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eISBN : 9781408211915

Sommaire : Contents
Introduction
Part 1 The basics
1 Financial Arithmetic Basics
Some opening remarks on formulas
Use of an HP calculator
Simple and compound interest
Nominal and effective rates
Future value/present value; time value of money
Discount factors
Cashflow analysis
Annuities
Using an HP calculator for cashflow analysis
Interpolation and extrapolation
Mean, variance and standard deviation and volatility
Correlation and covariance
The ‘normal' probability function
Exercises
Part 2 Interest rate instruments
2 The Money Market
Overview
Day/year conventions
Money market instruments
Money market calculations
Discount instruments
CDs paying more than one coupon
Exercises
3 Forward-Forwards and Forward Rate Agreements (FRAs)
Forward-forwards, FRAs and futures
Applications of FRAs
Exercises
4 Interest Rate Futures
Overview
Exchange structure and margins
Futures compared with FRAs
Pricing and hedging FRAs with futures
Trading with interest rate futures
Exercises
5 Bond Market Calculations
Overview of capital market instruments
Features and variations
Introduction to bond pricing
Different yield measures and price calculations
A summary of the various approaches to price / yield
Duration, modified duration and convexity
Bond futures
Cash-and-carry arbitrage
Exercises
6 Repos, Buy/Sell-backs and Securities Lending
Introduction
Classic repo
Margin calls
General collateral (GC) and specials
Other features
Buy/Sell-back
Close-out and repricing
Securities lending
Comparison between the different transactions
Uses of repo and securities lending
Exercises
7 Zero-Coupon Rates and Yield Curves
Zero-coupon yields and par yields
Forward-forward yields
Summary
Longer-dated FRAs
Exercises
Part 3 Foreign exchange
8 Foreign Exchange
Introduction
Spot exchange rates
Forward exchange rates
Cross-rate forwards
Short dates
Calculation summary
Value dates
Forward-forwards
Time options
Long-dated forwards
Arbitraging and creating FRAs
Discounting future foreign exchange risk
Exercises
Part 4 Swaps and options
9 Interest Rate and Currency Swaps
Basic concepts and applications
Overnight indexed swap (OIS)
Pricing
Valuing swaps
Hedging an interest rate swap
Amortising and forward-start swaps
Currency swaps
Exercises
10 Options
Overview
The ideas behind option pricing
Pricing models
OTC options vs. exchange-traded options
The Greek letters
Hedging with options
Some “packaged” options
Some trading strategies
Some less straightforward options
Exercises
Part 5 Gold and other commodities
11 Gold and Other Commodities
Gold
Gold borrowing, forwards, swaps and GOFO
Other commodities
Forward pricing and convenience yield
Commodity futures and EFP (Exchange For Physical)
FRAs, swaps and options
Exercises
Part 6 Hints and answers to exercises
12 Hints and Answers to Exercises
Hints on exercises
Answers to exercises
Appendix 1 Using an HP calculator
Appendix 2 A summary of market day/year conventions and government bond markets
Appendix 3 A summary of calculation procedures
Appendix 4 Glossary
Appendix 5 ISO (SWIFT) currency codes
Select Bibliography
Index
Introduction
Part 1 The basics
1 Financial Arithmetic Basics
Some opening remarks on formulas
Use of an HP calculator
Simple and compound interest
Nominal and effective rates
Future value/present value; time value of money
Discount factors
Cashflow analysis
Annuities
Using an HP calculator for cashflow analysis
Interpolation and extrapolation
Mean, variance and standard deviation and volatility
Correlation and covariance
The ‘normal' probability function
Exercises
Part 2 Interest rate instruments
2 The Money Market
Overview
Day/year conventions
Money market instruments
Money market calculations
Discount instruments
CDs paying more than one coupon
Exercises
3 Forward-Forwards and Forward Rate Agreements (FRAs)
Forward-forwards, FRAs and futures
Applications of FRAs
Exercises
4 Interest Rate Futures
Overview
Exchange structure and margins
Futures compared with FRAs
Pricing and hedging FRAs with futures
Trading with interest rate futures
Exercises
5 Bond Market Calculations
Overview of capital market instruments
Features and variations
Introduction to bond pricing
Different yield measures and price calculations
A summary of the various approaches to price / yield
Duration, modified duration and convexity
Bond futures
Cash-and-carry arbitrage
Exercises
6 Repos, Buy/Sell-backs and Securities Lending
Introduction
Classic repo
Margin calls
General collateral (GC) and specials
Other features
Buy/Sell-back
Close-out and repricing
Securities lending
Comparison between the different transactions
Uses of repo and securities lending
Exercises
7 Zero-Coupon Rates and Yield Curves
Zero-coupon yields and par yields
Forward-forward yields
Summary
Longer-dated FRAs
Exercises
Part 3 Foreign exchange
8 Foreign Exchange
Introduction
Spot exchange rates
Forward exchange rates
Cross-rate forwards
Short dates
Calculation summary
Value dates
Forward-forwards
Time options
Long-dated forwards
Arbitraging and creating FRAs
Discounting future foreign exchange risk
Exercises
Part 4 Swaps and options
9 Interest Rate and Currency Swaps
Basic concepts and applications
Overnight indexed swap (OIS)
Pricing
Valuing swaps
Hedging an interest rate swap
Amortising and forward-start swaps
Currency swaps
Exercises
10 Options
Overview
The ideas behind option pricing
Pricing models
OTC options vs. exchange-traded options
The Greek letters
Hedging with options
Some “packaged” options
Some trading strategies
Some less straightforward options
Exercises
Part 5 Gold and other commodities
11 Gold and Other Commodities
Gold
Gold borrowing, forwards, swaps and GOFO
Other commodities
Forward pricing and convenience yield
Commodity futures and EFP (Exchange For Physical)
FRAs, swaps and options
Exercises
Part 6 Hints and answers to exercises
12 Hints and Answers to Exercises
Hints on exercises
Answers to exercises
Appendix 1 Using an HP calculator
Appendix 2 A summary of market day/year conventions and government bond markets
Appendix 3 A summary of calculation procedures
Appendix 4 Glossary
Appendix 5 ISO (SWIFT) currency codes
Select Bibliography
Index

Langue : Anglais

Edition : 2ème

Illustration(s) : Tableau(x) ; Schémas

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque