Financial derivatives: hedging with futures, forwards, options and swaps
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London [u.a.]
Chapman & Hall
1995
|
| Ausgabe: | 1. ed. |
| Schriftenreihe: | The Chapman & Hall series in accounting & finance
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XVIII, 303 S. graph. Darst. |
| ISBN: | 0412627701 |
Internformat
MARC
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| 100 | 1 | |a Winstone, David |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Financial derivatives |b hedging with futures, forwards, options and swaps |c David Winstone |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a London [u.a.] |b Chapman & Hall |c 1995 | |
| 300 | |a XVIII, 303 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a The Chapman & Hall series in accounting & finance | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Hedging (Finance) | |
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Datensatz im Suchindex
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|---|---|
| adam_text | ^^p Contents
Acknowledgements xvii
Chapter 1 Introduction 1
Hedging with the cash market 2
What is a derivative? 3
OTC or exchange traded? 4
Credit risk and market risk 4
Hedgers, speculators and arbitrageurs 4
General points 5
Chapter 2 The nature of currency exposure 7
Types of currency exposure 8
Transaction risk 8
Translation risk 9
Economic exposure 10
Hedging or covering transaction risk 10
Summary 11
Key terms 11
Questions 11
Chapter 3 Internal hedging techniques 13
Selling and buying in one s own currency 13
Selling and buying in ECUs
(or other basket currencies) 14
Leading and lagging 14
Matching 15
Netting 15
Summary 16
Key terms 16
Questions 16
Chapter 4 Currency borrowing or currency deposits 17
Currency borrowing 17
Disadvantages of currency borrowing/depositing 19
A derivative 20
Summary 20
Key terms 20
Questions 21
Chapter 5 The foreign exchange market 23
Survey of the foreign exchange market 23
The spot market 24
Spot market quotation conventions 24
Key terms 26
Questions 26
Chapter 6 Forward exchange contracts 27
Forward exchange contracts — an outline 27
How to quote a forward rate 28
Fixed and option forward contracts 30
Forward contract close outs 31
Forward contract extensions 32
Forward contracts — a contingent liability 33
Forward rate margin determination 33
Cost/gain of forward cover 35
Forward contracts a derivative 36
Range forward contracts 39
Summary 39
Key terms 40
Questions 40
Chapter 7 Interest rate risk exposure 43
Interest rate volatility 43
Chapter 8 Forward/forwards 45
Determination of forward/forward rates 46
Summary 47
Key terms 48
Questions 48
Chapter 9 Forward or future rate agreements (FRAs) 49
FRA definition 49
Contract terms 49
Creating a hedge with an FRA 50
Settlement/reference rate 51
Sale and purchase of FRAs 51
An FRA in action 52
FRA settlement rates 53
FRA compensation formula 53
Further FRA market details 54
The bank as FRA market maker 54
FRA users 55
FRAs and forward contracts a comparison 56
x Contents
Forward/forward FRA arbitrage 56
Summary 57
, Questions 57
Chapter 10 An introduction to futures 59
Definitions of futures 59
! History of futures 60
Futures exchanges 61
Financial futures 62
: Forward delivery contracts to arrive 63
Trade in the forward agreement 63
Buying long and selling short 64
Futures price and cost of carry 65
i Futures price 66
f Basis and what makes futures prices change 67
{ Futures contracts standardisation 69
f Clearing house and exchange 70
I Margins 73
I Tick 75
Marking to market 75
Hedging and speculating with commodity futures 77
Basis risk 78
Basis, gains/losses on futures positions 79
Open interest and volume 80
Opening and settlement prices 80
Summary 81
Key terms 82
Questions 83
Further reading 83
Chapter 11 Interest rate futures 85
Introduction 85
Interest rate contracts 86
Definition interest rate futures 87
Users of interest rate futures 88
Bond prices and interest rates 88
Buying and selling interest rate futures 89
Price quotes short term interest rate futures 90
Basis point and tick 90
Futures prices and forward/forward rates 91
Interest rate futures and basis 91
Basis and fair value 92
Cash settlement, EDSP 92
Futures prices and the yield curve 93
Interest rate risk management and futures 94
Hedging short term interest rates an introduction 95
A short hedge, LIFFE Three month Sterling 95
A long hedge, CBOT 30 day interest future 98
Cash market price quotes bonds 100
Maturity, coupon and bond price sensitivity 100
The UK government bond (gilts) market 101
US Government bond (T bond) market 101
— Contents xi
I
Deliverable bonds 102
CTD bonds 102
