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关键词：introduction troduction Markets Capital market 下载 Markets Capital introduction

1.Introduction:TheMarketContext 1
1.1FinancialIntermediationandRisk 2
1.2TheEuromarkets3
1.3ModernInvestmentBanking5
1.4AboutthisBook6
2.  The  Money  Mark ets  11
2.1ChapterOverview11
2.2 Domestic Money Markets 11
2.3 US Domestic Markets 12
2.4 Eurozone Markets 14
2.5SterlingMoneyMarkets 15
2.6TheBankofJapan15
2.7 Treasury Bills 16
2.8DiscountingTreasuryBills17
2.9USCommercialPaper19
2.10CreditRiskonUSCP20
2.11BankersíAcceptances21

2.12TheEurocurrencyMarkets 22
2.13EurocurrencyLoansandDeposits 22
2.14EurocurrencyRateQuotations 24
2.15EurocurrencyCertificatesofDeposit 25
2.16CDYieldtoMaturity 26
2.17Euro-CommercialPaper27
2.18ReposandReverses 27
2.19Repo:CaseStudy28
2.20OtherFeaturesofRepos 28
2.21ChapterSummary30
TheForeignExchangeMarket 31
3.1ChapterOverview 31
3.2MarketStructure 31

3.3FXDealersandBrokers32
3.4SpotForeignExchangeDeals 33
3.5SterlingandEuroQuotations34
3.6FactorsAffectingSpotFXRates 34
Spot FX Trading
3.7 36
3.8SpotPositionKeeping 38
FX Risk Control
3.9 40
3.10Cross-CurrencyRates42
3.11OutrightForwardFXDeals44
3.12ForwardFXHedge:CaseStudy44
3.13ForwardFXFormula46
3.14FXorForwardSwaps47
3.15FXSwapQuotations49
3.16InterpretingForwardPoints50
3.17ChapterSummary52
4.BondMarkets 53
4.1ChapterOverview53
4.2GovernmentBondMarkets 53
4.3SovereignRisk 55
4.4USGovernmentBonds56
4.5USTreasuryQuotations58
4.6USTreasuryStrips60
4.7BondPricing60
4.8PricingCouponBonds:Examples62

4.9DetailedBondValuation:USTreasury 63
4.10BondYield 64
4.11ReinvestmentAssumptions 66
Annual and Semi-Annual Bond Yields
4.12 67
4.13UKGovernmentBonds 68
4.14CorporateBonds69
4.15CreditDerivatives 70
4.16CreditRatings 71
4.17OtherCorporateBondFeatures 71
4.18Securitization72
4.19Eurobonds73
4.20PricingEurobondsatIssue74
4.21ChapterSummary75
Appendix:OtherMajorGovernmentBondMarkets 76
BondPriceSensitivity 79
5.1ChapterOverview79
5.2BondMarketLaws79
5.3OtherFactorsAffectingPriceSensitivity 80
5.4MacaulayísDuration 81
5.5CalculatingMacaulayísDuration 82
5.6DurationofaZero 83

5.7ModifiedDuration 84
5.8PriceValueofaBasisPoint 86
5.9Convexity86
5.10MeasuringConvexity 87
5.11ConvexityBehaviour88
5.12PortfolioDuration 89
5.13Dedication 90
5.14Immunization92
5.15Duration-BasedHedges 94
5.16ConvexityEffectsonDurationHedges 95
5.17ChapterSummary 96
6.TheYieldCurve 97
6.1ChapterOverview97
6.2RealandNominalInterestRates 97
6.3CompoundingPeriods98
6.4TheYieldCurveDefined 99
6.5TheoriesofYieldCurves 100
6.6YieldCurvesandCreditRisk 102
6.7ZeroCouponorSpotRates 103
6.8Bootstrapping105
6.9RelationshipwiththeParCurve106
6.10PricingModelsUsingSpotRates 107
6.11ForwardRates 108

6.12DiscountFactors 110
6.13ChapterSummary 111
7.EquityMarkets 113
7.1ChapterOverview 113
7.2DebtandEquity 113
7.3AdditionalFeaturesofEquity 114
7.4HybridSecurities 115
7.5InstitutionalInvestors116
7.6EquityInvestmentStyles116
7.7EfficientMarkets 117
7.8HedgeFunds 119
7.9PrimaryMarkets120
7.10SubsequentIssues122
7.11RightsIssue:Example 122
7.12OtherNewShareIssues123
7.13TheLondonStockExchange123
7.14StockExchangeTradingSystem(SETS)125
7.15TheNewYorkStockExchange126
7.16DepositoryReceipts 126
7.17StockLending127
7.18PortfolioTrading128

