Market risk analysis: 3 Pricing, hedging and trading financial instruments
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2009
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| Ausgabe: | repr. with corrections |
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| ISBN: | 9780470997895 |
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| 020 | |a 9780470997895 |9 978-0-470-99789-5 | ||
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| 049 | |a DE-91 |a DE-384 |a DE-945 |a DE-N2 |a DE-634 |a DE-11 |a DE-473 |a DE-739 | ||
| 100 | 1 | |a Alexander, Carol |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Market risk analysis |n 3 |p Pricing, hedging and trading financial instruments |c Carol Alexander |
| 250 | |a repr. with corrections | ||
| 264 | 1 | |a Chichester [u.a.] |b Wiley |c 2009 | |
| 300 | |a XXX, 386 S. |b graph. Darst. |e 1 CD-ROM (12 cm) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Hier auch später erschienene, unveränderte Nachdrucke | ||
| 650 | 4 | |a Hedging |x (Finance) | |
| 650 | 4 | |a Risk management | |
| 773 | 0 | 8 | |w (DE-604)BV023295503 |g 3 |
| 856 | 4 | 2 | |m Digitalisierung UB Bamberg |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017103757&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
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| adam_text | Contents
List of Figures xiii
List of Tables x«i
List of Examples
xix
Foreword
xx«
Preface to Volume
Ш
xxv
Ш.1
Bonds and Swaps
1
Ш.І.1
Introduction
1
ПІЛ.
2
Interest Rates
2
ПІЛ
.2.1
Continuously Compounded Spot and Forward Rates
3
ШЛ.2.2
Discretely Compounded Spot Rates
4
ШЛ
.2.3
Translation between Discrete Rates and Continuous
Rates
6
Ш.
1.2.4
Spot and Forward Rates with Discrete Compounding
6
Ш.1.2.5
LIBOR
8
Ш.1.3
Categorization of Bonds
8
Щ.
1.3.1
Categorization by Issuer
9
DOLI
.3.2
Categorization by Coupon and Maturity
10
Ш
.1.4
Characteristics of Bonds and Interest Rates
10
ПІ
.1.4.1
Present Value, Price and Yield
11
Ш.
1.4.2
Relationship between Price and Yield
13
Ш.
1.4.3
Yield Curves
14
Ш.
1.4.4
Behaviour of Market Interest Rates
17
ІП.
1,4.5
Characteristics of Spot and Forward Term Structures
19
ПІЛ
.5
Duration and Convexity
20
ПІЛ
.5.1
Macaulay Duration
21
ІП
Л
.5.2
Modified Duration
23
Ш.
1.5.3
Convexity 24
Ш.1
.5.4
Duration and Convexity of a Bond Portfolio
24
Ш.
1.5.5
DuratioD-Convexiry Approximations to Bond Price
Change
25
Ш.1.5.6
Inmonizing Bond Portfolios
26
Contents
Ш.1.6
Bonds
with Semi-Annual and
Floating Coupons 28
HI.
1.6.1 Semi-Annual
and Quarterly Coupons
29
Ш.
1.6.2
Floating Rate Notes
31
Ш.
1.6.3
Other Floaters
33
Ш.1.7
Forward Rate Agreements and Interest Rate Swaps
33
Ш.
1.7.1
Forward Rate Agreements
34
Ш.1.7.2
Interest Rate Swaps
35
Ш.1.7.3
Cash Rows on Vanilla Swaps
36
Ш.
1.7.4
Cross-Currency Swaps
38
Ш.
1.7.5
Other Swaps
40
Ш
. 1.8
Present Value of a Basis Point
41
Ш.1.8.1
PV01 and Value Duration
41
Ш.1.8.2
Approximations to PV01
44
Ш.1.8.3
Understanding Interest Rate Risk
45
Ш.1.9
Yield Curve Fitting
48
Ш.1.9.1
Calibration Instruments
48
Ш.
1.9.2
Bootstrapping
49
Ш.1.9.3
Splines
51
Ш.
1.9.4
Parametric Models
52
Ш.