Bond conversion factor 102
Cash equivalent price of bonds 103
Futures equivalent price of bonds 103
Invoice amount/EDSP and bond futures 103
Bond/futures price relationships cost of carry 104
Positive/negative cost of carry and bond futures 104
Bond futures prices in reality 106
Implied repo rate (IRR) — cost of carry 106
Rich/cheap futures prices 107
Contract highlights of the LIFFE
Long Gilt future, June 1993 delivery
onwards and newspaper quotes 107
A short hedge to protect asset values using
LIFFE Long Gilt futures 108
A weighted long hedge (US T bond) using
conversion factor 109
Weighted and unweighted hedges 110
Short weighted hedge price factor 111
Weighted hedges — an alternative 112
Choice of contract asset and delivery month 113
Summary 114
Key terms 115
Questions 115
Further reading 116
Chapter 12 Currency futures 117
Introduction 117
Currency futures a definition 118
Price quotes — currency futures 118
Buying long and selling short 118
Cost of carry currency futures 120
Currency futures and interest rate parity 122
Calculating the swap 123
Implied repo rate currency futures 123
A short hedge 124
A long hedge 126
Summary 127
Key terms 127
Questions 127
Further reading 128
Chapter 13 Advanced futures concepts 129
Introduction 129
Equivalency/hedge ratio, further considerations 129
Conversion factor weighting 131
Bonds and duration 131
Bonds and BPV 133
Weighting the hedge with BPV 134
ER and duration 135
Convexity and ERs 135
xii Contents
Contract strips 138
Rolling/stack hedge 139
Hedging odd time periods stubs and tails 139
A cross hedge 140
Futures and portfolio management 142
Changing portfolio duration using futures 143
; Summary 144
| Key terms 145
Questions 145
f Further reading 145
Chapter 14 An introduction to traded options 147
Definition of options 147
OTC/traded options 148
Puts and calls 149
Strike/exercise price 150
American, European and Asian options 150
History of options 151
Underlying assets 151
Option exchanges 152
Contract specifications 153
Intrinsic value 154
Premium, intrinsic and time value 154
In , out , at the money 155
Pay off diagrams 156
Pay off for a naked long call 158
Pay off for a naked short call 159
Pay off for a naked long put 160
Pay off for a naked short put 161
Summary of naked short and long calls and puts 162
Hedge strategies 163
Covered call writing 163
Protective put buying to hedge large asset price falls 166
Covered long call to hedge a rise in price 166
Put call parity relationship 168
Closing out/off setting 170
Exercising an option 170
Choice of strike and expiration 171
Spreads, straddles and strangles 171
Spreads 172
Vertical call spreads 172
A bull vertical call spread 172
A bull vertical put spread 173
A bear vertical call spread 174
A bear vertical put spread 176
Horizontal spreads 177
Straddles 177
Strangles 178
Further points 179
Hedging using more complex trading strategies 179
Hedging small price rises using a long bull call spread 180
Hedging small price falls using a long bear put spread 180
j Contents xiii
Open interest and volume 181
Summary 181
Key terms 183
Questions 183
Further reading 184
Chapter 15 Currency options 185
Introduction 185
Put and call conventions 187
Currency option definitions 188
Currency options on futures 188
Cross currency options 189
Currency option hedging strategies — an outline 190
Currency options to hedge contingencies 190
Currency options what is the best way to
hedge currency risk? 191
Exporter hedging scenarios 191
Covered at the money long call 191
Covered long out of the money call 192
Writing a covered at the money put 193
A covered currency bull vertical call spread 194
A currency zero cost fence/cylinder option 194
Variations on a cost fence 195
Currency option premium determination 196
Currency options and volatility 197
Currency option premiums and interest rate
differentials 197
American and European style currency
option intrinsic values 199
American in the money calls and intrinsic value 200
European in the money calls and intrinsic value 200
American in the money puts and intrinsic value 201
Intrinsic values, more relationships and a summary 202
Best value European or American options? 203
OTC currency options 204
Summary 204
Key terms 205
Questions 205
Further reading 206
Chapter 16 Interest rate options 207
Introduction 207
Why interest rate options on futures? 208
Puts and calls on underlying futures 208
Contract highlights — LIFFE option on
three month sterling 211
Price quotes and intrinsic value for LIFFE
Short Sterling options 212
Put/call parity LIFFE Short Sterling option 213
Hedging short term interest rates with
options an outline 213
Buying a cap to hedge short term
xiv Contents .
