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Beschreibung
Fully revised and updated from the hugely popular first edition, this book is an accessible and convenient one-volume introduction to international capital markets, ideal for those entering or planning to enter investment banking or asset management. As well as serving as an invaluable reference tool for professionals already working in the industry looking to extend their knowledge base it will also benefit all those working in trading, sales and support roles.
Describing how the key products and markets work, who the principle participants are and their overall goals and objectives, Andrew Chisholm provides a thorough overview of the global capital markets. The book covers a wide range of equity, debt, foreign exchange and credit instruments as well as the principal derivative products. In a step-by-step fashion, making extensive use of real world cases and examples, it explains money markets, foreign exchange, bond markets, cash equity markets, equity valuation techniques, swaps, forwards, futures, credit derivatives, options, option risk management and convertible bonds. An extensive glossary also explains concisely many of the 'jargon' expressions used in the financial markets.
Boasting an international focus, examples are drawn from major international markets around the world. It makes extensive use of numerical examples and case studies to help explain a wide range of cash and derivative products used in the capital markets business. It covers both debt and equity products and includes new material on credit products such as collateralized debt obligations and credit derivative structures; equity fundamental analysis, portfolio theory and convertible bonds. Market data has been fully updated from the first edition and recent events such as the 'credit crisis' are discussed.
Describing how the key products and markets work, who the principle participants are and their overall goals and objectives, Andrew Chisholm provides a thorough overview of the global capital markets. The book covers a wide range of equity, debt, foreign exchange and credit instruments as well as the principal derivative products. In a step-by-step fashion, making extensive use of real world cases and examples, it explains money markets, foreign exchange, bond markets, cash equity markets, equity valuation techniques, swaps, forwards, futures, credit derivatives, options, option risk management and convertible bonds. An extensive glossary also explains concisely many of the 'jargon' expressions used in the financial markets.
Boasting an international focus, examples are drawn from major international markets around the world. It makes extensive use of numerical examples and case studies to help explain a wide range of cash and derivative products used in the capital markets business. It covers both debt and equity products and includes new material on credit products such as collateralized debt obligations and credit derivative structures; equity fundamental analysis, portfolio theory and convertible bonds. Market data has been fully updated from the first edition and recent events such as the 'credit crisis' are discussed.
Fully revised and updated from the hugely popular first edition, this book is an accessible and convenient one-volume introduction to international capital markets, ideal for those entering or planning to enter investment banking or asset management. As well as serving as an invaluable reference tool for professionals already working in the industry looking to extend their knowledge base it will also benefit all those working in trading, sales and support roles.
Describing how the key products and markets work, who the principle participants are and their overall goals and objectives, Andrew Chisholm provides a thorough overview of the global capital markets. The book covers a wide range of equity, debt, foreign exchange and credit instruments as well as the principal derivative products. In a step-by-step fashion, making extensive use of real world cases and examples, it explains money markets, foreign exchange, bond markets, cash equity markets, equity valuation techniques, swaps, forwards, futures, credit derivatives, options, option risk management and convertible bonds. An extensive glossary also explains concisely many of the 'jargon' expressions used in the financial markets.
Boasting an international focus, examples are drawn from major international markets around the world. It makes extensive use of numerical examples and case studies to help explain a wide range of cash and derivative products used in the capital markets business. It covers both debt and equity products and includes new material on credit products such as collateralized debt obligations and credit derivative structures; equity fundamental analysis, portfolio theory and convertible bonds. Market data has been fully updated from the first edition and recent events such as the 'credit crisis' are discussed.
Describing how the key products and markets work, who the principle participants are and their overall goals and objectives, Andrew Chisholm provides a thorough overview of the global capital markets. The book covers a wide range of equity, debt, foreign exchange and credit instruments as well as the principal derivative products. In a step-by-step fashion, making extensive use of real world cases and examples, it explains money markets, foreign exchange, bond markets, cash equity markets, equity valuation techniques, swaps, forwards, futures, credit derivatives, options, option risk management and convertible bonds. An extensive glossary also explains concisely many of the 'jargon' expressions used in the financial markets.
Boasting an international focus, examples are drawn from major international markets around the world. It makes extensive use of numerical examples and case studies to help explain a wide range of cash and derivative products used in the capital markets business. It covers both debt and equity products and includes new material on credit products such as collateralized debt obligations and credit derivative structures; equity fundamental analysis, portfolio theory and convertible bonds. Market data has been fully updated from the first edition and recent events such as the 'credit crisis' are discussed.
Über den Autor
About the author
ANDREW M. CHISHOLM has designed, developed and taught programmes in derivatives and finance since 1984. In that time he has worked with many of the largest financial institutions around the world, teaching corporate financiers, traders, sales and marketing staff, risk managers, analysts, fund managers, operations and technology professionals. He has worked extensively on seminars at senior management level as well as training programmes designed to introduce new graduate and MBA entrants to the securities industry. He was formerly Head of Professional Development for Europe at JP Morgan and is author of Derivatives Demystified published by John Wiley and Sons in 2004.
