Derivatives: Valutions & Risk Management
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Preface xxi
About the Authors xxv
PART 1 INTRODUCTION TO DERIVATIVES AND RISK MANAGEMENT 1(48)
An Overview of Derivative Contracts 3(19)
Forward Contracts and Futures Contracts 4(4)
Swaps 8(6)
Options 14(3)
Why Is It Important to Learn About Derivatives? 17(1)
Summary 18(4)
References 19(1)
Notes 19(1)
Problems 20(2)
Risk and Risk Management 22(27)
What Is Risk? 23(1)
How Is Risk Measured? 24(9)
Random Variables, Probability Distributions, and Variance 24(4)
Measuring Risk Using Past Data 28(2)
Identifying Risk Exposure 30(3)
Should Firms Manage Risk? 33(6)
Hedging Reduces the Expected Costs of Financial Distress 33(1)
Hedging Makes It More Likely that Future Attractive Investments Will Be Made by the Firm 34(1)
It Is Less Costly for the Firm to Hedge Than for Individuals to Hedge 35(1)
Firms May Have Better Information than Individuals 35(1)
Nonsystematic Risks Should Be Hedged When Owners Are Not Well Diversified 36(1)
Hedging Can Increase Debt Capacity 36(1)
Risk Management Can Reduce Taxes 36(2)
Risk-Averse Managers Will Prefer to Hedge 38(1)
Other Reasons for Using Derivatives 39(1)
What Should Be Done After Risk Exposures Have Been Identified? 39(1)
Accounting for Derivatives: FAS 133 40(2)
Summary 42(7)
Further Reading 42(1)
References 43(1)
Notes 44(1)
Problems 45(4)
PART 2 FORWARD CONTRACTS AND FUTURES CONTRACTS 49(254)
Introduction to Forward Contracts 51(17)
General Concepts 51(5)
Forward Rate Agreements 56(3)
Forward Foreign Exchange Contracts 59(5)
Summary 64(4)
Notes 64(1)
Problems 65(3)
Using Forward Contracts to Manage Risk 68(19)
Using Forwards to Manage Commodity Price Risk 68(5)
Buying Forwards to Hedge Against Price Increases 68(2)
Selling Forwards to Hedge Against Price Declines 70(3)
Using Forwards to Manage Interest Rate Risk 73(4)
Hedging Against an Increase in Interest Rates 73(3)
Hedging Against a Decline in Interest Rates 76(1)
Using Forward Foreign Exchange Contracts to Manage Risk 77(4)
Managing the Risk That the Price of a Foreign Currency Will Rise 77(2)
Managing the Risk That the Price of a Foreign Currency Will Decline 79(2)
What Quantity Should Be Bought or Sold Forward? 81(1)
Summary 82(5)
References 83(1)
Notes 83(1)
Problems 83(4)
Determining Forward Prices and Futures Prices 87(39)
Forward Commodity Prices 87(4)
The Cost-of-Carry Model 87(1)
Proof of the Cost-of-Carry Model 88(2)
Examples 90(2)
Transactions Costs 92(2)
Implied Repo Rates and Implied Reverse Repo Rates 94(2)
Forward Prices of Commodities: The Convenience Yield 96(2)
Do Forward Prices Equal Expected Future Spot Prices? 98(3)
Valuing a Forward Contract After Origination 101
Forward Exchange Rates 91(17)
The Standard Approach to Deriving the Forward Exchange Rate 102(2)
An Alternative Derivation of the Theoretical Forward Price 104(3)
The Implied Repo Rate 107(1)
Forward Interest Rates 108(6)
Spot Rates and Forward Rates 108(4)
How to Lock in a Forward Rate 112(2)
Summary 114(12)
References 115(1)
Notes 115(1)
Problems 116(5)
Appendix A Selling Short 121(2)
Appendix B Day Count Methods 123(1)
Appendix C Computing the Future Value of Carry Return Cash Flows 124(2)
Introduction to Futures 126(39)
Futures Contracts and Forward Contracts 126(2)