1.9.5
Case Study: Statistical Properties of Forward
DOBOR
Rates
53
Ш.1.І0
Convertible Bonds
59
m.LlO.l Characteristics of Convertible Bonds
60
ПІЛ
.10.2
Survey of Pricing Models for Convertible Bonds
61
Ш.1.11
Summary and Conclusions
62
Ш.2
Futures and Forwards
65
Ш.2.1
Introduction
65
HI.2.2 Characteristics of Futures and Forwards
68
Ш.2.2.1
Interest Rate and Swap Futures
68
Ш.2.2.2
Bond Futures
70
Ш.2.2.3
Currency Futures and Forwards
73
Ш.2.2.4
Energy and Commodity Futures
74
Ш.2.2.5
Stock Futures and Index Futures
79
Ш.2.2.6
Exchange Traded Funds and ETF Futures
80
Ш.2.2.7
New Futures Markets
82
Ш.2.3
Theoretical Relationships between Spot, Forward and Futures
87
Ш.2.3.1
No Arbitrage Pricing
87
Ш.2.3.2
Accounting for Dividends
88
ГО.2.3.3
Dividend Risk and Interest Rate Risk
90
IIL2.3.4 Currency Forwards and the Interest Rate Differential
91
Ш.2.3.5
No Arbitrage Prices for Forwards on Bonds
92
ffi.2.3.6 Commodity Forwards, Carry Costs and Convemence
Yields
93
Ш.2.3.7
Fair Values of Futures and Spot
94
ffi.2.4 The Basis
95
Ш.2.4.1
No Arbitrage Range
95
Contents ix
Ш.2.4.2
Correlation between Spot and Futures Returns
97
ΙΠ.2.4.3
Introducing Basis Risk
98
Ш.2.4.4
Basis Risk in Commodity Markets
100
Ш.2.5
Hedging with Forwards and Futures
101
Ш.2.5.1
Traditional Insurance Approach
102
Ш.2.5.2
Mean-Variance Approach
104
Ш.2.5.3
Understanding the Minimum Variance Hedge Ratio
106
Ш.2.5.4
Position Risk
108
Ш.2.5.5
Proxy Hedging
110
Ш.2.5.6
Basket Hedging 111
Ш.2.5.7
Performance Measures for Hedged Portfolios
112
ΙΠ.2.6
Hedging in Practice
113
Ш.2.6.1
Hedging Forex Risk
113
Ш.2.6.2
Hedging International Stock Portfolios
114
Ш.2.6.3
Case Study: Hedging an Energy Futures Portfolio
118
Ш.2.6.4
Hedging Bond Portfolios
124
Ш.2.7
Using Futures for Short Term Hedging
126
Ш.2.7.1
Regression Based Minimum Variance Hedge Ratios
127
Ш.2.7.2
Academic Literature on Minimum Variance Hedging
129
Ш.2.7.3
Short Term Hedging in Liquid Markets
131
Ш.2.8
Summary and Conclusions
133
Ш.З
Options
137
Ш.3.1
Introduction
137
Ш.3.2
Foundations
139
Ш.3.2.1
Arithmetic and Geometric Brownian Motion
140
Ш.3.2.2
Risk Neutral Valuation
142
Ш.3.2.3
Numeraire and Measure
144
Ш.3.2.4
Market Prices and Model Prices
146
Ш.3.2.5
Parameters and Calibration
147
Ш.3.2.6
Option Pricing: Review of the Binomial Model
148
Ш.З.З
Characteristics of Vanilla Options
151
Ш.3.3.1
Elementary Options
152
Ш.3.3.2
Put-Call Parity
153
Ш.З.З.З
Moneyness
154
Ш.3.3.4
American Options
155
Ш.3.3.5
Early Exercise Boundary
156
Ш.3.3.6
Pricing American Options
158
Ш.3.4
Hedging Options
159
Ш.3.4.1
Delta
159
Ш.3.4.2
Delta Hedging
161
Ш.3.4.3
Other Greeks
161
Ш.3.4.4
Position Greeks
163
Ш.3.4.5
Deltar-Gamma Hedging
164
Ш.3.4.6
Delta-Gamma-Vega Hedging
165
Ш.3.5
Trading Options
167
Ш.3.5.1
Bull Strategies
167
Contents
ΙΠ.3.5.2
Bear Strategies
168
Ш.3.5.3
Other Spread Strategies
169
HI.3.5.4 Volatility Strategies
ITO
Ш.3.5.5
Replication of P&L Profiles
172
Ш.3.6
The Black-Scholes-Merton Model
173
Ш.3.6.1
Assumptions
174
Ш.3.6.2
Black-Scholes-Merton PDE
175
Ш.3.6.3
Is the Underlying the Spot or the Futures Contract?