Inhaltsverzeichnis
Acknowledgment
1 Introduction: The Market Context
1.1 Capital and the Capital Markets
1.2 The Euromarkets (International Capital Markets)
1.3 Modern Investment Banking
1.4 The Clients of Investment Banks
1.5 About this Book
2 The Money Markets
2.1 Chapter Overview
2.2 Domestic Money Markets
2.3 US Domestic Markets
2.4 The European Central Bank (ECB)
2.5 Sterling Money Markets
2.6 The Bank of Japan
2.7 Systemic Risks and Moral Hazards
2.8 Treasury Bills
2.9 Discounting Treasury Bills
2.10 US Commercial Paper
2.11 Credit Risk on USCP
2.12 Bankers' Acceptances
2.13 The Eurocurrency Markets
[...]ocurrency Loans and Deposits
[...]ocurrency Interest and Day-Count
[...]ocurrency Certificates of Deposit
2.17 CD Yield-to-Maturity
[...]o-Commercial Paper
2.19 Repos and Reverses
2.20 Repo: Case Study
2.21 Other Features of Repos
2.22 Chapter Summary
3 The Foreign Exchange Market
3.1 Chapter Overview
3.2 Market Structure
3.3 FX Dealers and Brokers
3.4 Spot Foreign Exchange Deals
3.5 Sterling and Euro Quotations
3.6 Factors Affecting Spot FX Rates
3.7 Spot FX Trading
3.8 Spot Position Keeping
3.9 FX Risk Control
3.10 Cross-Currency Rates
3.11 Outright Forward FX Rates
3.12 Outright Forward FX Hedge: Case Study
3.13 Forward FX Formula
3.14 FX or Forward Swaps
3.15 FX Swap Two-Way Quotations
3.16 Chapter Summary
4 Major Government Bond Markets
4.1 Chapter Overview
4.2 Introduction to Government Bonds
4.3 Sovereign Risk
4.4 US Government Notes and Bonds
4.5 US Treasury Quotations
4.6 US Treasury Strips
4.7 Bond Pricing
4.8 Pricing Coupon Bonds: Examples
4.9 Detailed Bond Valuation: US Treasury
4.10 Bond Yield
4.11 Reinvestment Assumptions
4.12 Annual and Semi-Annual Bond Yields
4.13 UK Government Bonds
4.14 Japanese Government Bonds (JGBs)
[...]ozone Government Bonds
4.16 Chapter Summary
5 Bond Price Sensitivity
5.1 Chapter Overview
5.2 Bond Market Laws
5.3 Other Factors Affecting Price Sensitivity
5.4 Macaulay's Duration
5.5 Calculating Macaulay's Duration
5.6 Duration of a Zero
5.7 Modified Duration
5.8 Price Value of a Basis Point
5.9 Convexity
5.10 Measuring Convexity
5.11 Convexity Behaviour
5.12 Portfolio Duration
5.13 Dedication
5.14 Immunization
5.15 Duration-Based Hedges
5.16 Convexity Effects on Duration Hedges
5.17 Chapter Summary
6 The Yield Curve
6.1 Chapter Overview
6.2 Real and Nominal Interest Rates
6.3 Compounding Periods
6.4 The Yield Curve Defined
6.5 Theories of Yield Curves
6.6 Zero Coupon or Spot Rates
6.7 Bootstrapping
6.8 Spot Rates and the Par Curve
6.9 Pricing Models Using Spot Rates
6.10 Forward Rates
6.11 Discount Factors
6.12 Chapter Summary
7 Credit Spreads and Securitization
7.1 Chapter Overview
7.2 Basics of Credit Spreads
7.3 The Role of the Ratings Agencies
7.4 Credit Spreads and Default Probabilities
7.5 Credit Default Swaps
7.6 Index Credit Default Swaps
7.7 Basket Default Swaps
7.8 Credit-Linked Notes
7.9 Securitization and CDOs
7.10 Rationale for Securitization
7.11 Synthetic CDOs
7.12 Chapter Summary
8 Equity Markets and Equity Investment
8.1 Chapter Overview
8.2 Comparing Corporate Debt and Equity
8.3 Additional Features of Common Stock
8.4 Hybrid Securities
8.5 Equity Investment Styles
8.6 Efficient Markets
8.7 Modern Portfolio Theory (MPT)
8.8 Primary Markets for Common Stock
8.9 Subsequent Common Stock Issues
8.10 Secondary Markets: Major Stock Markets
8.11 Depository Receipts
8.12 Stock Lending
8.13 Portfolio (Basket) Trading
8.14 Chapter Summary
9 Equity Fundamental Analysis
9.1 Chapter Overview
9.2 Principles of Common Stock Valuation
9.3 The Balance Sheet Equation
9.4 The Income Statement
9.5 Earnings Per Share (EPS)
9.6 Dividend Per Share (DPS)
9.7 Ratio Analysis
9.8 Liquidity Ratios
9.9 Profitability Ratios
9.10 Leverage Ratios
9.11 Investor Ratios and Valuation
9.12 Applying Valuation Multiples
9.13 Firm or Enterprise Value Multiples
9.14 Chapter Summary
10 Cash Flow Models in Equity Valuation
10.1 Chapter Overview
10.2 The Basic Dividend Discount Model
10.3 Constant Dividend Growth Models
10.4 The Implied Return on a Share
10.5 Dividend Yield and Dividend Growth
10.6 Price/Earnings Ratio
10.7 Stage Dividend Discount Models
10.8 Two-Stage Model: Example
10.9 The Capital Asset Pricing Model (CAPM)
10.10 Beta
10.11 Estimating the Market Risk Premium
10.12 The Equity Risk Premium Controversy
10.13 CAPM and Portfolio Theory
10.14 Free Cash Flow Valuation
10.15 Forecasting Free Cash Flows
10.16 Weighted Average Cost of Capital (WACC)
10.17 Residual Value
10.18 WACC and Leverage
10.19 Assets Beta Method
10.20 Company Value and Leverage
10.21 Chapter Summary
11 Interest Rate Forwards and Futures
11.1 Chapter Overview
11.2 Forward Rate Agreements (FRAs)
11.3 FRA Application: Case Study
11.4 Borrowing Costs with an FRA Hedge
11.5 FRA Market Quotations
11.6 The Forward Interest Rate
11.7 Financial Futures
11.8 CME Eurodollar Futures
[...]odollar Futures Quotations
11.10 Futures Margining
11.11 Margining Example: EURIBOR Futures on Eurex
11.12 Hedging with Interest Rate Futures: Case Study
11.13 Futures Strips
11.14 Chapter Summary
Appendix: Statistics on Derivatives Markets
12 Bond Futures
12.1 Chapter Overview
12.2 Definitions
12.3 The CBOT 30-Year US Treasury Bonds Futures
12.4 Invoice Amount and Conversion Factors
12.5 Long Gilt and Euro-Bund Futures
12.6 Forward Bond Price
12.7 Carry Cost
12.8 The Implied Repo Rate
12.9 The Cheapest to Deliver (CTD) Bond
12.10 CTD Behaviour
12.11 Hedging with Bond Futures
12.12 Basis Risk
12.13 Hedging Non-CTD Bonds
12.14 Using Futures in Portfolio Management
12.15 Chapter Summary
13 Interest Rate Swaps
13.1 Chapter Overview
13.2 Swap Definitions
13.3 The Basic Interest Rate Swap Illustrated
13.4 Typical Swap Applications
13.5 Interest Rate Swap: Detailed Case Study
13.6 Interest Rate Swap Terms
13.7 Comparative Advantage
13.8 Swap Quotations and Spreads
13.9 Determinants of Swap Spreads
13.10 Hedging Swaps with Treasuries
13.11 Cross-Currency Swaps: Case Study
13.12 Cross-Currency Swap Revaluation
13.13 Chapter Summary
Appendix: Swap Variants
14 Interest Rate Swap Valuation
14.1 Chapter Overview
14.2 Valuing a Swap at Inception
14.3 Valuing the Swap Components
14.4 Swap Revaluation
14.5 Revaluation Between Payment Dates
14.6 The Forward Rate Method
14.7 Forward Rate Method on a Spreadsheet
14.8 Swap Rates and LIBOR Rates
14.9 Pricing a Swap from Futures
14.10 Hedging Interest Rate Risk on Swaps
14.11 Chapter Summary
15 Equity Index Futures and Swaps
15.1 Chapter Overview
15.2 Index Futures
15.3 Margining Procedures
15.4 Final Settlement and Spread Trades
15.5 Hedging with Index Futures: Case Study
15.6 Hedge Efficiency
15.7 Other Uses of Index Futures
15.8 Pricing an Equity Forward Contract
15.9 Index Futures Fair Value
15.10 The Basis
15.11 Index Arbitrage Trade
15.12 Running an Arbitrage Desk
15.13 Features of Index Futures
15.14 Equity Swaps
15.15 Managing the Risks on Equity Swaps
15.16 Structuring Equity Swaps
15.17 Benefits and Applications of Equity Swaps
15.18 Chapter Summary
16 Fundamentals of Options
16.1 Chapter Overview
16.2 Definitions
16.3 Basic Option Trading Strategies
16.4 Long Call: Expiry Payoff Profile
16.5 Short Call: Expiry Payoff Profile
16.6 Long Put: Expiry Payoff Profile
16.7 Short Put: Expiry Payoff Profile
16.8 Summary: Intrinsic and Time Value
16.9 CBOE Stock Options
16.10 CME S&P 500 Index Options
16.11 Stock Options on LIFFE
16.12 FT-SE 100 Index Options
16.13 Chapter Summary
Appendix: Exotic Options
17 Option Valuation Models
17.1 Chapter Overview
17.2 Fundamental Principles: European Options
17.3 Synthetic Forwards and Futures
17.4 American Options and Early Exercise
17.5 Binomial Trees
17.6 Expanding the Tree
17.7 Black-Scholes Model
17.8 Black-Scholes Assumptions
17.9 Chapter Summary
Appendix: Measuring Historic Volatility
18 Option Pricing and Risks
18.1 Chapter Overview
18.2 Intrinsic and Time Value Behaviour
18.3 Volatility Assumption and Option Pricing
18.4 DELTA ("OR ¿)
18.5 Delta Behaviour
18.6 GAMMA ("OR ³)
18.7 Readjusting the Delta Hedge
18.8 Gamma Behaviour
18.9 THETA (?)
18.10 Vega
18.11 Rho (p) and Summary of Greeks
18.12 Chapter Summary
Appendix: Delta and Gamma Hedging
19 Option Strategies
19.1 Chapter Overview
19.2 Hedging with Put Options
19.3 Covered Call Writing
19.4 Collars
19.5 Bull and Bear Spreads
19.6 Other Spread Trades
19.7 Volatility Revisited
19.8 Volatility Trading: Straddles and Strangles
19.9 Current Payoff Profiles
19.10 Profits and Risks on Straddles
19.11 Chapter Summary
20 Additional Option Applications
20.1 Chapter Overview
20.2 OTC and Exchange-traded Currency Options
20.3 Hedging FX Exposures with Options: Case Study
20.4 Pricing Currency Options
20.5 Interest Rate Options
20.6 Exchange-Traded Interest Rate Options
20.7 Caps, Floors, and Collars
20.8 Interest Rate Cap: Case Study
20.9 Pricing Caps and Floors: Black Model
20.10 Swaptions
20.11 Interest Rate Strategies
20.12 Convertible Bonds
20.13 CB Measures of Value
20.14 Conversion Premium and Parity
20.15 Convertible Arbitrage
20.16 Chapter Summary
Glossary of Financial Terms
Index
1 Introduction: The Market Context
1.1 Capital and the Capital Markets
1.2 The Euromarkets (International Capital Markets)
1.3 Modern Investment Banking
1.4 The Clients of Investment Banks
1.5 About this Book
2 The Money Markets
2.1 Chapter Overview
2.2 Domestic Money Markets
2.3 US Domestic Markets
2.4 The European Central Bank (ECB)
2.5 Sterling Money Markets
2.6 The Bank of Japan
2.7 Systemic Risks and Moral Hazards
2.8 Treasury Bills
2.9 Discounting Treasury Bills
2.10 US Commercial Paper
2.11 Credit Risk on USCP
2.12 Bankers' Acceptances
2.13 The Eurocurrency Markets