Margin Requirements for Futures Contracts 128(2)
Marking to Market 130(4)
Basis and Convergence 134(3)
Should Futures Prices Equal Forward Prices? 137(5)
Futures Contracts, Exchanges, and Regulation 142(2)
The Purposes of Futures Markets 144(1)
Reading Futures Prices in the Wall Street Journal 145(6)
Commodity Futures 145(2)
Financial Futures 147(4)
Limits on Price Fluctuations 151(1)
Orders and Position Limits 151(3)
Individuals in the Futures Industry 154(2)
Speculators 154(1)
Hedgers 154(1)
Arbitrageurs 154(1)
Individuals on the Floor of an Exchange 155(1)
Other Market Participants 155(1)
Taxes and Commissions 156(1)
Taxes 156(1)
Commissions 157(1)
Summary 157(8)
References 157(2)
Notes 159(2)
Problems 161(4)
Risk Management with Futures Contracts 165(25)
Introduction 165(5)
Some Special Considerations in Hedging with Futures 170(2)
The Hedge Ratio 172(9)
The Portfolio Approach to a Risk-Minimizing Hedge 172(8)
Dollar Equivalency 180(1)
Tailing the Hedge 181(3)
Managing the Futures Hedge 184(1)
Summary 185(5)
References 185(1)
Notes 186(1)
Problems 187(3)
Stock Index Futures 190(35)
What Is An Index? 190(8)
Price-Weighted Indexes: The Dow Jones Average 191(2)
Value-Weighted Averages: The S&P 500 Stock Index 193(2)
The Value Line Index 195(3)
Pricing Stock Index Futures 198(11)
An Illustration of Stock Index Futures Pricing 199(2)
Synthetic Stock and Synthetic Treasury Bills 201(1)
Transactions Costs: Commissions and Bid-Ask Spreads 202(2)
More on Dividends 204(2)
Program Trading 206(3)
Risk Management with Stock Index Futures 209(10)
Equity Risk 209(2)
Adjusting the Beta of a Portfolio with Stock Index Futures 211(5)
Stock Picking 216(1)
An Anticipatory Hedge 217(1)
Caveats About Hedging with Stock Index Futures 217(1)
Using Stock Index Futures to Gain International Equity Exposure 218(1)
Summary 219(6)
References 219(1)
Notes 220(1)
Problems 221(4)
Treasury Bond and Treasury Note Futures 225(44)
Features of the T-Bond Futures Contracts 225(9)
Reading Spot T-Bond Prices 227(2)
Reading T-Bond and T-Note Futures Prices 229(1)
The Delivery Process for T-Bond and T-Note Futures Contracts 229(2)
Which T-Bonds Are Deliverable into the T-Bond Futures Contract? 231(1)
Conversion Factors and Invoice Amounts 231(2)
Computing the Conversion Factors 233(1)
Determining T-Bond and T-Note Futures Prices 234(10)
Determining the Cheapest-to-Deliver T-Bond or T-Note: Maximize the Raw Basis 235(1)
Determining the Cheapest-to-Deliver T-Bond or T-Note: Maximize the Implied Repo Rate 236(2)
Determining the Cheapest-to-Deliver T-Bond or T-Note by Using Duration 238(1)
An Example of How to Determine the Cheapest-to-Deliver T-Bond 238(2)
Determining the Theoretical T-Bond Futures Price 240(2)
When Is Delivery Likely to Take Place? 242(1)
The Short Timing and Quality Options 243(1)
Using T-Bond Futures to Shift Interest Rate Risk 244(8)
Hedging Fundamentals 244(2)
Hedging Long Bond Position: A Short Hedge 246(3)
Hedging Interest Rate Risk During a GIC Offering Period: A Long Hedge 249(3)
Advanced Applications of T-Bond and T-Note Futures Contracts 252(7)
Changing the Duration of a Portfolio 252(2)
Synthetic Instruments 254(1)
기본정보
ISBN | 9780195114706 ( 0195114701 ) |
---|---|
발행(출시)일자 | 2002년 01월 01일 |
쪽수 | 준비중 |
크기 |
192 * 247
mm
|
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