176
Ш.3.6.4
Black-Scholes-Merton Pricing Formula
178
Ш.3.6.5
Interpretation of the Black-^Scholes-Merton Formula
180
Ш.3.6.6
Implied Volatility
183
Ш.3.6.7
Adjusting BSM Prices for Stochastic Volatility
183
Ш.3.7
The Black-Scholes-Merton Greeks
186
Ш.3.7.1
Delta
187
Ш.3.7.2
ThetaandRho
188
Ш.3.7.3
Gamma
189
Ш.3.7.4
Vega,
Vanna
and Volga
190
Ш.3.7.5
Static Hedges for Standard European Options
193
Ш.3.8
Interest Rate Options
194
Ш.3.8.1
Caplets and Fiooriets
195
Ш.3.8.2
Caps, Floors and their Implied Volatilities
196
Ш.3.8.3
European Swaptions
198
Ш.3.8.4
Short Rate Models
199
Ш.3.8.5
LIBOR
Model
201
Ш.3.8.6
Case Study: Application of PCA to
LIBOR
Model
Calibration
203
Ш.3.9
Pricing Exotic Options
207
Ш.3.9.1
Pay-off
s
to Exotic Options
208
Ш.3.9.2
Exchange Options and Best/Worst of Two Asset Options
209
Ш.3.9.3
Spread Options
211
Ш.3.9.4
Currency Protected Options
213
Ш.3.9.5
Power Options
214
Ш.3.9.6
Chooser Options and Contingent Options
214
Ш.3.9.7
Compound Options
216
Ш.3.9.8
Capped Options and Ladder
Options
216
Ш.3.9.9
Look-Back and Look-Forward Options
218
Ш.З.9.
10
Barrier Options
219
Ш.3.9Л1
Asian Options
221
Ш.3.
10
Summary and ConclusioHS
224
Ш.4
Volatility
227
Ш.4.1
Introduction
227
Ш.4.2
Implied Volatility
231
Ш.4.2.Ї
Backing Out Implied Volatility from a Market Price
231
Ш.4.2.2
Equity Index Volatility Skew
233
Ш.4.2.3
Smiles and Skews in Other Markets
236
Contents
Ш.4.2.4
Tenn
Structures
of Implied Volatilities
238
Ш.4.2.5
Implied Volatility Surfaces
239
Ш.4.2.6
Cap and Caplet Volatilities
240
Ш.4.2.7
Swaption Volatilities
242
Ш.4.3
Local Volatility
243
Ш.4.3.1
Forward Volatility
244
Ш.4.3.2
Dupire s Equation
245
Ш.4.3.3
Parametric Models of Local Volatility
248
Ш.4.3.4
Lognormal
Mixture Diffusion
249
UL4.4 Modelling the Dynamics of Implied Volatility
255
Ш.4.4.1
Sticky Models
255
Ш.4.4.2
Case Study I: Principal Component Analysis of Implied
Volatilities
257
Ш.4.4.3
Case Study
П:
Modelling the ATM Volatility-Index
Relationship
261
Ш.4.4.4
Case Study
Ш:
Modelling the Skew Sensitivities
264
ΙΠ.4.4.5
Applications of Implied Volatility Dynamics to Hedging
Options
265
Ш.4.5
Stochastic Volatility Models
268
Ш.4.5.1
Stochastic Volatility PDE
269
Ш.4.5.2
Properties of Stochastic Volatility
271
Ш.4.5.3
Model Implied Volatility Surface
275
Ш.4.5.4
Model Local Volatility Surface
277
ΙΠ.4.5.5
Heston Model
278
Ш.4.5.6
GARCH Diffusions
280
Ш.4.5.7
CEV and SABR Models
285
Ш.4.5.8
Jumps in Prices and in Stochastic Volatility
287
ΠΙ.4.6
Scale
Invariance
and Hedging
289
Ш.4.6Л
Scale
Invariance
and Change of Numeraire
291
Ш.4.6.2
Definition of Scale
Invariance
291
Ш.4.6.3
Scale
Invariance
and Homogeneity
292
Ш.4.6.4
Model Free Price Hedge Ratios
294
Ш.4.6.5
Minimum Variance Hedging
297
Ш.4.6.6
Minimum Variance Hedge Ratios in Specific Models
299
Ш.4.6.7
Empirical Results
300
IH.4.7 Trading Volatility
303
Ш.4.7Л
Variance Swaps and Volatility Swaps
304
Ш.4.7.2
Trading Forward Volatility
306
Ш.4.7.3
Variance Risk Premium
307
ΠΙ.4.7.4
Construction of a Volatility Index
308
Ш.4.7.5
Effect of the Skew
309
Ш.4.7.6
Term Structures of Volatility Indices
309
Ш.4.7.7
Vix and Other Volatility Indices
3
1
1
Ш.4.7.8
Volatility Index Futures
312
Ш.4.7.9
Options on Volatility Indices
314
DŁ4.7J0
Using Realized Volatility Forecasts to
Trate
Volatility
315
Ш.4.8
Summary and Conclusion
316
xii Contents
Ш.5
Portfolio
Mapping
321
Ш.5.1
Introduction
321
Ш.5,
2
Risk Factors and Risk Factor Sensitivities
323
Ш.5.2.1
Interest Rate Sensitive Portfolios
323
Ш.5.2.2
Equity Portfolios
324
Ш.5.2.3
International Exposures
327
Ш.5.2.4
Commodity Portfolios
328
Ш.5.2.5
Option Portfolios
328
Ш.5.2.6
