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Investment Analysis of the Constructed Notes Based on Volatility Trading

Author: LiaoHang
Tutor: WangJinZhong
School: Southwestern University of Finance and Economics
Course: Financial Engineering
Keywords: Bank financial products Volatility Trading Volatility swaps
CLC: F224
Type: Master's thesis
Year: 2010
Downloads: 144
Quote: 0
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Abstract


In recent years, financial products issued by commercial banks in China, either in quantity or kind, have demonstrated almost explosive development trend. In general, bank financial products on the one hand can effectively broaden our investor investment channels provide profit growth, on the other hand, commercial banks, this should allow the participants to achieve a \; but from the practical point of view, the situation is not so. In particular, continue to emerge as a range of financial products zero income or negative income \The gains also naturally become the focus of attention of the investors. The basis of many financial products, a class of financial products linked to the price volatility of the underlying asset and product revenue, which is quite interesting: many different financial products, it is often claimed that in the next period of time, and linked to the product revenue asset prices either up or down, as long as they fall within a certain price range, product investors will get some income. Return characteristics of this product, of many uninformed ordinary investors, attractive; However, the actual operation seen in the proceeds of such products is not ideal. Such financial products is based on the underlying asset price volatility trading, but due to the issuer bank details on product design closely guarded secret, and volatility trading is very complicated, so domestic academia that type of financial product The study is not complete, especially in the selection and the expected return of financial products on a quantitative model of volatility trading tools perfect space. This paper first reviews a the domestic scholars research literature on volatility trading product design, combing the results of quantitative research scholars pricing of financial products research conclusions and domestic scholars investment volatility trading; Secondly, according to the product revenue characteristics of volatility exchange-traded products are divided into two standard forms and details of the principle of volatility trading and trading tools (option portfolios and volatility swaps) content; Third, the proposed commercial bank the trading tool selection criteria, analysis of commercial banks should choose which trading tools volatility trading income of trading tools and financial products revenue conversion mechanism between commercial banks in which the role of other important issues, pointed out that \swap \class financial products, and to get a view of the huge amount of risk-free profits; Finally, with the help of the Monte Carlo method, a general quantitative model is proposed to determine the volatility of exchange-traded products expected investment income, and through case studies of a class of mixed-return characteristics cumulative volatility trading financial product - issued by the Bank of the Netherlands \This article supplement and amend domestic volatility trading financial product design, deepen the understanding of ordinary investors on volatility trading financial products and provide a quantitative analysis model of the expected return on investment of such products, so that ordinary investors can more To rational investment analysis of such products.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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