Derivatives demystified: a step-by-step guide to forwards, futures, swaps and options
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Chichester
Wiley
2010
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Verlagsmeldung Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | Hier auch später erschienene, unveränderte Nachdr. |
| Beschreibung: | XVII, 268 S. graph. Darst. |
| ISBN: | 9780470749371 |
Internformat
MARC
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Datensatz im Suchindex
| _version_ | 1804142931880181760 |
|---|---|
| adam_text | Titel: Derivatives demystified
Autor: Chisholm, Andrew
Jahr: 2010
Contents
Acknowledgements xix
1 The Origins and Growth of the Market 1
Definitions 1
Derivatives Building Blocks 1
Forwards 2
Futures 2
Swaps 2
Options 2
Market Participants 3
Dealers 3
Hedgers 3
Speculators 4
Arbitrageurs 4
Supporting Organizations 4
Early Origins of Derivatives 5
Derivatives in the USA 6
Overseas Developments, Innovation and Expansion 7
An Example of Recent Innovation: Weather Derivatives 7
Temperature-Linked Derivatives 8
The value connection 8
Summary and basis risks 9
The Wild Beast of Finance? 9
Enter Warren Buffett 10
Lessons from Recent History 10
Hammersmith Fulham Council (1988/9) 10
Metallgesellschaft (1993) 10
Orange County (1994) 11
Barings Bank (1995) 11
Long-Term Capital Management (1998) 12
Enron (2001) 12
Allied Irish Banks (2002) 12
AIG, Merrill Lynch and Lehman Brothers (2008) 13
Creative Destruction and Contagion Effects 13
The Modern OTC Derivatives Market 13
The Exchange-Traded Derivatives Market 15
Chapter Summary 15
Equity and Currency Forwards 17
Introduction 17
Equity Forward Contract 17
The Forward Price 18
Establishing the fair forward price 19
Components of the forward price 19
The Forward Price and Arbitrage Opportunities 19
Closing the gap 20
The forward price and commodities 20
The Forward Price and the Expected Payout 20
Expected payout from a forward 21
Foreign Exchange Forwards 21
The forward FX rate 22
Managing Currency Risk 22
Profits and losses on the export deal 22
Hedging with an Outright Forward FX Deal 23
Showing the results in a graph 23
The Forward Foreign Exchange Rate 24
The Forward FX Rate and Arbitrage Opportunities 25
Forward Points 26
Calculating forward points 26
FX Swaps 27
Applications of FX Swaps 28
Effects of the FX swap deal 28
Chapter Summary 28
Forward Rate Agreements 31
Introduction 31
FRA Case Study: Corporate Borrower 31
The FRA settlement 32
Effective borrowing rate 32
Results of the FRA Hedge 33
The FRA hedge illustrated 33
The FRA contract period 34
The FRA as Two Payment Legs 34
Net position with FRA hedge 35
Dealing in FRAs 36
The dealer s overall position 36
FRA bid and ask rates 36
Forward Interest Rates 37
Chapter Summary 37
Commodity and Bond Futures 39
Introduction 39
The Margining System and the Clearing House 39
Users of Futures Contracts 40
Hedgers 40
Speculators 40
Arbitrageurs 40
Commodity Futures 41
Futures Prices and the Basis 42
The basis 42
US Treasury Bond Futures 43
Tick size and tick value 43
Bond futures profit and loss calculations 44
US Treasury Bond Futures: Delivery Procedures 44
Conversion or price factors 44
Gilt Futures 45
The Cheapest-To-Deliver (CTD) Bond 45
Chapter Summary 46
5 Interest Rate and Equity Futures 47
Introduction 47
Eurodollar Futures 47
Final settlement value 48
Trading Eurodollar Futures 48
Calculating trading profits and losses 49
Profits and losses in interest rate terms 49
Close out before expiry 49
Hedging with Interest Rate Futures 50
Eurodollar futures hedge in a graph 50
Interest Rate Futures Prices 50
Arbitrage example 51
No arbitrage relationships 51
Equity Index Futures 52
CME S P 500 futures price quotation and basis 52
Other major equity index futures contracts 53
Applications of S P 500 Index Futures 53
Hedging with equity index futures 53
FT-SE 100 Index Futures Contracts 54
Trading campaign: Day 1 54
Trading campaign: Day 2 55
Trading campaign: Day 3 55
Establishing Net Profits and Losses 55