Orthogonalization of Risk Factors
330
Ш.5.2.7
Nominal versus Percentage Risk Factors and Sensitivities
330
Ш.5.3
Cash Flow Mapping
332
Ш.5.3.1
Present Value Invariant and Duration Invariant Maps
332
Ш.5.3.2
PV01 Invariant Cash Flow Maps
333
Ш.5.3.3
Volatility Invariant Maps
334
Ш.5.3.4
Complex Cash Flow Maps
336
Ш.5.4
Applications of Cash Flow Mapping to Market Risk Management
337
Ш.5.4.1
Risk Management of Interest Rate Sensitive Portfolios
337
Ш.5.4.2
Mapping Portfolios of Commodity Futures
338
Ш.5.5
Mapping an Option Portfolio to Price Risk Factors
340
Ш.5.5.1
Taylor Expansions
341
Ш.5.5.2
Value Delta and Value Gamma
342
Ш.5.5.3
Delta-Gamma Approximation: Single Underlying
344
Ш.5.5.4
Effect of Gamma on Portfolio Risk
346
Ш.5.5.5
Price Beta Mapping
347
Ш.5.5.6
Delta-Gamma Approximation: Several Underlyings
349
Ш.5.5.7
Including Time and Interest Rates Sensitivities
351
Ш.5.6
Mapping Implied Volatility
353
Ш.5.6Л
Vega
Risk in Option Portfolios
353
ΙΠ.5.6.2
Second Order Approximations:
Vanna
and Volga
354
Ш.5.6.3
Vega
Bucketing
355
Ш.5.6.4
Volatility Beta Mapping
356
Ш.5.7
Case Study: Volatility Risk in FTSE
100
Options
357
Щ.5.7Д
Estimating the Volatility Betas
357
IH.5.7.2 Model Risk of Volatility Mapping
360
Ш.5.7.3
Mapping to Term Structures of Volatility Indices
361
ΙΠ.5.7.4
Using PCA with Volatility Betas
361
ΠΙ.5.8
Summary and Conclusions
364
References
367
Index
377
List of Figures
Ш.1.1
Price-yield curves
14
Ш.1.15
Ш.1.2
Bond price versus
maturity
15
ШЛЗ
Bond yield versus
Ш.1.16
maturity
16
Ш.1.4
US Treasury 3-month spot
rate,
1961-2006
17
Ш.1.17
Ш.1.5
UK spot rate curve,
January
2000
to December
Ш.1.18
2007
19
Ш.1.6
UK government spot and
Ш.1.19
6-month forward rates on
(a)
2
May
2000
and (b)
2
Ш.2.1
May
2003
20
Ш.1.7
Future value of a bond
under two different yield
Ш2Л
curves
23
Ш.1.8
Cash flows on a vanilla
Ш.2Ј
swap
37
Ш.1.9
801
as a function of
Ш.2.4
maturity
42
Ш.1.10
Uncertainty about future
values of a single cash
Ш.2Ј
flow
47
пилі
UK
LIBOR
curve
Ш2Љ
(Svensson
model)
53
Ш.1.12
UK
LIBOR
curve
ML2.7
(B-splines)
54
ІЛ.1.13
Difference between
Ш.2.8
Svensson
rates and
B-spline rates
54
ML23
Ш.1.14
RMSE errors from the
model calibrations
55
Forward rate volatility
estimates based on
B-splines and
Svensson
56
Forward rate correlation
estimates
(Svensson
model)
57
Forward rate correlation
estimates (B-spline model)
57
Bank of England forward
curve
-
volatilities
58
Bank of England forward
curve
—
correlations
58
Price-yield relationship
for
5%
semi-annual bond
with maturity
7
years
71
Cheapest to deliver as a
function of yield
73
TO crude oil constant
maturity futures prices
76
Henry Hub natural gas
constant maturity futures
prices
77
PJM electricity constant
maturity futures prices
77
Silver constant maturity
futures prices
78
Yellow corn constant
maturity futures prices
78
Lean hogs constant
maturity futures prices
79
Volume and open interest
on all Vix futures traded
on
СВОЕ
84
XIV
List of Figures
ПІ.2Л0
Vix December
2007
Ш.3.2
Pay-offs to a standard call
futures prices and open
and put and an up and out
interest
85
barrier
152
Ш.2.11
The no arbitrage range for
ШЗЗ
Early exercise boundary
the market price of a
for an American call
157
financial future
96
IIŁ3.4
Early exercise boundary
m.2.12
Correlation between spot
for an American put
158
and futures prices: crude
Ш35
Relationship between
oil
98
underlying price, delta and
Ш.2ЛЗ
The fair value of the basis
gamma
160
over time
99
Ш.3.6
Bull spread or long collar
Ш.2Л4
Spot and futures price of
P&L
168
electricity
101
Ш3.7
Bear spread or short collar
Ш.2Л5
Mean-variance hedging
P&L
169
with perfect hedge
104
Ш3.8
P&L to