[...]ocurrency Loans and Deposits
[...]ocurrency Interest and Day-Count
[...]ocurrency Certificates of Deposit
2.17 CD Yield-to-Maturity
[...]o-Commercial Paper
2.19 Repos and Reverses
2.20 Repo: Case Study
2.21 Other Features of Repos
2.22 Chapter Summary
3 The Foreign Exchange Market
3.1 Chapter Overview
3.2 Market Structure
3.3 FX Dealers and Brokers
3.4 Spot Foreign Exchange Deals
3.5 Sterling and Euro Quotations
3.6 Factors Affecting Spot FX Rates
3.7 Spot FX Trading
3.8 Spot Position Keeping
3.9 FX Risk Control
3.10 Cross-Currency Rates
3.11 Outright Forward FX Rates
3.12 Outright Forward FX Hedge: Case Study
3.13 Forward FX Formula
3.14 FX or Forward Swaps
3.15 FX Swap Two-Way Quotations
3.16 Chapter Summary
4 Major Government Bond Markets
4.1 Chapter Overview
4.2 Introduction to Government Bonds
4.3 Sovereign Risk
4.4 US Government Notes and Bonds
4.5 US Treasury Quotations
4.6 US Treasury Strips
4.7 Bond Pricing
4.8 Pricing Coupon Bonds: Examples
4.9 Detailed Bond Valuation: US Treasury
4.10 Bond Yield
4.11 Reinvestment Assumptions
4.12 Annual and Semi-Annual Bond Yields
4.13 UK Government Bonds
4.14 Japanese Government Bonds (JGBs)
[...]ozone Government Bonds
4.16 Chapter Summary
5 Bond Price Sensitivity
5.1 Chapter Overview
5.2 Bond Market Laws
5.3 Other Factors Affecting Price Sensitivity
5.4 Macaulay's Duration
5.5 Calculating Macaulay's Duration
5.6 Duration of a Zero
5.7 Modified Duration
5.8 Price Value of a Basis Point
5.9 Convexity
5.10 Measuring Convexity
5.11 Convexity Behaviour
5.12 Portfolio Duration
5.13 Dedication
5.14 Immunization
5.15 Duration-Based Hedges
5.16 Convexity Effects on Duration Hedges
5.17 Chapter Summary
6 The Yield Curve
6.1 Chapter Overview
6.2 Real and Nominal Interest Rates
6.3 Compounding Periods
6.4 The Yield Curve Defined
6.5 Theories of Yield Curves
6.6 Zero Coupon or Spot Rates
6.7 Bootstrapping
6.8 Spot Rates and the Par Curve
6.9 Pricing Models Using Spot Rates
6.10 Forward Rates
6.11 Discount Factors
6.12 Chapter Summary
7 Credit Spreads and Securitization
7.1 Chapter Overview
7.2 Basics of Credit Spreads
7.3 The Role of the Ratings Agencies
7.4 Credit Spreads and Default Probabilities
7.5 Credit Default Swaps
7.6 Index Credit Default Swaps
7.7 Basket Default Swaps
7.8 Credit-Linked Notes
7.9 Securitization and CDOs
7.10 Rationale for Securitization
7.11 Synthetic CDOs
7.12 Chapter Summary
8 Equity Markets and Equity Investment
8.1 Chapter Overview
8.2 Comparing Corporate Debt and Equity
8.3 Additional Features of Common Stock
8.4 Hybrid Securities
8.5 Equity Investment Styles
8.6 Efficient Markets
8.7 Modern Portfolio Theory (MPT)
8.8 Primary Markets for Common Stock
8.9 Subsequent Common Stock Issues
8.10 Secondary Markets: Major Stock Markets
8.11 Depository Receipts
8.12 Stock Lending
8.13 Portfolio (Basket) Trading
8.14 Chapter Summary
9 Equity Fundamental Analysis
9.1 Chapter Overview
9.2 Principles of Common Stock Valuation
9.3 The Balance Sheet Equation
9.4 The Income Statement
9.5 Earnings Per Share (EPS)
9.6 Dividend Per Share (DPS)
9.7 Ratio Analysis
9.8 Liquidity Ratios
9.9 Profitability Ratios
9.10 Leverage Ratios
9.11 Investor Ratios and Valuation
9.12 Applying Valuation Multiples
9.13 Firm or Enterprise Value Multiples
9.14 Chapter Summary
10 Cash Flow Models in Equity Valuation
10.1 Chapter Overview
10.2 The Basic Dividend Discount Model
10.3 Constant Dividend Growth Models
10.4 The Implied Return on a Share
10.5 Dividend Yield and Dividend Growth
10.6 Price/Earnings Ratio
10.7 Stage Dividend Discount Models
10.8 Two-Stage Model: Example
10.9 The Capital Asset Pricing Model (CAPM)
10.10 Beta
10.11 Estimating the Market Risk Premium
10.12 The Equity Risk Premium Controversy
10.13 CAPM and Portfolio Theory
10.14 Free Cash Flow Valuation
10.15 Forecasting Free Cash Flows
10.16 Weighted Average Cost of Capital (WACC)
10.17 Residual Value
10.18 WACC and Leverage
10.19 Assets Beta Method
10.20 Company Value and Leverage
10.21 Chapter Summary
11 Interest Rate Forwards and Futures
11.1 Chapter Overview
11.2 Forward Rate Agreements (FRAs)
11.3 FRA Application: Case Study
11.4 Borrowing Costs with an FRA Hedge
11.5 FRA Market Quotations
11.6 The Forward Interest Rate
11.7 Financial Futures
11.8 CME Eurodollar Futures
[...]odollar Futures Quotations
11.10 Futures Margining
11.11 Margining Example: EURIBOR Futures on Eurex
11.12 Hedging with Interest Rate Futures: Case Study
11.13 Futures Strips
11.14 Chapter Summary
Appendix: Statistics on Derivatives Markets
12 Bond Futures
12.1 Chapter Overview
12.2 Definitions
12.3 The CBOT 30-Year US Treasury Bonds Futures
12.4 Invoice Amount and Conversion Factors
12.5 Long Gilt and Euro-Bund Futures
12.6 Forward Bond Price
12.7 Carry Cost
12.8 The Implied Repo Rate
12.9 The Cheapest to Deliver (CTD) Bond
12.10 CTD Behaviour
