Currency and interest rate hedging: a user's guide to options, futures, swaps, and forward contracts
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| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York u.a.
New York Inst. of Finance
1993
|
| Edition: | 2. ed. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 387 S. graph. Darst. |
| ISBN: | 0132261014 |
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MARC
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| 245 | 1 | 0 | |a Currency and interest rate hedging |b a user's guide to options, futures, swaps, and forward contracts |c Torben Juul Andersen |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a New York u.a. |b New York Inst. of Finance |c 1993 | |
| 300 | |a XII, 387 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
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Record in the Search Index
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I Contents
i
i
I
Preface, xi
part one: the argument for hedging, l
Chapter 1
International Trade and Payments, 3
The International Financial System, 4
Balance of Payment Developments and International Credit Intermediation, 9
Development in Interest Rates and Foreign Exchange Rates, 10
Conclusion, 19
Chapter 2
Financial Exposure, 20
Interest Rate Exposure, 21
Currency Exposure, 22
Measuring Interest Rate Exposure, 26
Measuring Currency Exposure, 27
Duration, 28
Efficient Sets of Assets and Liabilities, 29
Risk Management, 30
Forecasting Interest Rates, 31
Forecasting Foreign Exchange Rates, 33
Conclusion, 38
PART TWO: FINANCIAL FUTURES, 39
Chapter 3
The Futures Contract, 41
Opening and Closing Transactions, 42
Role of the Exchanges, 43
Role of the Clearing Houses, 44
Clearing, 44
Guaranteeing Performance, 44
Delivery, 44
Quotations, 44
Open Interest and Volume, 47
Margin, 47
Initial Margin, 47
Maintenance Margin, 48
Normal and Inverted Markets, 49
Market Participants, 49
Limits, 51
Position Limit, 51
Reportable Positions, 51
Trading Limit, 51
Financial Futures Contracts, 52
Background, 52
Market Developments and Practices, 54
Benefits, 57
Chapter 4
Types of Contracts, 61
Interest Rate Futures, 61
Pricing, 61
Price Limit, 64
Margin, 64
Conversion Factor, 65
Settlement Price, 65
Comparing Contracts, 66
Swap Futures, 67
Pricing, 67
Currency Futures, 67
Pricing, 68
Foreign Exchange Spot Market, 70
Index Futures, 71
i Pricing, 72
i Settlement Value, 72
Commodity Futures, 73
Chapter 5
Hedging with Financial Futures, 75
Interest Rate Hedging, 78
Short Interest Rate Hedges, 79
Long Interest Rate Hedges, 82
Hedging Investments in Long Term Securities, 84
Hedging New Issues, 87
Cross Hedging, 89
Price Relationships, 92
Spreads, 93
Portfolio Hedging, 94
Currency Hedging, 96
Cross Currency Hedging, 100
Interest Rate Hedging in Other Currencies, 101
Hedging a Stock Portfolio, 104
Basis Risks, 105
Conclusion, 111
PART THREE: OPTIONS AND OTC FINANCIAL SERVICES, 113
Chapter 6
The Option Contract, 225
Stock Options, 116
Options Clearing House, 117
Trading Options, 118
Short and Long, 118
Writers, 118
Put Writing, 120
Buyers, 120
Advantages, 120
Drawbacks, 222
Margin, 122
Reading Options Quotations, 122
Underlying Stock, 122
Strike Price, 122
Calls and Puts, 124
Volume and Open Interest, 125
Pricing, 125
Market Price of the Underlying Stock, 125
Life of the Option (Time Value), 127
Volatility of the Underlying Stock, 128
Interest Rate Level, 129
Cash Dividend Rate, 132
Black Scholes Formula, 132
Pricing Puts, 135
Chapter 7
Types of Contracts, 138
Currency Options, 138
Contract Size, 140
Quotations, 142
Pricing, 143
Expiration Dates, 146
Trading Limits, 146
Interest Rate Options, 147
Stock Index Options, 150
Underlying Interest, 151
The Multiplier, 151
Settlement, 152
Quotations, 152
Chapter 8
Profitability Patterns, 154
Profit and Loss Profiles, 155
Delta, 161
Gamma, 164
Theta, 165
Eta, 166
Rho,166
Chapter 9
Hedging with Option Contracts, 167
Hedging a Short Currency Position, 167
Hedging a Long Currency Position, 170
Cross Currency Hedge, 171
Double Option Strategies, 178
Vertical Bull Spread, 179
Vertical Bear Spread, 179
Straddle, 179
Strangle, 179
Butterfly, 182
Ratio Spreads, 182
Ratio Call Spread, 181
i
Ratio Put Spread, 182
Hedging a Short Currency Position Using Two Options, 189
Hedging a Long Currency Position Using Two Options, 191
Hedging a Future Short Interest Position, 192
Hedging a Short Stock Position, 198
J Portfolio Hedging, 199
} Delta Hedging, 200
Conclusion, 203
Chapter 10
Forward Agreements, 204
Currency Forwards, 205
Par Forwards, 207
Interest Rate Forwards, 208
Forward Rate Agreements, 210
Forward Spread Agreement, 215
Hedging with FRAs, 216