7.19ChapterSummary 130
Appendix:EquityMarketStatistics131
8.EquityAnalysisandValuation 133
8.1ChapterOverview 133
8.2ValuationPrinciples133
8.3TheMainFinancialStatements134
8.4TheBalanceSheetEquation134
8.5TheProfitandLossAccount136
8.6UKFoodRetailing:CaseStudy136
8.7BalanceSheets137
8.8Liabilities139
8.9Equity139
8.10ProfitandLossAccounts140
8.11EarningsperShare141
8.12DividendperShare 142
AccountingRatios
8.13 143
LiquidityRatios
8.14 143
8.15ProfitabilityRatios 144
8.16CompositionofReturnonAssets 146
8.17Gearing/LeverageRatios 147
8.18InvestorRatiosandValuation 148
TescoandSainsburyInvestorRatios
8.19 149
8.20ApplyingValuationMultiples 150

8.21OtherValuationMultiples 151
8.22ChapterSummary 152
CashFlowModelsinEquityValuation 153
9.1ChapterOverview 153
9.2TheBasicDividendDiscountModel 153
9.3ConstantDividendGrowthModels 155
9.4TheImpliedReturnonaShare 156
9.5RequiredReturnandDividendYield 157
9.6Price/EarningsRatio 158
9.7StageDividendDiscountModels 159
9.8Two-StageModel:Example 160
9.9TheCapitalAssetPricingModel 161
9.10Beta162
9.11MarketReturnandtheRiskPremium 163
9.12TheEquityRiskPremiumControversy 163
9.13CAPMandPortfolioTheory164
9.14FreeCashFlowValuation 167
9.15WeightedAverageCostofCapital(WACC) 168
9.16ResidualValue 169
9.17WACCandGearing/Leverage 170
9.18ConstantReturnonAssets:CaseStudy 170
9.19AssetBeta171

9.20CompanyValueandGearing/Leverage172
9.21ChapterSummary 172
10. 175Interest Rate Forwards and Futures
10.1ChapterOverview 175
10.2ForwardRateAgreements 175
10.3FRAApplication:CaseStudy176
10.4All-InBorrowingCost 178
10.5FRAPaymentLegs179
10.6FRAMarketQuotations 179
10.7TheForwardInterestRate 181
10.8FairForwardRate 183
10.9FinancialFutures 184
10.10CMEEurodollarFutures 186
10.11EurodollarFuturesQuotations 186
TradingEurodollarFutures:CaseStudy
10.12 187
10.13FuturesMargining 188
10.14MarginingExample:EuriborFutures 189
10.15InterestRateFuturesHedge:CaseStudy 191
10.16FuturesStrips 192
10.17FRAsandFuturesCompared 195
10.18ChapterSummary 195
Appendix:StatisticsonDerivativesMarkets
195

1.BondFutures 197
11.1ChapterOverview 197
11.2Definitions 197
11.3TheCBOTUSTreasuryBondFuture 198
11.4InvoicedAmount198
11.5ConversionFactors 199
11.6LongGiltandEuro-BundFutures 200
11.7ForwardBondPrice 202
11.8CarryCost 202
11.9TheImpliedRepoRate 203
11.10TheCheapesttoDeliverBond 204
11.11CTDCalculation:Example205
11.12SellersíOptions206
11.13CTDBehaviour207
11.14HedgingwithBondFutures 207
11.15BasisRisk209
11.16Hedgingnon-CTDBonds210
11.17OtherUsesofBondFutures 211
11.18ChapterSummary212
12.InterestRateSwaps 215
12.1ChapterOverview215
12.2SwapDefinitions 215

