金融风险与金融机构英文版HullRMFICh03.pptVIP

How Traders Manage Their Exposures Chapter 3 A Trader抯 Gold Portfolio. How Should Risks Be Hedged? (Table 3.1, page 56) 117,000 Total 25,000 Exotics ?10,000 Options 80,000 Swaps 2,000 Futures Contracts ?60,000 Forward Contracts 180,000 Spot Gold Value ($) Position Delta Delta of a portfolio is the partial derivative of a portfolio with respect to the price of the underlying asset (gold in this case) Suppose that a $0.1 increase in the price of gold leads to the gold portfolio increasing in value by $100 The delta of the portfolio is 1000 The portfolio could be hedged against short-term changes in the price of gold by selling 1000 ounces of gold. This is known as making the portfolio delta neutral Linear vs Nonlinear Products When the price of a product is linearly dependent on the price of an underlying asset a ``hedge and forget拻 strategy can be used Non-linear products require the hedge to be rebalanced to preserve delta neutrality Example (page 59) A bank has sold for $300,000 a European call option on 100,000 shares of a nondividend paying stock S0 = 49, K = 50, r = 5%, s = 20%, T = 20 weeks, m = 13% The Black-Scholes value of the option is $240,000 How does the bank hedge its risk to lock in a $60,000 profit? Delta of the Option Option price A B Slope = D Stock price Delta Hedging Initially the delta of the option is 0.522 This means that 52,200 shares are purchased to create a delta neutral position But, if a week later delta falls to 0.458, 6,400 shares must be sold to maintain delta neutrality Tables 3.2 and 3.3 (pages 61 and 62) provide examples of how delta hedging might work for the option. Gamma Gamma (G) is the rate of change of delta (D) with respect to the price of the underlying asset Gamma is greatest for options that are close to the money Gamma Measures the Delta Hedging Errors Caused By Curvature (Figure 3.4, page 64) S C