Financial risk management and derivative instruments:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London ; New York, NY
Routledge
2021
|
| Series: | Routledge advanced text in economics and finance
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | xv, 258 Seiten Illustrationen |
| ISBN: | 9780367676643 9780367674793 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents List of figures List of tables Illustrative examples About the author Introduction xi xii xiii xvi 1 PARTA Markets and uncertainty 1 Stock market risk: Fundamentals and behaviour 1.1 1.2 1.3 1.4 1.5 5 Introduction 6 The riskiness of stock markets 6 The concept of fundamental value 8 The concept of a required rate of return 10 Time for reflection: What has been revealed? 12 2 Financial leverage and risk 2.1 2.2 2.3 2.4 2.5 2.6 2.7 3 15 Introduction 16 Financial leverage 17 Modigliani and Miller propositions 19 Debt, firm profitability, and valuation 20 Debt, the markets and the economy: Hyman Minsky 24 Debt and the global financial crisis 25 Time for reflection: What has been revealed? 28 3 Bond market risk: Interest Rates 3.1 Introduction 32 31
viii Contents 3.2 3.3 3.4 3.5 3.6 Implications of interest rates for bonds 32 The duration of bonds and sensitivity to interest rates 36 Interest rates, inflation and economic stimulation 40 Interrogating bonds: expectations for interest rates 42 Time for reflection: What has been revealed? 45 4 The nature of growth 4.1 Introduction 49 4.2 The normal distribution 50 4.3 Co-variance, correlation and expected return and variance for a portfolio of assets 55 4.4 Continuously-compounding growth 61 4.5 Market predictions allowing normally distributed outcomes 65 4.6 Continuously compounding growth rates over many periods 68 4.7 Time for reflection: What has been revealed? 75 PART В Derivative instruments and financial engineering 5 Interest rate futures (forwards) 5.1 Introduction 88 5.2 Interest rate swaps 88 5.3 Banks and the incentive to facilitate interest rate swaps 92 5.4 Hedging interest rates with an “over the counter” forward rate agreement (FRA) 94 5.5 Hedging and speculation with Treasury bond futures 96 5.6 Hedging and speculation with interest rate futures 98 5.7 Time for reflection: What has been revealed? 102 6 Futures contracts: Hedging/speculating on currency risk 6.1 6.2 6.3 6.4 6.5 6.6 6.7 6.8 Introduction 107 Futures (forward contracts) 107 Institutionalized futures markets 109 Futures and leveraged speculation 110 The futures price in relation to the current spot price 111 Hedging currency risk 114 Hedging and “regret” 115 Time for reflection: What has been revealed? 116
Contents 7 Options contracts: Hedging/speculating on currency risk 7.1 7.2 7.3 7.4 7.5 7.6 7.7 ix 119 Introduction 120 The nature of options trading 120 Options and foreign currencies 122 Frice discovery: intrinsic and time value 129 Speculating on foreign exchange 130 Hedging corporate foreign exchange exposure 132 Time for reflection: What has been revealed? 136 8 The Black-Scholes model 139 8.1 Introduction 140 8.2 The principle of risk neutrality 141 8.3 Derivation of the Black-Scholes formula 146 8.4 Put-Call parity 156 8.5 The Black-Scholes formula applied to either (i) an index with a continuous dividend yield or (ii) a currency with an interest rate 157 8.6 The Black-Scholes model in practice 159 8.7 Time for reflection: What has been revealed? 163 9 Trading index futures 9.1 9.2 9.3 9.4 9.5 167 Introduction 168 Futures trading platforms 168 Equity Index Basis 171 Trading Strategies 173 Time for reflection: What has been revealed? 176 10 Option strategies 179 10.1 Introduction 180 10.2 The options markets 180 10.3 Changing prices of options (inputs to the Black-Scholes model) 181 10.4 Options trading strategies 182 10.5 Time for reflection: What has been revealed? 197 11 Option pricing: The Greeks 11.1 11.2 11.3 11.4 Introduction 201 The Greeks 201 The Greeks in combination 209 Time for reflection: What has been revealed? 210 200
x Contents 12 Derivative instruments and the global financial crisis (2007-08) 13 Solutions Chapter 1: Stock market risk: Fundamentals and behaviour 227 Chapter 2: Financial leverage and risk 228 Chapter 3: Bond market risk: Interest rates 230 Chapter 4: The nature of growth 231 Chapter 5: Interest rate futures (forwards) 234 Chapter 6: Futures contracts: Hedging!speculating on currency risk 236 Chapter 7: Options contracts: Hedging!speculating on currency risk 236 Chapter 8: The Black-Scholes model 237 Chapter 9: Trading index futures 239 Chapter 10: Option strategies 240 Chapter 11: Option pricing: The Greeks 242 Chapter 12: Derivative instruments and the global financial crisis (2007-08) 244 Index
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| adam_txt |
Contents List of figures List of tables Illustrative examples About the author Introduction xi xii xiii xvi 1 PARTA Markets and uncertainty 1 Stock market risk: Fundamentals and behaviour 1.1 1.2 1.3 1.4 1.5 5 Introduction 6 The riskiness of stock markets 6 The concept of fundamental value 8 The concept of a required rate of return 10 Time for reflection: What has been revealed? 12 2 Financial leverage and risk 2.1 2.2 2.3 2.4 2.5 2.6 2.7 3 15 Introduction 16 Financial leverage 17 Modigliani and Miller propositions 19 Debt, firm profitability, and valuation 20 Debt, the markets and the economy: Hyman Minsky 24 Debt and the global financial crisis 25 Time for reflection: What has been revealed? 28 3 Bond market risk: Interest Rates 3.1 Introduction 32 31