2:1
call ratio
m.2.16
Mean-variance hedging
spread
170
with proxy hedge or
Ш3.9
P&L to
2:1
put ratio
maturity mismatch
105
spread
170
Ш.2Л7
Reconstructed price series
ПОЛО
Straddle P&L
171
Ш.2.18
for the portfolio
NYMEX
WÏÏ
crude oil
constant maturity futures
119
t
on
ШЗЛ1
ШЗЛ2
Strangle P&L
P&L profile of butterfly
spread
171
171
Ш.2Л9
IEL2.20
prices
NYMEX heating oil
constant maturity futures
prices
NYMEX unleaded
12U
120
ШЗЛЗ
ШЗЛ4
ШЗЛ5
P&L profile of condor
Replicating a simple P&L
profile
Black-Scholes-Merton
172
172
gasoline constant maturity
futures prices
121
call option prices as a
function of
S
181
Ш.2.21
EWMA minimum
ШЗЛ6
Adjusting option prices for
variance hedge ratios for
uncertainty in volatility
185
crude oil
128
ШЗЛ7
BSM delta for options of
Ш.2.22
Minimum variance hedge
different strike and
ratios for the FTSE
100
maturity
187
stock index
131
ШЈЛ8
BSM theta for options of
Ш.2.23
Effectiveness of minimum
different strike and
variance hedging over
maturity
189
time: FTSE
100
132
ШЈЛ9
BSM rho for options of
Ш.2.24
Effectiveness of minimum
different strike and
variance hedging over
maturity
189
time: NASDAQ
132
Ш3.20
BSM gamma for options
Ш.2.25
Effectiveness of minimum
of different strike and
variance hedging over
maturity
190
time: Hang Seng
133
ПО.2І
Black-Scholes-Mertoo
ШЗ.1
Binomial tree with three
option prices as a function
steps
149
of volatility
191
List of Figures
xv
ΙΠ.3.22
BSM
vega
for options of
Ш.4.3
different strike and
maturity
191
Ш.3.23
BSM
volga
for options of
Ш.4.4
different strike and
maturity
192
m.4.5
Ш.3.24
BSM
vanna
for options of
different strike and
III.4.Ó
maturity
192
Ш.3.25
Time line of spot and
Ш.4.7
forward rates
196
Ш3.26
Historical data on UK
Ш.4.8
forward
LIBOR
rates
203
Ш.3.27
Forward rate historical
volatilities
204
Ш.4.9
Ш3.28
Forward rate historical
correlations
205
Ш.3.29
The first three
Ш.4.10
eigenvectors of the
Ш.4.11
forward rate correlation
matrix
205
ПОЗО
Volatility factors
207
Ш.4.12
Ш.3.31
Value of exchange option
versus asset s correlation
210
Ш.332
Approximate price for a
Ш.4.13
spread option as a
function of
M
212
ШЈЗЗ
Quanto
versus compo put
Ш.4.14
price as a function of
strike
214
ШЈ34
Price of chooser versus
Ш.4.15
choice time (days before
Ш.4Л6
expiry)
215
Ш.4.17
Ш-335
Price of a capped caU
versus cap level
217
Ш.4.18
ШЗЈ6
Price of look-forward put
option versus minimum
Ш.4.19
price achieved so far
219
ПІ337
Up and out barrier call
price with respect to
Ш.4Ј0
maturity
221
Ш.4.1
Solver setting for backing
out implied volatility
232
Ш.4.2
Implied volatility skew of
ША21
March
2ΘΟ5
FTSE
100
index future options
234
Volatility skews on crude
oil options in March
2006 237
Volatility skews on natural
gas options in March
2006 237
Equity implied volatility
term structures
239
S&P
500
implied
volatility surface
240
A swaption volatility
surface
243
Implied volatility surface
for the option prices in
Table
Ш.4.4
246
Local volatility surface for
the option prices in Table
Ш.4.4
247
Market implied volatilities
252
Comparison of
lognormal
mixture and BSM
deltas
252
Comparison of
lognormal
mixture and BSM
gammas
253
One-month implied
volatilities, ATM volatility
and the FTSE
100
index
258
Fixed strike spreads over
ATM volatility and the
FTSE
100
index
259
Eigenvectors (covariance)
260
Eigenvectors (correlation)
261
First three principal
components
261
ATM implied volatility
sensitivity to FTSE index
263
Up and down returns
sensitivities in the
quadratic EWMA model
264
Fixed strike price
sensitivities of 1-month
FTSE
100
options on
í
October
Ï998
265
Comparison of BSM and
adjusted market position
deltas
267
xvi
List of Figures