12.3BasicInterestRateSwap 216
12.4SwapasCashplusForwardDeals 218
12.5TypicalSwapApplications 219
12.6InterestRateSwap:DetailedCaseStudy 220
12.7StandardSwapTerms223
12.8ComparativeAdvantage 223
12.9CalculatingAll-InGains 226
12.10SwapQuotations 227
12.11CreditSpreads228
12.12DeterminantsofSwapSpreads 229
12.13HedgingSwapswithTreasuries 230
12.14Cross-CurrencySwaps231
12.15ChapterSummary233
Appendix:SwapVariants233
InterestRateSwapValuation 235
13.1ChapterOverview235
13.2ValuingaSwapatInception235
13.3ValuingtheSwapComponents237
13.4SwapRevaluation239
13.5RevaluationBetweenPaymentDates 240
13.6TheForwardRateMethod 240
13.7SwapRevaluationUsingForwardRates 242
13.8VariantontheForwardRateMethod 242
13.9SwapRateandLIBORRates 243
13.10ApproximateSwapRevaluationMethods 244

13.12PricingaSwapfromFutures:CaseStudy 246
13.13SwapHedging 250
13.14ChapterSummary251
Equity Index Futures and Swaps
253
14.1ChapterOverview253
14.2IndexFutures 253
14.3InitialandVariationMargin 254
14.4ExchangeDeliverySettlementPrice 256
14.5MarginandBrokerageArrangements 257
14.6HedgingwithIndexFutures:CaseStudy 257
14.7HedgeEfficiency 259
14.8OtherUsesofIndexFutures 260
14.9PricinganEquityForwardContract 261
14.10IndexFuturesFairValue 264
14.11TheBasis264
14.12IndexArbitrageTrade 265
14.13RunningtheArbitrageDesk 267
14.14FeaturesofIndexFutures 268
14.15SingleStockFutures 268

14.16EquitySwaps269
14.17EquityIndexSwap:CaseStudy270
14.18ManagingtheRiskonEquitySwaps 271
14.19HedgingSwapsintheCashMarket 273
14.20StructuringEquitySwaps274
Benefits of Equity Swaps for an Investor
14.21 275
14.22ChapterSummary 277
Fundamentals of Options
279
15.1.ChapterOverview 279
15.2Definitions 279
15.3TypesofOptions 280
15.4BasicOptionTradingStrategies281
Buying a Call: Expiry Payoff Profile
15.5 282
15.6ComparisonwithCashPosition283
15.7SellingaCall:ExpiryPayoffProfile284
Buying a Put: Expiry Payoff Profile
15.8 284
15.9ComparisonwithShortingtheStock286
15.10SellingaPut:ExpiryPayoffProfile287
15.11Summary:IntrinsicandTimeValue288
15.12StockOptionsonLIFFE289
15.13CBOEStockOptions290
15.14FT-SE100IndexOptions291
15.15EarlyExercise293
15.16S&PIndexOptions293
15.17ChapterSummary295

Appendix:ExoticOptions296
16.OptionValuationModels 301
16.1ChapterOverview 301
16.2FundamentalPrinciples301
16.3EuropeanOptions 302
16.4EarlyExercise304
16.5PutnCallParity305
16.6SyntheticForwardandFuturesPositions 306
16.7PutnCallParityandAmericanOptions 307
16.8BinomialTrees307
16.9ExpandingtheTree 310
16.10BlacknScholesModel 313
16.11BlacknScholeswithDividends 315
BlacknScholes Assumptions
16.12 316
16.13ChapterSummary 316
Appendix:MeasuringHistoricVolatility 317
17.OptionPricingandRisks 321
17.1ChapterOverview321
17.2IntrinsicandTimeValue321

17.3SpotPriceandOptionValue 322
17.4TimeValueBehaviour322
17.5Volatility324
δ
        326
17.6 Delta (? or )              
ehaviour
17.7 Delta B 327
17.8DeltaastheHedgeRatio 327
17.9 Gamma (Γ or γ) 329
17.10Re-adjustingtheDeltaHedge 330
17.11DeltaandGammaBehaviour 331
θ
)
332
17.12 Theta (
17.13Vega334
ρ
) 335
17.14 Rho (
17.15 Chapter Summary 336
Appendix:DeltaandGammaHedging 336
O ption  S trat egies  341
18.1ChapterOverview 341
18.2HedgingwithPutOptions 341
Payoff from Protective Put
18.3 342
18.4CoveredCallWriting 345
18.5Collars347
18.6ZeroCostCollar 348
18.7BullSpread349
18.8BearSpread351
18.9PutRatioSpread 352

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