viii Contents 3.2 3.3 3.4 3.5 3.6 Implications of interest rates for bonds 32 The duration of bonds and sensitivity to interest rates 36 Interest rates, inflation and economic stimulation 40 Interrogating bonds: expectations for interest rates 42 Time for reflection: 'What has been revealed? 45 4 The nature of growth 4.1 Introduction 49 4.2 The normal distribution 50 4.3 Co-variance, correlation and expected return and variance for a portfolio of assets 55 4.4 Continuously-compounding growth 61 4.5 Market predictions allowing normally distributed outcomes 65 4.6 Continuously compounding growth rates over many periods 68 4.7 Time for reflection: What has been revealed? 75 PART В Derivative instruments and financial engineering 5 Interest rate futures (forwards) 5.1 Introduction 88 5.2 Interest rate swaps 88 5.3 Banks and the incentive to facilitate interest rate swaps 92 5.4 Hedging interest rates with an “over the counter” forward rate agreement (FRA) 94 5.5 Hedging and speculation with Treasury bond futures 96 5.6 Hedging and speculation with interest rate futures 98 5.7 Time for reflection: What has been revealed? 102 6 Futures contracts: Hedging/speculating on currency risk 6.1 6.2 6.3 6.4 6.5 6.6 6.7 6.8 Introduction 107 Futures (forward contracts) 107 Institutionalized futures markets 109 Futures and leveraged speculation 110 The futures price in relation to the current spot price 111 Hedging currency risk 114 Hedging and “regret” 115 Time for reflection: What has been revealed? 116
Contents 7 Options contracts: Hedging/speculating on currency risk 7.1 7.2 7.3 7.4 7.5 7.6 7.7 ix 119 Introduction 120 The nature of options trading 120 Options and foreign currencies 122 Frice discovery: intrinsic and time value 129 Speculating on foreign exchange 130 Hedging corporate foreign exchange exposure 132 Time for reflection: What has been revealed? 136 8 The Black-Scholes model 139 8.1 Introduction 140 8.2 The principle of risk neutrality 141 8.3 Derivation of the Black-Scholes formula 146 8.4 Put-Call parity 156 8.5 The Black-Scholes formula applied to either (i) an index with a continuous dividend yield or (ii) a currency with an interest rate 157 8.6 The Black-Scholes model in practice 159 8.7 Time for reflection: What has been revealed? 163 9 Trading index futures 9.1 9.2 9.3 9.4 9.5 167 Introduction 168 Futures trading platforms 168 Equity Index Basis 171 Trading Strategies 173 Time for reflection: What has been revealed? 176 10 Option strategies 179 10.1 Introduction 180 10.2 The options markets 180 10.3 Changing prices of options (inputs to the Black-Scholes model) 181 10.4 Options trading strategies 182 10.5 Time for reflection: What has been revealed? 197 11 Option pricing: The Greeks 11.1 11.2 11.3 11.4 Introduction 201 The Greeks 201 The Greeks in combination 209 Time for reflection: What has been revealed? 210 200
x Contents 12 Derivative instruments and the global financial crisis (2007-08) 13 Solutions Chapter 1: Stock market risk: Fundamentals and behaviour 227 Chapter 2: Financial leverage and risk 228 Chapter 3: Bond market risk: Interest rates 230 Chapter 4: The nature of growth 231 Chapter 5: Interest rate futures (forwards) 234 Chapter 6: Futures contracts: Hedging!speculating on currency risk 236 Chapter 7: Options contracts: Hedging!speculating on currency risk 236 Chapter 8: The Black-Scholes model 237 Chapter 9: Trading index futures 239 Chapter 10: Option strategies 240 Chapter 11: Option pricing: The Greeks 242 Chapter 12: Derivative instruments and the global financial crisis (2007-08) 244 Index |
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| illustrated | Illustrated |
| index_date | 2024-07-03T17:33:28Z |
| indexdate | 2024-07-10T09:09:22Z |
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| language | English |
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| series2 | Routledge advanced text in economics and finance |
| spelling | Dempsey, Michael 1951- Verfasser (DE-588)170891356 aut Financial risk management and derivative instruments Michael Dempsey London ; New York, NY Routledge 2021 xv, 258 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier Routledge advanced text in economics and finance Includes bibliographical references and index Risikomanagement (DE-588)4121590-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Financial risk management Financial futures Derivative securities Finanzwirtschaft (DE-588)4017214-4 s Risikomanagement (DE-588)4121590-4 s Derivat Wertpapier (DE-588)4381572-8 s b DE-604 Erscheint auch als Online-Ausgabe 978-1-00-313224-0 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032740798&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Dempsey, Michael 1951- Financial risk management and derivative instruments Risikomanagement (DE-588)4121590-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| subject_GND | (DE-588)4121590-4 (DE-588)4381572-8 (DE-588)4017214-4 |
| title | Financial risk management and derivative instruments |
| title_auth | Financial risk management and derivative instruments |
| title_exact_search | Financial risk management and derivative instruments |
| title_exact_search_txtP | Financial risk management and derivative instruments |
| title_full | Financial risk management and derivative instruments Michael Dempsey |
| title_fullStr | Financial risk management and derivative instruments Michael Dempsey |
| title_full_unstemmed | Financial risk management and derivative instruments Michael Dempsey |
| title_short | Financial risk management and derivative instruments |
| title_sort | financial risk management and derivative instruments |
| topic | Risikomanagement (DE-588)4121590-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Finanzwirtschaft (DE-588)4017214-4 gnd |
| topic_facet | Risikomanagement Derivat Wertpapier Finanzwirtschaft |
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