Managing risk with financial futures: hedging, pricing and arbitrage
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chicago, Ill. u.a.
Probus
1993
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 398 S. |
| ISBN: | 155738455X |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | Table of Contents
Preface ix
Acknowledgements xi
PART I. INTRODUCTION AND CONCEPTS
Chapter 1. Financial Futures: Unique Markets 1
A View of Forward and Futures Markets 1
Futures Markets: Criteria, Criticisms, and Uses 8
Chapter 2. Quotations, Characteristics, and Concepts of
Futures Markets , 17
Basic Information for All Types of Futures Contracts 17
Stock Index Futures Quotations and Characteristics 19
Short Term Interest Rate Instruments 24
Long Term Interest Rate Instruments 30
Currency Futures 34
International Futures Markets 37
Other U.S. Futures Contracts 41
Chapter 3. Terminology and Concepts for Futures Markets 43
Futures Terminology and Concepts 43
Speculation, Hedging, and Spreading in Futures Markets 53
PART II. PRICING AND ARBITRAGE
Chapter 4. The Basics of Futures Pricing and Arbitrage 63
Pricing and Arbitrage Basics 63
Stock Index Futures Pricing and Arbitrage 70
Forward and Implied Repo Rates: The Foundation
of Debt Arbitrage 71
Executing Short Term Interest Rate Arbitrage 77
Factors Affecting T Bond Pricing and Arbitrage 78
A Summary of Pricing Futures Contracts Across Markets 80
v
tf Table of Contents
Appendix 4A. Spreads and Strips 83
Pricing Spreads 83
Initiating Spread Transactions 85
Strips: The Pricing and Arbitrage of Deferred Futures Contracts 87
Appendix 4B. The Pricing of Currency Futures Contracts 91
Chapter 5. Stock Index Futures Pricing and Arbitrage 93
Pricing Stock Index Futures 93
Stock Index Futures Arbitrage: Program Trading 100
Futures and the Market Crash 114
Chapter 6. Debt Instruments, Yield Curves, and Bond Portfolio
Management 121
A Few Basic Concepts 121
Yield Curves 124
Analyzing Bond Portfolio Returns 126
Fixed Income Portfolio Management 129
Interest Rate Swaps 134
Chapter 7. T Bond Futures Pricing and Arbitrage 137
T Bond Futures Pricing: The Cost of Carry Factor 137
T Bond Futures Pricing: Conversion Factors and Delivery Options 140
Implementation of T Bond Arbitrage Strategies 152
T Bond Futures Arbitrage: Empirical Evidence and
Determining the Value of the Delivery Options 160
Municipal Bond Futures Pricing 165
Chapter 8. Short Term Interest Rate Futures Pricing and Arbitrage 167
Pricing Short Term Interest Rate Contracts 167
Arbitrage for Short Term Interest Rate Contracts 170
Eurodollar Futures Pricing and Arbitrage 171
T Bill Futures Pricing and Arbitrage 176
Empirical Results for T Bill Futures Arbitrage 182
Appendix 8A. Other T Bill Arbitrage Strategies 187
PART III. HEDGING AND RISK MANAGEMENT: CONCEPTS AND
TECHNIQUES
Chapter 9. Hedging Concepts 191
Hedging Concepts: An Introduction 192
Types of Short Hedges 197
Using Long Hedges 201
Table of Contents vii
Crosshedges and Changing Volatilities of an Asset Position 205
Returns, Basis, and Cash Flows 207
Making the Hedging Decision 211
Chapter 10. The Naive and Regression Hedging Techniques 217
Naive Hedge Ratios 217
The Regression Procedure 222
The Evidence on Hedging Effectiveness and Hedge Ratios 227
Considerations in Determining a Hedge Ratio 236
Hedge Ratio Instability 238
Appendix 10A. Risk Return Hedging Models 243
Chapter 11. Duration and Immunization 251
Duration: The Concepts 251
Immunization 263
Evidence Concerning Duration and Immunization 268
Assumptions of Duration and Immunization 269
Contingent Immunization 272
Appendix 11 A. Immunization Risk 275
Chapter 12. The Duration Hedging Technique 277
Applying Duration Concepts to Futures Hedging 277
Examining the Duration Based Hedging Model 282
Evidence on Duration Based Hedge Ratios 288
Difficulties with and Solutions to the Duration Hedge Model 290
PART IV. APPLICATIONS OF FUTURES TO RISK MANAGEMENT
Chapter 13. Futures and Portfolio Management 303
Pension and Investment Fund Applications 304
Fixed Income Applications 305
Stock Market Applications 312
Combination Strategies 319
Appendix 13A. How Dealers and Underwriters Use Futures Markets 323
Chapter 14. Applications of Futures to Financial Institutions 327
Introduction: Financial Institutions and Futures 327
Asset Liability/Spread Management 330
Hedging Maturity Gaps 336
Asset Management and the Interest Rate Cycle 339
Hedging Certificates of Deposit 341
vlii Table of Contents
Synthetic Fixed Rate Loans 348
Mortgage Banking and Fixed Rate Mortgages 351
Appendix 14A. Accounting and Regulation Issues 353
Appendix 14B. Analyzing Gaps: Approaches and Difficulties 357
Chapter 15. Corporate and Insurance Applications of Futures 367
Corporate Asset Liability Management, Working Capital,
and Futures 367
Micro Hedges of Futures for Corporations 369
Insurance Product Applications 373
Glossary 379
Credits 389
Index 391
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| spelling | Daigler, Robert T. Verfasser aut Managing risk with financial futures hedging, pricing and arbitrage Robert T. Daigler Chicago, Ill. u.a. Probus 1993 XII, 398 S. txt rdacontent n rdamedia nc rdacarrier Risicoanalyse gtt Termijnhandel gtt Financial futures United States Risk management USA HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006776444&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Daigler, Robert T. Managing risk with financial futures hedging, pricing and arbitrage Risicoanalyse gtt Termijnhandel gtt Financial futures United States Risk management |
| title | Managing risk with financial futures hedging, pricing and arbitrage |
| title_auth | Managing risk with financial futures hedging, pricing and arbitrage |
| title_exact_search | Managing risk with financial futures hedging, pricing and arbitrage |
| title_full | Managing risk with financial futures hedging, pricing and arbitrage Robert T. Daigler |
| title_fullStr | Managing risk with financial futures hedging, pricing and arbitrage Robert T. Daigler |
| title_full_unstemmed | Managing risk with financial futures hedging, pricing and arbitrage Robert T. Daigler |
| title_short | Managing risk with financial futures |
| title_sort | managing risk with financial futures hedging pricing and arbitrage |
| title_sub | hedging, pricing and arbitrage |
| topic | Risicoanalyse gtt Termijnhandel gtt Financial futures United States Risk management |
| topic_facet | Risicoanalyse Termijnhandel Financial futures United States Risk management USA |
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