Documente Academic
Documente Profesional
Documente Cultură
Izzy Nelken
Super Computer Consulting, Inc.
3943 Bordeaux Drive
Northbrook, IL 60062
(847) 562-0600
www.supercc.com
www.optionsprofessor.com
Izzy@supercc.com
Medium risk /
medium P&L
“Approximate”
High risk /
Low risk / relationship
high P&L
low P&L
Position
“Arbitrage”
Historical /
One-2-One intuition
800 bps
700 bps
600 bps
Ford Spread to LIBOR (bps)
Oct. 2002
500 bps
If you are here,
how do you
400 bps know where the
cliff lies?
300 bps
Current
200 bps Jan. 2000
100 bps
0 bps
$0 $5 $10 $15 $20 $25 $30 $35
Ford Equity Price
T CDS
σ50
L, σ y–r
σ25
160
140
120
100
80
60
40
20
0
0 10 20 30 40 50 60 70
160
140
120
100
80
60
40
20
0
0 5 10 15 20 25 30 35 40
90
80
70
60
50