Hedging strategies:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York u.a.
Woodhead-Faulkner
1991
|
| Edition: | 1. publ. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VI, 202 S. graph. Darst. |
| ISBN: | 0859416410 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
Chapter 1 Introduction 1
Chapter 2 Historical, academic and mathematical
background to hedging 3
What is a hedge? 3
Analysis of risk exposure 4
Interest rate risk 5
Statistical analysis and the determination of a hedging strategy 6
Present value of a basis point 13
Duration drift and convexity 14
General applications of hedging techniques 15
Cross hedging 16
Commercial banks and interest rate futures 16
The costs of hedging 18
The portfolio approach to hedging 18
Price sensitivity hedging strategy 22
Comparing hedging with other methods of risk reduction 24
Summary 24
Bibliography 25
Chapter 3 Option pricing theory and modeis 28
The binomial model for Option pricing 29
The hedge ratio using binomial pricing 32
Black and Scholes option pricing model 32
Valuations of put options and put call parity 35
The pricing of American style options 36
Option hedge ratios 36
Gamma hedges 38
Exchange traded and over the counter options 39
iii
CONTENTS
Summary 40
Bibliography 40
Chapter 4 Government securities 42
Treasury bonds: general concepts 42
Quoting and pricing treasury bonds 43
The yield/price relationship 45
Other factors affecting yield 46
Reinvestment risk 47
The use of treasury bonds 48
Bond swaps 49
Treasury Strips 50
Hedging 50
The US treasury market 51
The UK Government Securities market 54
The Japanese Government bond market 61
The German Government bond market 63
The French Government bond market 64
The Swiss bond market 66
Summary 67
Bibliography 68
Chapter 5 The financial futures markets 69
The definition of a futures contract 69
The evolution of the futures markets 69
The exchange and the Clearing house 70
Trading futures 72
Hedging with financial futures 74
Choosing financial futures as a hedge instrument 75
The basis 76
Interest rate futures 76
Currency futures 84
Summary 87
Bibliography 88
Chapter 6 Interest rate swaps and currency swaps 89
Interest rate swaps defined 89
Quoting and pricing swaps 91
How a swap is transacted 93
Hedging a swap 94
iv
CONTENTS
Valuing a swap 95
Variations on the generic swap structure 97
Basis swaps 97
Amortizing swaps 101
LIBOR adjustments and off market coupons 101
Currency swaps 103
Asset swaps 107
Liability swaps 110
Summary 118
Bibliography 119
Chapter 7 Short term interest rate and currency hedging
Instruments including Option products 120
Introduction to options 120
Using options 121
Future rate agreements (FRAs) 125
The interest rate guarantee (IRG) 126
Interest rate caps, floors and collars 129
Interest rate swap (IRS) options 132
Participation swaps 134
Selecting an interest rate option product 135
Foreign exchange 137
Summary 143
Bibliography 144
Chapter 8 Future developments 145
European economic and monetary union 145
Eastern Europe 149
A future for futures 151
The impact of technology 153
A question of credit 154
Summary 155
Bibliography 155
Appendix 1 List of financial futures contracts 157
Chicago Board of Trade contracts 157
Chicago Mercantile Exchange (IMM) 160
LIFFE futures contracts 164
References 172
v
CONTENTS
Appendix 2 List of exchange traded options 173
Chicago Board of Trade 173
Chicago Mercantile Exchange 176
LIFFE futures contracts 180
Philadelphia Stock Exchange 185
References 191
Appendix 3 Documentation and credit risk implications
for off balance sheet products 193
Documentation 193
Risk and off balance sheet products 197
Index 200
vi
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| id | DE-604.BV004831732 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T16:18:20Z |
| institution | BVB |
| isbn | 0859416410 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-002973735 |
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| physical | VI, 202 S. graph. Darst. |
| publishDate | 1991 |
| publishDateSearch | 1991 |
| publishDateSort | 1991 |
| publisher | Woodhead-Faulkner |
| record_format | marc |
| spelling | Decovny, Sherree Verfasser aut Hedging strategies Sherree Decovny and Christine Tacchi 1. publ. New York u.a. Woodhead-Faulkner 1991 VI, 202 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hedging (DE-588)4123357-8 gnd rswk-swf Hedging (DE-588)4123357-8 s DE-604 Tacchi, Christine Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002973735&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Decovny, Sherree Tacchi, Christine Hedging strategies Hedging (DE-588)4123357-8 gnd |
| subject_GND | (DE-588)4123357-8 |
| title | Hedging strategies |
| title_auth | Hedging strategies |
| title_exact_search | Hedging strategies |
| title_full | Hedging strategies Sherree Decovny and Christine Tacchi |
| title_fullStr | Hedging strategies Sherree Decovny and Christine Tacchi |
| title_full_unstemmed | Hedging strategies Sherree Decovny and Christine Tacchi |
| title_short | Hedging strategies |
| title_sort | hedging strategies |
| topic | Hedging (DE-588)4123357-8 gnd |
| topic_facet | Hedging |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=002973735&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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