I borrowing a long put 214
f Buying a floor to hedge short term
* lending a long call 216
; An interest rate cap over more than one
option contract period 217
A short sterling lending collar 219
A short sterling borrowing collar 220
LIFFE Long Gilt futures option contract highlights 221
Price quotes LIFFE Long Gilt option 222
Hedging long term interest rates/bond prices
with options an outline 223
A long put to hedge falling bond prices 224
A long call to hedge rising bond prices 226
Writing a call 226
Writing a put 228
Hedging uncovered futures with options 230
Summary 231
Key terms 231
Questions 232
Further reading 234
Chapter 17 Option pricing 235
Introduction 235
Re cap on intrinsic and time value 236
Option price variables 238
erT continuous compounding/e~rT continuous
discount factor 238
Present value of the exercise rate 239
American calls 240
Option prices and interest rates 240
Put valuations 241
Prices of options on futures 241
Option price and volatility of the underlying 242
Black and Scholes Option Pricing Model 244
BSOPM, a worked example 245
LIFFE option pricing model 246
Implied volatility 247
Sensitivity of option price to changes in key variables 248
Delta (A) 248
Gamma (D 249
Theta (@) 250
Vega (kappa, lambda or sigma) 250
Summary 251
Key terms 251
Questions 252
Further reading 252
Chapter 18 Interest rate swaps 253
Interest rate swap definitions 253
Plain vanilla 253
Swaps terminology 255
Dealers and swap quotations 256
Contents xv
Swaps a string of FRAs or futures 258
Swaps a package of cash market bonds 258
Comparative advantage 259 j
Origin and development of the swap market 260 i
Interest rate swap users 261
Secondary market in swaps 261
Swaps as a hedging vehicle 262
Other interest rate swaps 263
Summary 268
Key terms 269
Questions 269
Further reading 270
Chapter 19 Currency swaps 271
Introduction 271
Currency swap definitions 271
Types of currency swaps 272
Currency swap basics 272
Fixed to fixed currency swap 272
A fixed to floating cross currency swap 275
Summary 276
Key terms 276
Questions 277
Further reading 277
Chapter 20 Summary/conclusions 279
Introduction 279
Corporate treasury losses 279
New developments at LIFFE 282
Single transaction strips 282
Single transaction butterfly 283
Serial options 283
Single trade futures and option strategies 284
Volume and open interest records for LIFFE contracts
as at 31 August 1994 285
Questions and further study 288
Further reading 289
Chapter 21 Postscript Barings Bank 291
Index 297
xvi Contents
|
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| illustrated | Illustrated |
| indexdate | 2024-07-09T17:52:21Z |
| institution | BVB |
| isbn | 0412627701 |
| language | English |
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| physical | XVIII, 303 S. graph. Darst. |
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| publisher | Chapman & Hall |
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| series2 | The Chapman & Hall series in accounting & finance |
| spelling | Winstone, David Verfasser aut Financial derivatives hedging with futures, forwards, options and swaps David Winstone 1. ed. London [u.a.] Chapman & Hall 1995 XVIII, 303 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier The Chapman & Hall series in accounting & finance Derivative securities Hedging (Finance) Hedging (DE-588)4123357-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Hedging (DE-588)4123357-8 s Derivat Wertpapier (DE-588)4381572-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=006947946&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Winstone, David Financial derivatives hedging with futures, forwards, options and swaps Derivative securities Hedging (Finance) Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4123357-8 (DE-588)4381572-8 |
| title | Financial derivatives hedging with futures, forwards, options and swaps |
| title_auth | Financial derivatives hedging with futures, forwards, options and swaps |
| title_exact_search | Financial derivatives hedging with futures, forwards, options and swaps |
| title_full | Financial derivatives hedging with futures, forwards, options and swaps David Winstone |
| title_fullStr | Financial derivatives hedging with futures, forwards, options and swaps David Winstone |
| title_full_unstemmed | Financial derivatives hedging with futures, forwards, options and swaps David Winstone |
| title_short | Financial derivatives |
| title_sort | financial derivatives hedging with futures forwards options and swaps |
| title_sub | hedging with futures, forwards, options and swaps |
| topic | Derivative securities Hedging (Finance) Hedging (DE-588)4123357-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivative securities Hedging (Finance) Hedging Derivat Wertpapier |
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