities companies have been accused of failing to put the proper ratings on securities due to relationships that investment banks have with companies they rate.
Derivatives are financial instruments whose value is based on underlying commodities or financial instruments such as interest rates, stock or bond prices or precious metals.
Sometimes derivatives are due to be settled many years in the future and depend on the creditworthiness of the counterparties that will reap profits or losses (Buffet, 2003).
www.e-businessethics.com /lf/article4.html   (4331 words)

 Derivative Securities   (Site not responding. Last check: 2007-11-02)
Derivative Securities: The Complete Investor's Guide provides investors and investment managers with the technical and strategic tools they need to make derivatives an integral part of their investment arsenal.
Accessible and intuitive, Derivative Securities offers advanced undergraduates, MBA students, and executives the theory and the practical tools needed to price and hedge derivatives in the professional marketplace.
Written by two of the foremost derivative pricing experts in the world, this text makes the theory and practice of pricing and hedging derivative securities accessible without "watering down" the material.
www.defaultrisk.com /bk_turnbull1.htm   (320 words)

 Session Ten: More on Derivative Securities
A convertible security gives the holder the right to convert one type of security into a stipulated amount (conversion ratio) of another security at the investor's discretion.
Derivative securities can be used to change a portfolio's asset allocation quickly, easily, and in a cost-effective manner.
As the manager periodically sells off securities to meet the desired cash outflow, derivative securities can be used to maintain the portfolio's exposure to the stock market.
www2.una.edu /kvrensselaer/Class10.html   (1786 words)

 Options, Forward Contracts, Swaps and Other Derivative Securities
Their economic function is to transfer risk from those who do not want to bear it to those who are willing to bear it for a fee.
The leader in derivative securities is Chemical Bank which has contracts for $2.5 trillion in securities.
The sizes of the involvement of banks and stock brokerage firms in derivative securities raises fears that there could be a catastrophic loss that would bring about a collapse of the financial system.
www.sjsu.edu /faculty/watkins/deriv.htm   (932 words)

 Derivative Securities (2000/20001 1st Semester) Course Outline
This course aims to provide students with understanding of (i) the fundamental knowledge for the most common derivative securities in financial market, (ii) the financial derivative trading strategies used to manage risk or make speculation, and (iii) the recent development of derivative securities and trading techniques in financial markets.
On the theoretical side, this course introduces fundamental pricing methods for derivative securities (that is the implementation cost of risk management), risk hedging and trading strategies for different tools of financial risk management.
A project of risk management by financial derivative securities in Hong Kong are specially designed to let you apply the theoretical knowledge to practice.
www.econ.hku.hk /~alexchan/course/ds20002001_1st/index.html   (651 words)

 Financial Engineering at Schulich School of Business - Courses
This course blends theory and practice that incorporates a new approach to teaching derivative securities.
Students are assumed to have taken an introductory course in derivatives.
The objective of this course is to develop modeling skills needed to value the full range of derivative securities: from exchange-traded options to over-the-counter products including exotic options, embedded options and credit derivatives.
www.yorku.ca /fineng/group1/courses.html   (1228 words)

 Derivative security Details, Meaning Derivative security Article and Explanation Guide
The value is influenced by the features of the derivative contract, which may include the timing of the contract fulfillment, the value of the underlying security or commodity, and other factors such as volatility.
According to the BIS (Bank for International Settlements), as of December 2003, the "total estimated notional amount of outstanding OTC contracts stood at $197.177 trillion" while "exchange-traded contracts" were $36.750 trillion.
Most financial planners caution against this, pointing out that an investor in derivative securities often assumes a great deal of risk, and therefore investments in derivatives must be made with caution, especially for the small investor.
www.e-paranoids.com /d/de/derivative_security.html   (816 words)

 Derivative_securities   (Site not responding. Last check: 2007-11-02)
From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives.
Derivatives Theory meets Practice : This book provides a healthy dose of practical wisdom for options traders so that they don't blindly follow their mathematical models into oblivion.
A Masterpiece Resource for Derivatives Students and Traders : As both a professor of finance and a practitioner in the field, I've used several books for teaching, but find this book to be one of the most useful and resourceful.
books.mysic.com /Derivative_Securities   (1643 words)

 Financial Pipeline Derivatives Page
Derivatives are financial securities whose value is derived from another "underlying" financial security.
Derivatives can be used hedging, protecting against financial risk, or can be used to speculate on the movement of commodity or security prices, interest rates or the levels of financial indices.
A derivative financial product is a contrived instrument, the value of which depends indirectly on the price of a cash instrument.
www.finpipe.com /derivatives.htm   (230 words)