Ш.436
Ш.4.22
Mean reversion in
variance
274
Ш.4.23
Local volatility surface
belonging to a stochastic
volatility model
277
Ш.4.24
Simulation of price and
Heston volatility
279
Ш.4.25
Comparison of GARCH
and Heston volatility
simulations
283
Ш.4.26
Simulations from CEV
processes
285
Ш.4.27
SABR price and alpha
286
Ш.4.28
Simulation from Merton s
lognormal
јитр
diffusion
288
Ώ3.Α29
Why scale
invariance
models have floating local
volatility smiles
293
Ш.4
.30
Comparison of hedging
error distributions: delta
hedge
302
Ш.431
Comparison of hedging
error distributions:
delta-gamma hedge
302
Ш.4Ј2
Bloomberg variance swap
rates
305
Ш.4-33
Calendar spread on
variance swap rates
306
Ш.5.6
Ш.4.34
Ex post 30-day variance
risk
premia
307
Ш5.7
Ш.435
Vftse
30
and the FTSE
100
index
310
Ш.4Ј7
Ш.438
Ш.439
Ш.4.40
ША41
Ш.5.1
IIŁ5.2
ШЈ.4
Ш5.5
Term structures of FTSE
100
implied volatility
indices during
2005 310
Vftse term structure on
14
June
2006 311
Volatility indices, daily
historical data
312
Comparison of Yix
volatility and Vix futures
volatility
314
The Vix smile surface on
30
May
2007 315
Skews in Vix options
315
A volatility invariant
commodity futures or
forwards mapping
340
Delta—gamma
approximation
344
Effect of positive gamma
347
Three-month ATM and
fixed strike implied
volatilities of the FTSE
100
index
358
EWMA volatility betas
(λ
= 0.95)
with respect to
the 3-month ATM implied
volatilities of the FTSE
100
index
359
Vftse term structure
during
2006 362
Factor weights on the
first three principal
components
363
List of Tables
Ш.1.1
Discretely compounded
Ш.1.22
spot and forward rates
7
Ш.1.2
Examples of bonds
9
Ш.1
m.i3
Market interest rates
12
Ш.1.4
Bond prices
12
Ш.1.5
Bond yields
13
Ш.2
Ш.1.6
Some market interest rates
15
Ш.1.7
Estimates and standard
errors of one-factor
пил
interest rate model
18
Ш.1.8
Macaulay duration of a
ШЛА
simple bond
22
Ш.1.9
A zero coupon yield curve
22
ШЈЅ.5
ПИ.10
Duration-convexity
approximation
26
DLLll
Two bonds
27
ПО
6
Ш.1.12
Value duration and value
convexity
27
Ш.1.13
An immunized bond
WL2J
portfolio
28
Ш.1.14
The value of a vanilla
ÏBLH5
swap
USD and GBP 6-monm
36
тал
LIBOR
rates and spot
GBP/USD exchange rate
38
Ш.1.16
Payments on a
Ш.2.У
cross-currency basis swap
39
Ш.1.17
PV01 for a bond
43
ULLIS
PVQl for a cash flow
45
ШЈЛв
Ш.1.19
Forward rates and their
volatilities (in basis
ШЈ.1
points)
46
Ш.1Ј0
Expectation and standard
шзл
deviation of future PV
47
Щ.І.21
Six bonds
50
шдз
Bootstrapping zero
coupon yields
50
Bond futures prices,
volume and open interest,
19
October
2007 70
Conversion factors for
10-year US Treasury note
futures
72
Contract specifications for
French com futures
75
ETFs in the United States,
Europe and the world
81
Correlation between spot
and futures returns: stock
indices
97
Number of
ratures
contracts in an energy
futures trading book
118
Daily correlations of
futures prices at selected
maturities
121
Results of PCA on the
futures returns covariance
matrix
122
Minimum variance hedges
to reduce to volatility of
the futures portfolio
124
Daily
minimum
variance
hedge ratios,
2001-2006 127
Moneyness of vanilla puts
and calls
155
Example of delta-gamma
hedged portfolio
165
Position Greeks
166
xviii
List of Tables
ШІ.4
Black-Scholes-Merton
Greeks (with respect to a
spot price)
Ш3.5
BSM Greeks for a
150-day put option with
strike
90
HL3.6 BSM prices and Greeks
for some forex options
HL3.7 Forward rates (on
1
April
2009)
and cash flow
schedule for the cap
ШЛ.8
Caplet and flooriet prices
and sensitivities
Ш.3.9
Eigenvectors, volatilities
and forward rate volatility
factors
Ш3.10
Best of/worst of option
prices
Ш.4.1