Case: Interest Rate Forward Contract: Project Finance, Delay Start/Stepped
Structure, Interest Rate Gapping, 218
Chapter 11
Currency Option Agreements, 222
Currency Options, 222
Expiration Dates, 223
Contract Size, 223
Strike Price, 223
Premium, 224
Option on an Option Agreement, 225
Option Writer s Risks, 226
Applying Black Scholes, 227
The Role of Volatility, 228
Market Developments, 233
Tender to Contract, 233
Double Option Products, 234
Conclusion, 239
Chapter 12
Interest Rate Agreements, 240
Ceiling Rate Agreements (CAPs), 241
Floor Rate Agreement, 244
Scale Down Floor, 247
Combined Ceiling Rate and Floor Rate Agreements, 248
Case: Interest Rate Agreement: Ceiling Rate (Mortgage Association,
Maturity Mismatch Interest Rate Gapping), 251
i
Market Developments, 257
Captions, 258
Barrier Options, 258
Look Back Options, 259
Average Rate Options, 259
Chapter 13
Interest Rate and Currency Swaps, 260
Interest Rate Simp Agreements, 261
Interest Rate Basis Swaps, 265
Currency Swap Agreements, 265
Case: Currency Interest Rate Swap: Manufacturing Company,
Currency Interest Rate Gapping, 271
Case: Currency Interest Rate Swap: Financial Institution, Pass Through
Structure, Currency Interest Rate Gapping, 273
Case: Interest Rate Swap: Financial Institution, Asset and Liability
Mismatch, Interest Basis Gapping, 276
Long Dated Forward Agreements, 278
Swaptions, 279
Differential Swaps, 280
Hedging Portfolios with Swaps, 282
Conclusion, 282
Chapter 14
Comparative Analysis, 283
Current Risk, 283
Interest Rate Risk, 286
Chapter 15
Concluding Remarks, 289
Appendix I
Forecasting Techniques, 294
1. Econometric Models, 294
2. Autoregressive Integrated Moving Average (ARIMA) Models, 296
3. Models Based on Chaos Theory, 297
Appendix II
Establishing Different Option Strategies
on Cash Market Positions, 301
: Appendix III
¦ Standard Documentation, 307
Forward Rate Agreements ( FRABBA terms), 308
: British Bankers Association (in association with the Foreign Exchange and Cur¬
rency Deposit Brokers Association), 308
The British Bankers Association and The Foreign Exchange Committee
International Currency Options Market (ICOM) Master Agreement and
Guide, 322
ISDA International Swap Dealers Association, Inc.
MASTER AGREEMENT, 338
Endnotes, 368
Index, 377
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| id | DE-604.BV009560315 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T17:37:08Z |
| institution | BVB |
| isbn | 0132261014 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006317330 |
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| physical | XII, 387 S. graph. Darst. |
| publishDate | 1993 |
| publishDateSearch | 1993 |
| publishDateSort | 1993 |
| publisher | New York Inst. of Finance |
| record_format | marc |
| spelling | Andersen, Torben Juul 1953- Verfasser (DE-588)14112735X aut Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts Torben Juul Andersen 2. ed. New York u.a. New York Inst. of Finance 1993 XII, 387 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financial Futures (DE-588)4128564-5 gnd rswk-swf Wechselkursänderung (DE-588)4129405-1 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Hedging (DE-588)4123357-8 s Wechselkursänderung (DE-588)4129405-1 s DE-604 Financial Futures (DE-588)4128564-5 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006317330&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Andersen, Torben Juul 1953- Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts Financial Futures (DE-588)4128564-5 gnd Wechselkursänderung (DE-588)4129405-1 gnd Hedging (DE-588)4123357-8 gnd |
| subject_GND | (DE-588)4128564-5 (DE-588)4129405-1 (DE-588)4123357-8 |
| title | Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts |
| title_auth | Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts |
| title_exact_search | Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts |
| title_full | Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts Torben Juul Andersen |
| title_fullStr | Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts Torben Juul Andersen |
| title_full_unstemmed | Currency and interest rate hedging a user's guide to options, futures, swaps, and forward contracts Torben Juul Andersen |
| title_short | Currency and interest rate hedging |
| title_sort | currency and interest rate hedging a user s guide to options futures swaps and forward contracts |
| title_sub | a user's guide to options, futures, swaps, and forward contracts |
| topic | Financial Futures (DE-588)4128564-5 gnd Wechselkursänderung (DE-588)4129405-1 gnd Hedging (DE-588)4123357-8 gnd |
| topic_facet | Financial Futures Wechselkursänderung Hedging |
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