Swaptions-and-Modeling-business-and-finance-homework-help

1. Analyze and discuss the usefulness of swaptions (swap options) relative to the current economic environment. Give three specific examples of how a bank can use this derivative both for risk management and speculation.

2. A primary responsibility of a financial model developer is to decide what to and what not share with the end user of the model, discuss this aspect of modeling relative to options and derivative; for example, consider the case of Barclay’s Capital acquisition of Lehman Brothers assets.

*Justify your posting with a minimum of three quality academic and/or financial industry references with in-text citations for each question

*APA format

*Let me know if you have any questions

Some references to consider:

  • Bernhard, W. & Lebland, D. (2002) Democratic Processes, Political Risk, and Foreign Exchange Markets. American Journal of Political Science (2002) 46(2), 316-333.
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  • Avramidis, A. N., & L’Ecuyer, P. (2006). Efficient Monte Carlo and Quasi-Monte Carlo Option Pricing Under the Variance Gamma Model. Management Science, 52(12), 1930-1944.
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  • Salvador, Cruz Rambaud, and Ana Maria Sanchez Perez. “Assessing the Option to Abandon an Investment Project by the Binomial Options Pricing Model.”Advances in Decision Sciences (2016).
    NECB eLibrary (Links to an external site.)Links to an external site. (ProQuest database)
  • Costabile, M., Massabó, I., & Russo, E. (2006). An adjusted binomial model for pricing asian options. Review of Quantitative Finance and Accounting, 27(3), 285. doi:http://dx.doi.org/10.1007/s11156-006-9432-9.
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  • Blynski, Lev, and Alex Faseruk. “COMPARISON OF THE EFFECTIVENESS OF OPTION PRICE FORECASTING:BLACK-SCHOLES Vs. SIMPLE AND HYBRID NEURAL NETWORKS.” Journal of Financial Management & Analysis 19.2 (2006): 46-58.ProQuest.
    NECB eLibrary (Links to an external site.)Links to an external site. (ProQuest database)
  • Fink, Jason D., and Kristin E. Fink. “Monte Carlo Simulation for Advanced Option Pricing: A Simplifying Tool.” Journal of Applied Finance 16.2 (2006): 92-105.
    NECB eLibrary (Links to an external site.)Links to an external site. (ProQuest database)
  • Baker, H. K., Shantanu Dutta, and Samir Saadi. “Management Views on Real Options in Capital Budgeting.” Journal of Applied Finance 21.1 (2011): 18-29.
    NECB eLibrary (Links to an external site.)Links to an external site. (ProQuest database)
 
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