Market prices of March
options on FTSE
100
index: Closing prices on
19
January
2005
Ш.4ЈЅ
S&P
500
implied
volatilities,
1
April
2003
IDL43 ATM swaption implied
volatilities for US
LIBOR
swaptions,
5
March
2004
Ш.4.4
Call option prices
Ш.4.5
Market prices of standard
European call options
ША6
Eigenvalues
Ш.4-7
Parameters chosen for
Heston model simulation
Ш.4.8
Parameters used in
simulations
IH.4.9 Simulated underlying
prices under different
stochastic volatility
models
Ш.4.10
Standard deviation of
hedging errors relative to
186
standard deviation of
BSM hedging errors: S&P
500
June
2004
options
301
186
Ш.4.11
Volatility indices on
СВОЕ
and Eurex
312
194
Ш.4.12
GARCH parameter
estimates for volatility of
Vix spot and Vix futures
314
197
ШІ.1
Fundamental risk factors
by position type and broad
198
asset class
331
Ш.5.2
PV01 invariant cash flow
mapping
334
206
Ш.5.3
Volatilities and
correlations of the
211
mapping set
336
ШІ.4
Value deltas and gammas
344
Ш.5.5
Delta—gamma
Til
approximation
(1%
change in S)
346
239
Ш.5.6
A portfolio with four
options
352
ШЈ.7
Curves for valuing
243
the four options of
246
Table
Ш.5.6
352
Ш.5.8
Option price sensitivities
352
251
ШІ.9
A portfolio of options on
259
FTSE
100
358
пило
Net
vega
of the options in
279
Table
Ш.5.9
358
Ш.5.11
Net value
vega
on
282
3-month FTSE
100
ATM
volatility
359
m.5.12
Net
vegas,
eigenvalues
and normalized
284
eigenvectors
362
List of Examples
Ш.1Л
ШЛ.2
ШЛЗ
Ш.1.4
ШЛЈ
ШЛ.6
Ш.1.7
ШЛ.8
Ш.1.9
Ш.1Л0
00.1.11
Ш.1Л2
ШЛЛЗ
ШЛ.14
Continuous versus discrete
compounding
Calculating forward rates
(0
Calculating forward rates
(2)
Calculating the present
value and yield of fixed
coupon bonds
The effect of coupon
and maturity on the
price—yield curve
Comparison of yield
curves for different bonds
Macaulay duration
Macaulay duration as a
risk measure
Duration-convexity
approximation
Immunizing bond
portfolios
Yield on semi-annual
bond
Duration and convexity of
a semi-annual bond
Pricing a simple floater
Yield and duration of a
simple floater
Valuing a swap
A cross-currency basis
Ш.1Л6
Ш.1Л7
A simple total return swap
ШЛ Л8
Calculating the PV01 of a
simple bond
Ш.1Л9
Calculating
PV0Î
ШЛ.20
Standard deviation of
5
future PV
46
ШЛ.21
Coupon stripping
50
6
HŁ2.1
Finding the conversion
factor and delivery
7
price
71
Ш.2.2
Calculating the dividend
yield
89
12
Ш23
Fair value of a stock index
futures contract (zero
margin)
89
13
Ш24
Exposure to stock index
futures
91
14
HŁ2.5
Forward forex exposure
92
21
Ш.6
Difference between fair
value and market value
95
22
ПУ.7
Price risk and position risk
of naive and minimum
26
variance hedges
108
Ш2Љ
Proxy hedging
110
27
ШД9
Interest rate risk on a
hedged foreign investment
113
29
ПОЛ©
Beta and the minimum
variance hedge ratio
115
30
Ш2Л1
Hedging a stock portfolio
115
32
ШЈ2Л2
Basis risk in a hedged
stock portfolio
115
32
ЮИ
ЈЛЗ
Hedging an international
35
stock portfolio
116
Ш
ЈЛ4
Hedging the cheapest to
3g deliver
125
40
HL3.1
A simple delta hedge
161
ШЈЛ
Net position delta
164
43
ШЗЗ
A simple delta-gamma
45
hedge
165
xx
List of Examples
Ш.3.4
A simple
Ш.4.5
Delta and gamma from
delta-gamma-vega hedge
166
lognormal
mixture model
251
ШЗЈ
Black-Scholes-Merton
Ш.4.6
Adjusting delta for skew
call and put prices
180
dynamics
267
ШІ.6
Adjusting BSM prices for
Ш.4Л
GARCH annual and daily
uncertainty in volatility
185
parameters
282
Ш3.7
BSM Greeks
186
Ш.4.8
GARCH option pricing
284
ШІ.8
A delta-gamma—
vega—
Ш.4.9
Expected pay-off to a
volga
neutral forex option
variance swap
304
portfolio
193
Ш.4.10
Marking a variance swap
Ш3.9
Pricing a cap
197
to market
305
Ш3.10
Exchange option price vs
Ш.4.11
Calendar spreads on