12.11 Hedging with Bond Futures
12.12 Basis Risk
12.13 Hedging Non-CTD Bonds
12.14 Using Futures in Portfolio Management
12.15 Chapter Summary
13 Interest Rate Swaps
13.1 Chapter Overview
13.2 Swap Definitions
13.3 The Basic Interest Rate Swap Illustrated
13.4 Typical Swap Applications
13.5 Interest Rate Swap: Detailed Case Study
13.6 Interest Rate Swap Terms
13.7 Comparative Advantage
13.8 Swap Quotations and Spreads
13.9 Determinants of Swap Spreads
13.10 Hedging Swaps with Treasuries
13.11 Cross-Currency Swaps: Case Study
13.12 Cross-Currency Swap Revaluation
13.13 Chapter Summary
Appendix: Swap Variants
14 Interest Rate Swap Valuation
14.1 Chapter Overview
14.2 Valuing a Swap at Inception
14.3 Valuing the Swap Components
14.4 Swap Revaluation
14.5 Revaluation Between Payment Dates
14.6 The Forward Rate Method
14.7 Forward Rate Method on a Spreadsheet
14.8 Swap Rates and LIBOR Rates
14.9 Pricing a Swap from Futures
14.10 Hedging Interest Rate Risk on Swaps
14.11 Chapter Summary
15 Equity Index Futures and Swaps
15.1 Chapter Overview
15.2 Index Futures
15.3 Margining Procedures
15.4 Final Settlement and Spread Trades
15.5 Hedging with Index Futures: Case Study
15.6 Hedge Efficiency
15.7 Other Uses of Index Futures
15.8 Pricing an Equity Forward Contract
15.9 Index Futures Fair Value
15.10 The Basis
15.11 Index Arbitrage Trade
15.12 Running an Arbitrage Desk
15.13 Features of Index Futures
15.14 Equity Swaps
15.15 Managing the Risks on Equity Swaps
15.16 Structuring Equity Swaps
15.17 Benefits and Applications of Equity Swaps
15.18 Chapter Summary
16 Fundamentals of Options
16.1 Chapter Overview
16.2 Definitions
16.3 Basic Option Trading Strategies
16.4 Long Call: Expiry Payoff Profile
16.5 Short Call: Expiry Payoff Profile
16.6 Long Put: Expiry Payoff Profile
16.7 Short Put: Expiry Payoff Profile
16.8 Summary: Intrinsic and Time Value
16.9 CBOE Stock Options
16.10 CME S&P 500 Index Options
16.11 Stock Options on LIFFE
16.12 FT-SE 100 Index Options
16.13 Chapter Summary
Appendix: Exotic Options
17 Option Valuation Models
17.1 Chapter Overview
17.2 Fundamental Principles: European Options
17.3 Synthetic Forwards and Futures
17.4 American Options and Early Exercise
17.5 Binomial Trees
17.6 Expanding the Tree
17.7 Black-Scholes Model
17.8 Black-Scholes Assumptions
17.9 Chapter Summary
Appendix: Measuring Historic Volatility
18 Option Pricing and Risks
18.1 Chapter Overview
18.2 Intrinsic and Time Value Behaviour
18.3 Volatility Assumption and Option Pricing
18.4 DELTA ("OR ¿)
18.5 Delta Behaviour
18.6 GAMMA ("OR ³)
18.7 Readjusting the Delta Hedge
18.8 Gamma Behaviour
18.9 THETA (?)
18.10 Vega
18.11 Rho (p) and Summary of Greeks
18.12 Chapter Summary
Appendix: Delta and Gamma Hedging
19 Option Strategies
19.1 Chapter Overview
19.2 Hedging with Put Options
19.3 Covered Call Writing
19.4 Collars
19.5 Bull and Bear Spreads
19.6 Other Spread Trades
19.7 Volatility Revisited
19.8 Volatility Trading: Straddles and Strangles
19.9 Current Payoff Profiles
19.10 Profits and Risks on Straddles
19.11 Chapter Summary
20 Additional Option Applications
20.1 Chapter Overview
20.2 OTC and Exchange-traded Currency Options
20.3 Hedging FX Exposures with Options: Case Study
20.4 Pricing Currency Options
20.5 Interest Rate Options
20.6 Exchange-Traded Interest Rate Options
20.7 Caps, Floors, and Collars
20.8 Interest Rate Cap: Case Study
20.9 Pricing Caps and Floors: Black Model
20.10 Swaptions
20.11 Interest Rate Strategies
20.12 Convertible Bonds
20.13 CB Measures of Value
20.14 Conversion Premium and Parity
20.15 Convertible Arbitrage
20.16 Chapter Summary
Glossary of Financial Terms
Index
Details
| Erscheinungsjahr: | 2009 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 448 S. |
| ISBN-13: | 9780470758984 |
| ISBN-10: | 0470758988 |
| Sprache: | Englisch |
| Herstellernummer: | 14575898000 |
| Einband: | Gebunden |
| Autor: | Chisholm, Andrew M |
| Auflage: | 2nd edition |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 244 x 168 x 30 mm |
| Von/Mit: | Andrew M Chisholm |
| Erscheinungsdatum: | 01.07.2009 |
| Gewicht: | 0,896 kg |
Über den Autor
About the author
ANDREW M. CHISHOLM has designed, developed and taught programmes in derivatives and finance since 1984. In that time he has worked with many of the largest financial institutions around the world, teaching corporate financiers, traders, sales and marketing staff, risk managers, analysts, fund managers, operations and technology professionals. He has worked extensively on seminars at senior management level as well as training programmes designed to introduce new graduate and MBA entrants to the securities industry. He was formerly Head of Professional Development for Europe at JP Morgan and is author of Derivatives Demystified published by John Wiley and Sons in 2004.
