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Derivatives Demystified: A Step-by-Step Guide to Forwards, Futures, Swaps and Options (The Wiley Finance Series)

Andrew M. Chisholm

Verlag: Wiley, 2004
ISBN 10: 047009382X / ISBN 13: 9780470093825
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Titel: Derivatives Demystified: A Step-by-Step ...

Verlag: Wiley

Erscheinungsdatum: 2004

Einband: Soft cover

Zustand: New


Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Preface.1. The Market Background.Derivatives building blocks.Market participants.Origins and development of derivatives.The modern OTC derivatives market.Exchange-traded futures and options.Chapter summary.2. Equity and Currency Forwards.Introduction.The forward price.Components of the forward price.Forward price and expected payout.Foreign exchange forwards.Managing currency risk.Hedging with FX forwards.The forward FX rate.Forward points.FX swaps.Applications of FX swaps.Chapter summary.3. Forward Rate Agreements.Introduction.FRA application: corporate borrower.Results of the FRA hedge.FRA payment dates and settlement.The FRA as two payment legs.Dealing in FRAs.Forward interest rates.Chapter summary.4. Commodity and Bond Futures.Introduction.Commodity futures.Futures prices and the basis.Bond futures.Gilt and Euro bund futures.The cheapest-to-deliver.Chapter summary.5. Interest Rate and Equity Futures.Introduction.Interest rate futures.Trading interest rate futures.Hedging with interest rate futures.Interest rate futures prices.Equity index futures.The margining system.Single stock futures.Chapter summary.6. Interest Rate Swaps.Introduction.Sterling interest rate swap.Hedging with interest rate swaps.Dollar interest rate swap.Summary of IRS applications.Swap rates and credit risk.Cross-currency swaps.Gains from cross-currency swap.Chapter summary.7. Equity and Credit Default Swaps.Equity swaps.Monetizing corporate cross-holdings.Other applications of equity swaps.Equity index swaps.Hedging equity swaps.Credit default swaps.Credit default swap premium.Chapter summary.8. Fundamentals of Options.Introduction.Call option: intrinsic and time value.Long call expiry payoff.Short call expiry payoff.Put option: intrinsic and time value.Long put expiry payoff.Short put expiry payoff.Chapter summary.9. Hedging with Options.Introduction.Forward hedge revisited.Protective put.Payoff profile of protective put.Changing the put strike.Equity collar.Zero-cost equity collar.Collars and forwards.Protective put with barrier option.Covered call writing (buy-write).Chapter summary.10. Exchange-Traded Equity Options.Introduction.UK stock options on LIFFE.Stock options: call expiry payoff.US-listed stock options.CME options on S&P 500 R_ index futures.FT-SE 100 index options.Expiry payoff of FT-SE 100 call.Exercising FT-SE 100 index options.Chapter summary.11. Currency Options.Introduction.Currency options and forwards.Results from the option hedge.Zero-cost collar.Reducing premium on FX hedges.Compound options.Exchange-traded currency options.Hedging with exchange-traded options.FX covered call writing.Chapter summary.12. Interest Rate Options.Introduction.OTC interest rate options.Hedging with interest rate calls.Caps, floors and collars.Swaptions.Eurodollar options.Euro and sterling interest rate options.Bond options.Exchange-traded bond options.Bund and gilt bond options.Chapter summary.13. Option Valuation Concepts.Introduction.The concept of expected payout.Inputs to the Black-Scholes model.Historical volatility.Implied volatility.Share price simulations.Value of a call and put option.Pricing currency options.Pricing interest rate options.Chapter summary.14. Option Sensitivities: Buchnummer des Verkäufers ABE_book_new_047009382X

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Inhaltsangabe: The book is a step-by-step guide to derivative products. By distilling the complex mathematics and theory that underlie the subject, Chisholm explains derivative products in straightforward terms, focusing on applications and intuitive explanations wherever possible. Case studies and examples of how the products are used to solve real-world problems, as well as an extensive glossary and material on the latest derivative products make this book a must have for anyone working with derivative products.

Klappentext: Derivatives are everywhere in the modern world and it is important for everyone in banking, investment and finance to have a good understanding of the subject. Derivatives Demystified provides a step-by-step guide to the subject, enabling the reader to have a solid, working understanding of key derivative products.

Adopting a highly accessible approach, the author explains derivative products in straightforward terms and without the complex mathematics that underlie the subject, focusing on practical applications, case studies and examples of how the products are used to solve real-world problems. Derivatives Demystified follows a sequence that is designed to show that, although there are many applications of derivatives, there are only a small number of basic building blocks, namely forwards and futures, swaps and options. The book shows how each building block is applied to different markets and to the solution of various risk management and trading problems.

Thoroughly up-to-date, the author includes explanations of later-generation products such as barrier options, cliquets and choosers. There are also sections on credit default and equity swaps and there are full chapters devoted to convertible and exchangeable bonds and to structured products such as equity-linked notes and bonds issued through synthetic securitization. The final chapter has information on the financial calculations that underpin the derivatives market, for those who wish to explore this topic.

Derivatives Demystified is essential reading for everyone who operates in the financial markets or within the corporate environment who requires a good understanding of these important financial instruments.

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