Exchange delivery settlement price (EDSP) 56
Single Stock Futures (SSFs) 56
The future of single stock futures 57
Chapter Summary 57
6 Interest Rate Swaps 59
Introduction 59
Interest Rate Swap Structure 59
Basic Single-Currency Interest Rate Swap 60
Swap payment in one year 60
Swap payment in two years 61
The Swap as a Package of Spot and Forward Deals 61
Rationale for the Swap Deal 62
Swap Terminology and Swap Spreads 62
Overnight index swaps 63
Typical Swap Applications 63
Fixing a borrowing rate 63
Asset swap 64
Asset-liability management (ALM) 64
Switching to a fixed return 64
Interest Rate Swap Variants 64
Cross-Currency Interest Rate Swaps 65
1. Swap with Americo 66
2. Swap with Britco 66
Net Borrowing Costs Using a Cross-Currency Swap 66
The swap dealer s position 67
Why does everyone win? 67
Inflation Swaps 67
Chapter Summary 68
7 Equity and Credit Default Swaps 69
Introduction to Equity Swaps 69
Equity Swap Case Study 69
First swap payment 70
Second swap payment 71
Economic exposure 71
Other Applications of Equity Swaps 71
Total return equity swap 72
Equity Index Swaps 73
DAX equity index swap 73
Hedging an Equity Index Swap 74
Profit on the hedged swap 75
Credit Default Swaps 75
Credit Default Swap: Basic Structure 76
CDS physical settlement 76
CDS cash settlement 76
Credit events 77
Credit Default Swap Applications 77
Credit Spreads 78
The CDS Premium and the Credit Spread 78
Cheapest-to-deliver (CTD) Option 79
Counterparty risk and CDS contracts 79
Pricing Models for CDS Premium 80
Establishing the CDS premium 80
Index Credit Default Swaps 80
Index CDS example 80
Applications of index CDS deals 81
Basket Credit Default Swaps 81
FTD basket default swap 81
STD basket default swap 82
Chapter Summary 82
Fundamentals of Options 83
Introduction 83
Definitions 83
Types of Options 83
Basic Option Trading Strategies 84
Intrinsic value 85
Time value 85
Total option value 85
Long Call: Expiry Payoff Profile 85
Downside and upside 86
Long call and cash position compared 86
Short Call: Expiry Payoff Profile 87
Long Put: Expiry Payoff Profile 88
Long put expiry payoff profile 89
Long put versus shorting the stock 89
Short Put: Expiry Payoff Profile 90
Summary: Intrinsic and Time Value 90
Hedging with Options 93
Chapter Overview 93
Futures Hedge Revisited 93
Results of a futures hedge 93
Protective Put 93
Protective put example 94
Maximum loss with protective put 95
Other break-even levels 96
Hedging with ATM Put Option 96
Covered Call Writing 97
Maximum profit on the covered call 97
Equity Collar 98
Zero-Cost Equity Collar 99
Protective PUT with a Barrier Option 100
Barrier option terms 101
Advantages and disadvantages 101
Behaviour of Barrier Options 101
Chapter Summary 102
10 Exchange-Traded Equity Options 103
Introduction 103
Basic Concepts 103
Covered Warrants 104
CBOE Stock Options 104
Expiry payoff profile 105
Early exercise 105
UK Stock Options on NYSE Liffe 106
Exercise style 106
Corporate actions and early exercise 107
CME S P 500 Index Options 107
Option premium 107
Long S P 500 put: expiry payoff profile 108
FT-SE 100 Index Options 109
Chapter Summary 109
11 Currency or FX Options 111
Introduction 111
Users of Currency Options 111
Hedging FX Exposures with Options: Case Study 112
Performance of the hedge 112
Graph of Hedged and Unhedged Positions 113
Hedging with a Zero-Cost Collar 114
Reducing Premium on FX Hedges 115
Barrier option 115
Pay-later option 115
Instalment Option 115
Compound Options 116
Hedging application 116
Compound option structure 116
Exchange-Traded Currency Options 117
CME currency options 117
PHLX world currency options 117
Chapter Summary 118
12 Interest Rate Options 119
Introduction 119
OTC Interest Rate Options 119
OTC Interest Rate Option Case Study 120
Caplet exercise and settlement 121
Hedging a Loan with a Caplet 121
Results of the hedge 122
Interest Rate Cap 123
Pricing caplets and caps 123
Interest Rate Collar 123
Zero-cost collar case study 124
Interest Rate Swap and Swaption 124
Payer swaption 125
Summary of Interest Rate Hedging Strategies 125