Inhaltsverzeichnis
Acknowledgment
1 Introduction: The Market Context
1.1 Capital and the Capital Markets
1.2 The Euromarkets (International Capital Markets)
1.3 Modern Investment Banking
1.4 The Clients of Investment Banks
1.5 About this Book
2 The Money Markets
2.1 Chapter Overview
2.2 Domestic Money Markets
2.3 US Domestic Markets
2.4 The European Central Bank (ECB)
2.5 Sterling Money Markets
2.6 The Bank of Japan
2.7 Systemic Risks and Moral Hazards
2.8 Treasury Bills
2.9 Discounting Treasury Bills
2.10 US Commercial Paper
2.11 Credit Risk on USCP
2.12 Bankers' Acceptances
2.13 The Eurocurrency Markets
[...]ocurrency Loans and Deposits
[...]ocurrency Interest and Day-Count
[...]ocurrency Certificates of Deposit
2.17 CD Yield-to-Maturity
[...]o-Commercial Paper
2.19 Repos and Reverses
2.20 Repo: Case Study
2.21 Other Features of Repos
2.22 Chapter Summary
3 The Foreign Exchange Market
3.1 Chapter Overview
3.2 Market Structure
3.3 FX Dealers and Brokers
3.4 Spot Foreign Exchange Deals
3.5 Sterling and Euro Quotations
3.6 Factors Affecting Spot FX Rates
3.7 Spot FX Trading
3.8 Spot Position Keeping
3.9 FX Risk Control
3.10 Cross-Currency Rates
3.11 Outright Forward FX Rates
3.12 Outright Forward FX Hedge: Case Study
3.13 Forward FX Formula
3.14 FX or Forward Swaps
3.15 FX Swap Two-Way Quotations
3.16 Chapter Summary
4 Major Government Bond Markets
4.1 Chapter Overview
4.2 Introduction to Government Bonds
4.3 Sovereign Risk
4.4 US Government Notes and Bonds
4.5 US Treasury Quotations
4.6 US Treasury Strips
4.7 Bond Pricing
4.8 Pricing Coupon Bonds: Examples
4.9 Detailed Bond Valuation: US Treasury
4.10 Bond Yield
4.11 Reinvestment Assumptions
4.12 Annual and Semi-Annual Bond Yields
4.13 UK Government Bonds
4.14 Japanese Government Bonds (JGBs)
[...]ozone Government Bonds
4.16 Chapter Summary
5 Bond Price Sensitivity
5.1 Chapter Overview
5.2 Bond Market Laws
5.3 Other Factors Affecting Price Sensitivity
5.4 Macaulay's Duration
5.5 Calculating Macaulay's Duration
5.6 Duration of a Zero
5.7 Modified Duration
5.8 Price Value of a Basis Point
5.9 Convexity
5.10 Measuring Convexity
5.11 Convexity Behaviour
5.12 Portfolio Duration
5.13 Dedication
5.14 Immunization
5.15 Duration-Based Hedges
5.16 Convexity Effects on Duration Hedges
5.17 Chapter Summary
6 The Yield Curve
6.1 Chapter Overview
6.2 Real and Nominal Interest Rates
6.3 Compounding Periods
6.4 The Yield Curve Defined
6.5 Theories of Yield Curves
6.6 Zero Coupon or Spot Rates
6.7 Bootstrapping
6.8 Spot Rates and the Par Curve
6.9 Pricing Models Using Spot Rates
6.10 Forward Rates
6.11 Discount Factors
6.12 Chapter Summary
7 Credit Spreads and Securitization
7.1 Chapter Overview
7.2 Basics of Credit Spreads
7.3 The Role of the Ratings Agencies
7.4 Credit Spreads and Default Probabilities
7.5 Credit Default Swaps
7.6 Index Credit Default Swaps
7.7 Basket Default Swaps
7.8 Credit-Linked Notes
7.9 Securitization and CDOs
7.10 Rationale for Securitization
7.11 Synthetic CDOs
7.12 Chapter Summary
8 Equity Markets and Equity Investment
8.1 Chapter Overview
8.2 Comparing Corporate Debt and Equity
8.3 Additional Features of Common Stock
8.4 Hybrid Securities
8.5 Equity Investment Styles
8.6 Efficient Markets
8.7 Modern Portfolio Theory (MPT)
8.8 Primary Markets for Common Stock
8.9 Subsequent Common Stock Issues
8.10 Secondary Markets: Major Stock Markets
8.11 Depository Receipts
8.12 Stock Lending
8.13 Portfolio (Basket) Trading
8.14 Chapter Summary
9 Equity Fundamental Analysis
9.1 Chapter Overview
9.2 Principles of Common Stock Valuation
9.3 The Balance Sheet Equation
9.4 The Income Statement
9.5 Earnings Per Share (EPS)
9.6 Dividend Per Share (DPS)
9.7 Ratio Analysis
9.8 Liquidity Ratios
9.9 Profitability Ratios
9.10 Leverage Ratios
9.11 Investor Ratios and Valuation
9.12 Applying Valuation Multiples
9.13 Firm or Enterprise Value Multiples
9.14 Chapter Summary
10 Cash Flow Models in Equity Valuation
10.1 Chapter Overview
10.2 The Basic Dividend Discount Model
10.3 Constant Dividend Growth Models
10.4 The Implied Return on a Share
10.5 Dividend Yield and Dividend Growth
10.6 Price/Earnings Ratio
10.7 Stage Dividend Discount Models
10.8 Two-Stage Model: Example
10.9 The Capital Asset Pricing Model (CAPM)
10.10 Beta
10.11 Estimating the Market Risk Premium
10.12 The Equity Risk Premium Controversy
10.13 CAPM and Portfolio Theory
10.14 Free Cash Flow Valuation
10.15 Forecasting Free Cash Flows
10.16 Weighted Average Cost of Capital (WACC)
10.17 Residual Value
10.18 WACC and Leverage
10.19 Assets Beta Method
10.20 Company Value and Leverage
10.21 Chapter Summary
11 Interest Rate Forwards and Futures
11.1 Chapter Overview
11.2 Forward Rate Agreements (FRAs)
11.3 FRA Application: Case Study
11.4 Borrowing Costs with an FRA Hedge
11.5 FRA Market Quotations
11.6 The Forward Interest Rate
11.7 Financial Futures
11.8 CME Eurodollar Futures
[...]odollar Futures Quotations
11.10 Futures Margining
11.11 Margining Example: EURIBOR Futures on Eurex
11.12 Hedging with Interest Rate Futures: Case Study
11.13 Futures Strips
11.14 Chapter Summary
Appendix: Statistics on Derivatives Markets
12 Bond Futures
12.1 Chapter Overview
12.2 Definitions
12.3 The CBOT 30-Year US Treasury Bonds Futures
12.4 Invoice Amount and Conversion Factors
12.5 Long Gilt and Euro-Bund Futures
12.6 Forward Bond Price
12.7 Carry Cost
12.8 The Implied Repo Rate
12.9 The Cheapest to Deliver (CTD) Bond
12.10 CTD Behaviour
12.11 Hedging with Bond Futures
12.12 Basis Risk
12.13 Hedging Non-CTD Bonds
12.14 Using Futures in Portfolio Management
12.15 Chapter Summary
13 Interest Rate Swaps
13.1 Chapter Overview
13.2 Swap Definitions
13.3 The Basic Interest Rate Swap Illustrated
13.4 Typical Swap Applications
13.5 Interest Rate Swap: Detailed Case Study
13.6 Interest Rate Swap Terms
13.7 Comparative Advantage
13.8 Swap Quotations and Spreads
13.9 Determinants of Swap Spreads
13.10 Hedging Swaps with Treasuries
13.11 Cross-Currency Swaps: Case Study
13.12 Cross-Currency Swap Revaluation
13.13 Chapter Summary
Appendix: Swap Variants
14 Interest Rate Swap Valuation
14.1 Chapter Overview
14.2 Valuing a Swap at Inception
14.3 Valuing the Swap Components
14.4 Swap Revaluation
14.5 Revaluation Between Payment Dates