correlation
210
variance swaps
306
Ш3.11
Options on best of two
Ш5.1
Duration and present value
and worst of two assets
210
invariant cash flow maps
333
ШЗ.І2
Pricing a spread option
2Í2
Ш.5.2
Mapping cash flows to
ПОЛЗ
Comparison of
quanto
and
preserve volatility
335
compo option prices
213
m.5.3
A present value, PV01
Ш3.14
Pricing a power option
214
and volatility invariant
Ш3.15
Pricing a chooser option
215
cash flow map
336
ШЗЛ6
Finding the fair premium
Ш.5.4
Mapping commodity
for a contingent option
216
futures or forward
HŁ3.17
Pricing a capped call
217
positions
339
Ш-3.18
Price of a look-forward
Ш.5.5
Value delta of a portfolio
put
219
with multiple underlying
ШЗЛ9
Prices of up and in and up
assets
343
and out barrier calls
220
Ш3.6
Delta-gamma
Ш3.20
Pricing a geometric
approximation with single
average price option
223
underlying
345
Ш3.21
Pricing an arithmetic
ШЛ7
Delta—gamma
average strike option
224
approximation for an S&P
Ш.4.1
Backlog out implied
500
option portfolio
345
volatility
231
DŁ5.8
Delta-gamma mapping to
Ш.4.2
Equity index implied
a single underlying
349
volatilities
233
Ш.5.9
Delta-gamma
Ш.43
Calibration of a local
approximation
for a
volatility surface
245
portfolio of bond and
Ш.4.4
Calibrating a simple
stock options
350
lognormal
mixture
mj.ie
Delta-gamma-łheta-rho
diffusion
251
approximation
352
|
| any_adam_object | 1 |
| author | Alexander, Carol |
| author_facet | Alexander, Carol |
| author_role | aut |
| author_sort | Alexander, Carol |
| author_variant | c a ca |
| building | Verbundindex |
| bvnumber | BV035298850 |
| ctrlnum | (OCoLC)604048149 (DE-599)BVBBV035298850 |
| edition | repr. with corrections |
| format | Book |
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| id | DE-604.BV035298850 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:30:44Z |
| institution | BVB |
| isbn | 9780470997895 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017103757 |
| oclc_num | 604048149 |
| open_access_boolean | |
| owner | DE-91 DE-BY-TUM DE-384 DE-945 DE-N2 DE-634 DE-11 DE-473 DE-BY-UBG DE-739 |
| owner_facet | DE-91 DE-BY-TUM DE-384 DE-945 DE-N2 DE-634 DE-11 DE-473 DE-BY-UBG DE-739 |
| physical | XXX, 386 S. graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Wiley |
| record_format | marc |
| spelling | Alexander, Carol Verfasser aut Market risk analysis 3 Pricing, hedging and trading financial instruments Carol Alexander repr. with corrections Chichester [u.a.] Wiley 2009 XXX, 386 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdrucke Hedging (Finance) Risk management (DE-604)BV023295503 3 Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017103757&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Alexander, Carol Market risk analysis Hedging (Finance) Risk management |
| title | Market risk analysis |
| title_auth | Market risk analysis |
| title_exact_search | Market risk analysis |
| title_full | Market risk analysis 3 Pricing, hedging and trading financial instruments Carol Alexander |
| title_fullStr | Market risk analysis 3 Pricing, hedging and trading financial instruments Carol Alexander |
| title_full_unstemmed | Market risk analysis 3 Pricing, hedging and trading financial instruments Carol Alexander |
| title_short | Market risk analysis |
| title_sort | market risk analysis pricing hedging and trading financial instruments |
| topic | Hedging (Finance) Risk management |
| topic_facet | Hedging (Finance) Risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017103757&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV023295503 |
| work_keys_str_mv | AT alexandercarol marketriskanalysis3 |