Eurodollar Options 126
Trading Eurodollar options 126
Profits and losses on Eurodollar options 126
Euro and Sterling Interest Rate Options 127
Bond Options 127
Hedging 128
Zero-cost collar 128
Covered call writing 128
Leveraged position taking 128
Exchange-Traded Bond Options 128
Euro-bund options (OGBL) 129
Long gilt option 129
Chapter Summary 130
13 Option Valuation Concepts (1) 131
Introduction 131
Black-Scholes model 131
The Concept of a Riskless Hedge 132
A Simple Option Pricing Model 132
Constructing a riskless hedge 133
Purpose of the hedge 133
Option Fair Value 134
Extending the Binomial Model 134
Dynamic hedging 135
Cost of Dynamic Hedging 135
The Black-Scholes Option Pricing Model 136
Inputs to Black-Scholes 136
Model inputs: spot price and strike price 136
Model inputs: time to expiry and cost of carry 137
Model input: volatility 137
Historical Volatility 137
Standard deviation 138
Measuring and Using Historical Volatility 139
Application to Black-Scholes 140
Chapter Summary 140
14 Option Valuation Concepts (2) 141
Introduction 141
Problems with Historical Volatility 141
Implied Volatility 142
Applications of implied volatility 142
Black-Scholes Model Assumptions 143
Normal distribution 143
Continuous random walk 143
Dynamic hedging 143
Fixed volatility 143
Value of a Call Option 143
Time value for an in-the-money Option 144
Value of a Put Option 144
Equity Index and Currency Options 145
Value of an FX call option 146
Pricing Interest Rate Options 146
Bond option pricing example 146
Black model 147
The Black model and interest rates 147
Chapter Summary 148
15 Option Sensitivities: The Greeks 149
Introduction 149
Delta (A or S) 149
Delta Behaviour 150
Delta as the slope on the Option price curve 150
Delta as the Hedge Ratio 151
Constructing the delta hedge 151
The Effects of Changes in Delta 152
Sensitivity of the delta hedge 152
Readjusting the Delta Hedge 153
Gamma (T or y) 153
Position gamma 154
Gamma and the Spot Price of the Underlying 154
Gamma curve 155
Gamma and Time to Expiry 155
Gamma curve 156
Theta (0) 156
Measuring theta 157
Vega or Kappa (k) 157
Vega graph 158
Rho (p) 158
Rho on call options 158
Rho on put options 159
Summary of Greeks 159
Chapter Summary 160
16 Option Trading Strategies (1) 161
Introduction 161
Bull Spread 161
Bull spread with puts 162
Bull Position with Digital Options 162
Spot Price and Con Value 163
Bear Spread 164
Closing out before expiry 165
The Greeks for the Bear Spread 165
A high gamma trade 166
Put or Bear Ratio Spread 166
Long Straddle 167
Long Straddle Current Payoff Profile 168
Positive gamma 168
Potential Risks with a Long Straddle 169
Chapter Summary 170
17 Option Trading Strategies (2) 171
Introduction 171
Chooser Option 171
Value of the chooser 171
Short Straddle 172
Expiry payoff profile 172
Short Straddle Current Payoff Profile 172
Negative gamma 173
Potential Profits with a Short Straddle 175
Current payoff recalculated 175
Managing the Risk on a Short Straddle 175
Dynamic hedging 176
Short Strangle 177
New Ways of Trading Volatility 177
Calendar or Time Spread 178
Theta values 179
Risks with the calendar spread 179
Chapter Summary 179
18 Convertible and Exchangeable Bonds 181
Introduction 181
Investors in Convertible Bonds 181
Issuers of Convertible Bonds 182
Advantages for issuers 182
CB Measures of Value 183
Bond value 183
Parity or conversion value 183
Conversion premium 184
Conversion Premium and Parity 184
The conversion premium 185
Other Factors Affecting CB Value 185
Convertible Arbitrage 186
Classic CB arbitrage 186
Convertible Arbitrage Example 186
Profits and Risks with the CB Arbitrage Trade 187
Risks with CB arbitrage trade 188
Mandatorily Convertibles and Exchangeables 188
Simple example of ME bond 188
Structuring a Mandatorily Exchangeable (ME) Bond 189
Capital gains and losses on the ME bond 189
Chapter Summary 190
19 Structured Securities 193
Introduction 193
Capital Protection Equity-Linked Notes 193
ELN maturity value 194
Capital guarantee 194
Generating the participation 194