14.6 The Forward Rate Method
14.7 Forward Rate Method on a Spreadsheet
14.8 Swap Rates and LIBOR Rates
14.9 Pricing a Swap from Futures
14.10 Hedging Interest Rate Risk on Swaps
14.11 Chapter Summary
15 Equity Index Futures and Swaps
15.1 Chapter Overview
15.2 Index Futures
15.3 Margining Procedures
15.4 Final Settlement and Spread Trades
15.5 Hedging with Index Futures: Case Study
15.6 Hedge Efficiency
15.7 Other Uses of Index Futures
15.8 Pricing an Equity Forward Contract
15.9 Index Futures Fair Value
15.10 The Basis
15.11 Index Arbitrage Trade
15.12 Running an Arbitrage Desk
15.13 Features of Index Futures
15.14 Equity Swaps
15.15 Managing the Risks on Equity Swaps
15.16 Structuring Equity Swaps
15.17 Benefits and Applications of Equity Swaps
15.18 Chapter Summary
16 Fundamentals of Options
16.1 Chapter Overview
16.2 Definitions
16.3 Basic Option Trading Strategies
16.4 Long Call: Expiry Payoff Profile
16.5 Short Call: Expiry Payoff Profile
16.6 Long Put: Expiry Payoff Profile
16.7 Short Put: Expiry Payoff Profile
16.8 Summary: Intrinsic and Time Value
16.9 CBOE Stock Options
16.10 CME S&P 500 Index Options
16.11 Stock Options on LIFFE
16.12 FT-SE 100 Index Options
16.13 Chapter Summary
Appendix: Exotic Options
17 Option Valuation Models
17.1 Chapter Overview
17.2 Fundamental Principles: European Options
17.3 Synthetic Forwards and Futures
17.4 American Options and Early Exercise
17.5 Binomial Trees
17.6 Expanding the Tree
17.7 Black-Scholes Model
17.8 Black-Scholes Assumptions
17.9 Chapter Summary
Appendix: Measuring Historic Volatility
18 Option Pricing and Risks
18.1 Chapter Overview
18.2 Intrinsic and Time Value Behaviour
18.3 Volatility Assumption and Option Pricing
18.4 DELTA ("OR ¿)
18.5 Delta Behaviour
18.6 GAMMA ("OR ³)
18.7 Readjusting the Delta Hedge
18.8 Gamma Behaviour
18.9 THETA (?)
18.10 Vega
18.11 Rho (p) and Summary of Greeks
18.12 Chapter Summary
Appendix: Delta and Gamma Hedging
19 Option Strategies
19.1 Chapter Overview
19.2 Hedging with Put Options
19.3 Covered Call Writing
19.4 Collars
19.5 Bull and Bear Spreads
19.6 Other Spread Trades
19.7 Volatility Revisited
19.8 Volatility Trading: Straddles and Strangles
19.9 Current Payoff Profiles
19.10 Profits and Risks on Straddles
19.11 Chapter Summary
20 Additional Option Applications
20.1 Chapter Overview
20.2 OTC and Exchange-traded Currency Options
20.3 Hedging FX Exposures with Options: Case Study
20.4 Pricing Currency Options
20.5 Interest Rate Options
20.6 Exchange-Traded Interest Rate Options
20.7 Caps, Floors, and Collars
20.8 Interest Rate Cap: Case Study
20.9 Pricing Caps and Floors: Black Model
20.10 Swaptions
20.11 Interest Rate Strategies
20.12 Convertible Bonds
20.13 CB Measures of Value
20.14 Conversion Premium and Parity
20.15 Convertible Arbitrage
20.16 Chapter Summary
Glossary of Financial Terms
Index
1 Introduction: The Market Context
1.1 Capital and the Capital Markets
1.2 The Euromarkets (International Capital Markets)
1.3 Modern Investment Banking
1.4 The Clients of Investment Banks
1.5 About this Book
2 The Money Markets
2.1 Chapter Overview
2.2 Domestic Money Markets
2.3 US Domestic Markets
2.4 The European Central Bank (ECB)
2.5 Sterling Money Markets
2.6 The Bank of Japan
2.7 Systemic Risks and Moral Hazards
2.8 Treasury Bills
2.9 Discounting Treasury Bills
2.10 US Commercial Paper
2.11 Credit Risk on USCP
2.12 Bankers' Acceptances
2.13 The Eurocurrency Markets
[...]ocurrency Loans and Deposits
[...]ocurrency Interest and Day-Count
[...]ocurrency Certificates of Deposit
2.17 CD Yield-to-Maturity
[...]o-Commercial Paper
2.19 Repos and Reverses
2.20 Repo: Case Study
2.21 Other Features of Repos
2.22 Chapter Summary
3 The Foreign Exchange Market
3.1 Chapter Overview
3.2 Market Structure
3.3 FX Dealers and Brokers
3.4 Spot Foreign Exchange Deals
3.5 Sterling and Euro Quotations
3.6 Factors Affecting Spot FX Rates
3.7 Spot FX Trading
3.8 Spot Position Keeping
3.9 FX Risk Control
3.10 Cross-Currency Rates
3.11 Outright Forward FX Rates
3.12 Outright Forward FX Hedge: Case Study
3.13 Forward FX Formula
3.14 FX or Forward Swaps
3.15 FX Swap Two-Way Quotations
3.16 Chapter Summary
4 Major Government Bond Markets
4.1 Chapter Overview
4.2 Introduction to Government Bonds
4.3 Sovereign Risk
4.4 US Government Notes and Bonds
4.5 US Treasury Quotations
4.6 US Treasury Strips
4.7 Bond Pricing
4.8 Pricing Coupon Bonds: Examples
4.9 Detailed Bond Valuation: US Treasury
4.10 Bond Yield
4.11 Reinvestment Assumptions
4.12 Annual and Semi-Annual Bond Yields
4.13 UK Government Bonds
4.14 Japanese Government Bonds (JGBs)
[...]ozone Government Bonds
4.16 Chapter Summary
5 Bond Price Sensitivity
5.1 Chapter Overview
5.2 Bond Market Laws
5.3 Other Factors Affecting Price Sensitivity
5.4 Macaulay's Duration
5.5 Calculating Macaulay's Duration
5.6 Duration of a Zero
5.7 Modified Duration
5.8 Price Value of a Basis Point
5.9 Convexity
5.10 Measuring Convexity
5.11 Convexity Behaviour
5.12 Portfolio Duration
5.13 Dedication
5.14 Immunization
5.15 Duration-Based Hedges
5.16 Convexity Effects on Duration Hedges
5.17 Chapter Summary
6 The Yield Curve
6.1 Chapter Overview
6.2 Real and Nominal Interest Rates
6.3 Compounding Periods
6.4 The Yield Curve Defined
6.5 Theories of Yield Curves
6.6 Zero Coupon or Spot Rates
6.7 Bootstrapping
6.8 Spot Rates and the Par Curve
6.9 Pricing Models Using Spot Rates
6.10 Forward Rates
6.11 Discount Factors
6.12 Chapter Summary
7 Credit Spreads and Securitization
7.1 Chapter Overview
7.2 Basics of Credit Spreads
7.3 The Role of the Ratings Agencies
7.4 Credit Spreads and Default Probabilities
7.5 Credit Default Swaps
7.6 Index Credit Default Swaps
7.7 Basket Default Swaps
7.8 Credit-Linked Notes
7.9 Securitization and CDOs
7.10 Rationale for Securitization
7.11 Synthetic CDOs
7.12 Chapter Summary
8 Equity Markets and Equity Investment
8.1 Chapter Overview
8.2 Comparing Corporate Debt and Equity
8.3 Additional Features of Common Stock
8.4 Hybrid Securities
8.5 Equity Investment Styles
8.6 Efficient Markets
8.7 Modern Portfolio Theory (MPT)
8.8 Primary Markets for Common Stock
8.9 Subsequent Common Stock Issues
8.10 Secondary Markets: Major Stock Markets
8.11 Depository Receipts
8.12 Stock Lending