 Derivative Securities   (Site not responding. Last check: 2007-11-02)
For example, a farmer may seek to sell a futures contract in a commodity such as wheat at a fixed price to a speculator.
Federal Reserve Board chairman Alan Greenspan commented in 2003 that he believed that the use of the use of derivatives have softened the impact of the economic downturn at beginning of the twenty-first century.
Through a combination of poor judgment on his part, lack of oversight by management, and unfortunate outside events, Leeson incurred a 1.3 billon dollar loss that bankrupted the centuries old financial institution.
www.financeria.com /derivative-securities.htm   (819 words)

 Derivative Securities   (Site not responding. Last check: 2007-11-02)
My worst derivatives book I doubt that I'll ever be going back to it for refernce except when forced to.
First, my review refers to the 1997 3rd edition.Since this book is regarded as the bible of derivatives (it was also my first introduction) I will leave it to others to praise it and concentrate instead on what's wrong with it.
Students of derivative pricing techniques are often in a dilemma: Coming from their MBA or undergrad course, they have just build a "brealy-myers" type of intuition on options.
www.freeglossary.com /p:0538877405   (541 words)

 Introduction to `Pricing and Hedging of Derivative Securities'
Using those basic securities, one can try to construct a trading strategy which replicates the payoff in the sense that in every possible future scenario, its value at the time of maturity of the claim will equal the payoff to the claim.
The derivatives of the function with respect to the basic securities prices are called the deltas of the claim, and they tell us how many shares of each security to hold in the replicating trading strategy.
To flesh out this story, we need to model the securities prices as Ito processes, define what it means for a trading strategy to be self-financing, and introduce the concepts of state price processes and risk adjusted probabilities.
www.derivativesmath.com /intro.html   (489 words)

 Derivative Securities - by Robert A. Jarrow, Stuart M. Turnbull
The risk of losing your students in the complex maze of derivative securities issues can be great.
Derivative Securities, 2e by Robert Jarrow and Stuart Turnbull takes the risk out of your classroom by making the theory and practice of pricing and hedging derivative securities accessible to students in a simple and complete manner.
Written by two of the foremost experts in the industry, Derivative Securities, 2e includes crucial coverage of option pricing, futures pricing, equity, index, foreign currency, commodity, and interest rate derivatives as well as exotic options.
www.msfinance.ethz.ch /application/DerivativeSecurities.html   (246 words)

 Citations: Dynamic hedging portfolios for derivative securities in the presence of large transaction costs - ...
Avellaneda, M. and Paras, A. Dynamic Hedging portfolios for derivative securities in the presence of large transaction costs.
derived the modi ed volatility = 0 (1 A sign(V SS) 1=2 (1) from a binomial model using the algorithm of Bensaid et al.
However, explicit schemes have the disadvantage that restrictive conditions on the discretization parameters (for instance, the ratio of the time and space step) are needed to obtain stable, convergent schemes [35] Moreover, the convergence order is only one in time and two in space.
citeseer.ist.psu.edu /context/456398/3833   (459 words)

 Citations: Managing the volatility risk of portfolios of derivative securities: The Lagrangian Uncertain Volatility ...
Avellaneda, M and Paras, A 1996 Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertainty model.
suppose that there is a family of traded calls or other derivative securites which, can be used, together with the underlying, as hedging instruments.
Avellaneda, M. and Par as, A.; Managing the volatility risk of portfolios of derivative securities; the Lagrangian uncertain volatility model, Applied Mathematical Finance, 3, 21-52, 1996.
citeseer.ist.psu.edu /context/95587/69051   (1340 words)

Derivative securities are a result of financial innovation and their value is dependent upon the value of an underlying security.
They are also called contingent claims since their value is contingent upon the value of another security.
Derivatives "hedging," is based on the idea that the change in the value of a derivatives position can offset the change in the value of the underlying asset.
www.vipessays.com /termpaper/DERIVATIVE_SECURITIES_RESEARCH-161896.html   (182 words)

 OPTIONS, FUTURES, AND OTHER DERIVATIVE SECURITIES. 2ND ED.   (Site not responding. Last check: 2007-11-02)
It is also suitable for practitioners who want to acquire a working knowledge of how derivative securities can be analyzed.
One of the key decisions that must be made by an author who is writing in the area of derivative securities concerns the use of mathematics.
The feature of this book that distinguishes it from others in the same area is that it provides a unifying approach to the valuation of all derivative securities-not just futures and options.
mgv.mim.edu.my /books/bookpref/9528.htm   (460 words)

 EconPapers: State Prices Implicit in Valuation Formulae for Derivative Securities: A Martingale Approach   (Site not responding. Last check: 2007-11-02)
Abstract: A derivative asset is a security whose payoff is entirely determined by the prices of one or more underlying securities.
These are the prices of elementary securities that pay one unit if the realisation of the underlying price path belongs to some specified set, and nothing otherwise.
The valuation formulae considered satisfy a partial differential equation which is common in the literature on derivatives.
netec.wustl.edu /WoPEc/data/Papers/fmgfmgdpsdp181.html   (441 words)

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