Calculating the participation rate 195
Expiry Value of 100% Capital Protection Notes 195
100% Participation Equity-Linked Notes 196
Features of the 100% participation notes 197
Capped Participation Equity-Linked Notes 197
Structure of the capped ELNs 198
Average Price Notes 199
Cost of average price options 199
Locking in Interim Gains: Cliquet Options 200
Using a cliquet option 200
Securitization and CDOs 201
The Basic CDO Structure 202
Credit enhancement 202
The senior tranche 202
Rationale for Securitization 203
Arbitrage CDOs 203
The future of the CDO market 203
Synthetic CDOs 203
Risk on the AAA tranche 204
Chapter Summary 205
20 Clearing, Settlement and Operational Risk 207
Introduction 207
Risk Management in General 207
Settlement of Exchange-Traded Derivatives 208
Major Clearing Houses 209
Confirmation and Settlement of OTC Deals 210
Default risk on OTC deals 210
Controlling Counterparty Risk on OTC Derivatives 211
Operational Risk 211
Trade capture 211
Confirmation 212
Settlement 212
Nostro reconciliation 212
Position valuation 212
Collateral and funding management 212
Management information Systems (MIS) 212
Best Practice in Operational Risk Management 213
Segregation of duties 213
Chapter Summary 213
Appendix A: Financial Calculations 215
Appendix B: Exotic Options 235
Appendix C: Glossary of Terms 239
Index 255
|
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| spelling | Chisholm, Andrew 1959- Verfasser (DE-588)171063112 aut Derivatives demystified a step-by-step guide to forwards, futures, swaps and options Andrew M. Chisholm 2. ed. Chichester Wiley 2010 XVII, 268 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hier auch später erschienene, unveränderte Nachdr. Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Financial Futures (DE-588)4128564-5 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s DE-604 Financial Futures (DE-588)4128564-5 s Erscheint auch als Online-Ausgabe 978-0-470-97031-7 Erscheint auch als Online-Ausgabe 978-0-470-97153-6 Erscheint auch als Online-Ausgabe 978-0-470-97154-3 http://www.loc.gov/catdir/enhancements/fy1008/2010013114-d.html Verlagsmeldung http://www.loc.gov/catdir/enhancements/fy1008/2010013114-t.html Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020319056&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Chisholm, Andrew 1959- Derivatives demystified a step-by-step guide to forwards, futures, swaps and options Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd Financial Futures (DE-588)4128564-5 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4128564-5 |
| title | Derivatives demystified a step-by-step guide to forwards, futures, swaps and options |
| title_auth | Derivatives demystified a step-by-step guide to forwards, futures, swaps and options |
| title_exact_search | Derivatives demystified a step-by-step guide to forwards, futures, swaps and options |
| title_full | Derivatives demystified a step-by-step guide to forwards, futures, swaps and options Andrew M. Chisholm |
| title_fullStr | Derivatives demystified a step-by-step guide to forwards, futures, swaps and options Andrew M. Chisholm |
| title_full_unstemmed | Derivatives demystified a step-by-step guide to forwards, futures, swaps and options Andrew M. Chisholm |
| title_short | Derivatives demystified |
| title_sort | derivatives demystified a step by step guide to forwards futures swaps and options |
| title_sub | a step-by-step guide to forwards, futures, swaps and options |
| topic | Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd Financial Futures (DE-588)4128564-5 gnd |
| topic_facet | Derivative securities Derivat Wertpapier Financial Futures |
| url | http://www.loc.gov/catdir/enhancements/fy1008/2010013114-d.html http://www.loc.gov/catdir/enhancements/fy1008/2010013114-t.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020319056&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT chisholmandrew derivativesdemystifiedastepbystepguidetoforwardsfuturesswapsandoptions |
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