8.13 Portfolio (Basket) Trading
8.14 Chapter Summary
9 Equity Fundamental Analysis
9.1 Chapter Overview
9.2 Principles of Common Stock Valuation
9.3 The Balance Sheet Equation
9.4 The Income Statement
9.5 Earnings Per Share (EPS)
9.6 Dividend Per Share (DPS)
9.7 Ratio Analysis
9.8 Liquidity Ratios
9.9 Profitability Ratios
9.10 Leverage Ratios
9.11 Investor Ratios and Valuation
9.12 Applying Valuation Multiples
9.13 Firm or Enterprise Value Multiples
9.14 Chapter Summary
10 Cash Flow Models in Equity Valuation
10.1 Chapter Overview
10.2 The Basic Dividend Discount Model
10.3 Constant Dividend Growth Models
10.4 The Implied Return on a Share
10.5 Dividend Yield and Dividend Growth
10.6 Price/Earnings Ratio
10.7 Stage Dividend Discount Models
10.8 Two-Stage Model: Example
10.9 The Capital Asset Pricing Model (CAPM)
10.10 Beta
10.11 Estimating the Market Risk Premium
10.12 The Equity Risk Premium Controversy
10.13 CAPM and Portfolio Theory
10.14 Free Cash Flow Valuation
10.15 Forecasting Free Cash Flows
10.16 Weighted Average Cost of Capital (WACC)
10.17 Residual Value
10.18 WACC and Leverage
10.19 Assets Beta Method
10.20 Company Value and Leverage
10.21 Chapter Summary
11 Interest Rate Forwards and Futures
11.1 Chapter Overview
11.2 Forward Rate Agreements (FRAs)
11.3 FRA Application: Case Study
11.4 Borrowing Costs with an FRA Hedge
11.5 FRA Market Quotations
11.6 The Forward Interest Rate
11.7 Financial Futures
11.8 CME Eurodollar Futures
[...]odollar Futures Quotations
11.10 Futures Margining
11.11 Margining Example: EURIBOR Futures on Eurex
11.12 Hedging with Interest Rate Futures: Case Study
11.13 Futures Strips
11.14 Chapter Summary
Appendix: Statistics on Derivatives Markets
12 Bond Futures
12.1 Chapter Overview
12.2 Definitions
12.3 The CBOT 30-Year US Treasury Bonds Futures
12.4 Invoice Amount and Conversion Factors
12.5 Long Gilt and Euro-Bund Futures
12.6 Forward Bond Price
12.7 Carry Cost
12.8 The Implied Repo Rate
12.9 The Cheapest to Deliver (CTD) Bond
12.10 CTD Behaviour
12.11 Hedging with Bond Futures
12.12 Basis Risk
12.13 Hedging Non-CTD Bonds
12.14 Using Futures in Portfolio Management
12.15 Chapter Summary
13 Interest Rate Swaps
13.1 Chapter Overview
13.2 Swap Definitions
13.3 The Basic Interest Rate Swap Illustrated
13.4 Typical Swap Applications
13.5 Interest Rate Swap: Detailed Case Study
13.6 Interest Rate Swap Terms
13.7 Comparative Advantage
13.8 Swap Quotations and Spreads
13.9 Determinants of Swap Spreads
13.10 Hedging Swaps with Treasuries
13.11 Cross-Currency Swaps: Case Study
13.12 Cross-Currency Swap Revaluation
13.13 Chapter Summary
Appendix: Swap Variants
14 Interest Rate Swap Valuation
14.1 Chapter Overview
14.2 Valuing a Swap at Inception
14.3 Valuing the Swap Components
14.4 Swap Revaluation
14.5 Revaluation Between Payment Dates
14.6 The Forward Rate Method
14.7 Forward Rate Method on a Spreadsheet
14.8 Swap Rates and LIBOR Rates
14.9 Pricing a Swap from Futures
14.10 Hedging Interest Rate Risk on Swaps
14.11 Chapter Summary
15 Equity Index Futures and Swaps
15.1 Chapter Overview
15.2 Index Futures
15.3 Margining Procedures
15.4 Final Settlement and Spread Trades
15.5 Hedging with Index Futures: Case Study
15.6 Hedge Efficiency
15.7 Other Uses of Index Futures
15.8 Pricing an Equity Forward Contract
15.9 Index Futures Fair Value
15.10 The Basis
15.11 Index Arbitrage Trade
15.12 Running an Arbitrage Desk
15.13 Features of Index Futures
15.14 Equity Swaps
15.15 Managing the Risks on Equity Swaps
15.16 Structuring Equity Swaps
15.17 Benefits and Applications of Equity Swaps
15.18 Chapter Summary
16 Fundamentals of Options
16.1 Chapter Overview
16.2 Definitions
16.3 Basic Option Trading Strategies
16.4 Long Call: Expiry Payoff Profile
16.5 Short Call: Expiry Payoff Profile
16.6 Long Put: Expiry Payoff Profile
16.7 Short Put: Expiry Payoff Profile
16.8 Summary: Intrinsic and Time Value
16.9 CBOE Stock Options
16.10 CME S&P 500 Index Options
16.11 Stock Options on LIFFE
16.12 FT-SE 100 Index Options
16.13 Chapter Summary
Appendix: Exotic Options
17 Option Valuation Models
17.1 Chapter Overview
17.2 Fundamental Principles: European Options
17.3 Synthetic Forwards and Futures
17.4 American Options and Early Exercise
17.5 Binomial Trees
17.6 Expanding the Tree
17.7 Black-Scholes Model
17.8 Black-Scholes Assumptions
17.9 Chapter Summary
Appendix: Measuring Historic Volatility
18 Option Pricing and Risks
18.1 Chapter Overview
18.2 Intrinsic and Time Value Behaviour
18.3 Volatility Assumption and Option Pricing
18.4 DELTA ("OR ¿)
18.5 Delta Behaviour
18.6 GAMMA ("OR ³)
18.7 Readjusting the Delta Hedge
18.8 Gamma Behaviour
18.9 THETA (?)
18.10 Vega
18.11 Rho (p) and Summary of Greeks
18.12 Chapter Summary
Appendix: Delta and Gamma Hedging
19 Option Strategies
19.1 Chapter Overview
19.2 Hedging with Put Options
19.3 Covered Call Writing
19.4 Collars
19.5 Bull and Bear Spreads
19.6 Other Spread Trades
19.7 Volatility Revisited
19.8 Volatility Trading: Straddles and Strangles
19.9 Current Payoff Profiles
19.10 Profits and Risks on Straddles
19.11 Chapter Summary
20 Additional Option Applications
20.1 Chapter Overview
20.2 OTC and Exchange-traded Currency Options
20.3 Hedging FX Exposures with Options: Case Study
20.4 Pricing Currency Options
20.5 Interest Rate Options
20.6 Exchange-Traded Interest Rate Options
20.7 Caps, Floors, and Collars
20.8 Interest Rate Cap: Case Study
20.9 Pricing Caps and Floors: Black Model
20.10 Swaptions
20.11 Interest Rate Strategies
20.12 Convertible Bonds
20.13 CB Measures of Value
20.14 Conversion Premium and Parity
20.15 Convertible Arbitrage
20.16 Chapter Summary
Glossary of Financial Terms
Index
Details
| Erscheinungsjahr: | 2009 |
|---|---|
| Fachbereich: | Betriebswirtschaft |
| Genre: | Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: | 448 S. |
| ISBN-13: | 9780470758984 |
| ISBN-10: | 0470758988 |
| Sprache: | Englisch |
| Herstellernummer: | 14575898000 |
| Einband: | Gebunden |
| Autor: | Chisholm, Andrew M |
| Auflage: | 2nd edition |
| Hersteller: |
Wiley
John Wiley & Sons |
| Maße: | 244 x 168 x 30 mm |
| Von/Mit: | Andrew M Chisholm |
| Erscheinungsdatum: | 01.07.2009 |
| Gewicht: | 0,896 kg |
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