Derivatives Demystified

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Derivatives Demystified - A Step-by-Step Guide to Forwards, Futures, Swaps and Options
By Andrew M. Chisholm

Publisher: Wiley
Number Of Pages: 251
Publication Date: 2004-08-27
ISBN-10 / ASIN: 047009382X
ISBN-13 / EAN: 9780470093825

Contents
Preface xiii
1 The Market Background 1
Derivatives building blocks 1
Market participants 2
Origins and development of derivatives 3
The modern OTC derivatives market 6
Exchange-traded futures and options 8
Chapter summary 9
2 Equity and Currency Forwards 11
Introduction 11
The forward price 11
Components of the forward price 13
Forward price and expected payout 14
Foreign exchange forwards 15
Managing currency risk 16
Hedging with FX forwards 17
The forward FX rate 18
Forward points 20
FX swaps 20
Applications of FX swaps 21
Chapter summary 21
3 Forward Rate Agreements 23
Introduction 23
FRA application:corporate borrower 23
Results of the FRA hedge 24
FRA payment dates and settlement 25
The FRA as two payment legs 26
Dealing in FRAs 28
Forward interest rates 29
Chapter summary 29viii Contents
4 Commodity and Bond Futures 31
Introduction 31
Commodity futures 32
Futures prices and the basis 33
Bond futures 34
Gilt and Euro bund futures 36
The cheapest-to-deliver 37
Chapter summary 38
5 Interest Rate and Equity Futures 39
Introduction 39
Interest rate futures 39
Trading interest rate futures 40
Hedging with interest rate futures 41
Interest rate futures prices 42
Equity index futures 43
The margining system 44
Single stock futures 46
Chapter summary 47
6 Interest Rate Swaps 49
Introduction 49
Sterling interest rate swap 49
Hedging with interest rate swaps 50
Dollar interest rate swap 52
Summary of IRS applications 53
Swap rates and credit risk 54
Cross-currency swaps 55
Gains from cross-currency swap 56
Chapter summary 58
7 Equity and Credit Default Swaps 59
Equity swaps 59
Monetizing corporate cross-holdings 59
Other applications of equity swaps 60
Equity index swaps 62
Hedging equity swaps 63
Credit default swaps 64
Credit default swap premium 65
Chapter summary 66
8 Fundamentals of Options 69
Introduction 69
Call option:intrinsic and time value 70
Long call expiry payoff 71
Short call expiry payoff 72Contents ix
Put option:intrinsic and time value 73
Long put expiry payoff 74
Short put expiry payoff 75
Chapter summary 76
9 Hedging with Options 77
Introduction 77
Forward hedge revisited 77
Protective put 79
Payoff profile of protective put 80
Changing the put strike 82
Equity collar 82
Zero-cost equity collar 84
Collars and forwards 84
Protective put with barrier option 86
Covered call writing(buy–write)88
Chapter summary 89
10 Exchange-Traded Equity Options 91
Introduction 91
UK stock options on LIFFE 92
Stock options:call expiry payoff 93
US-listed stock options 94
CME options on S&P 500 R index futures 95
FT-SE 100 index options 97
Expiry payoff of FT-SE 100 call 98
Exercising FT-SE 100 index options 99
Chapter summary 99
11 Currency Options 101
Introduction 101
Currency options and forwards 101
Results from the option hedge 102
Zero-cost collar 104
Reducing premium on FX hedges 105
Compound options 106
Exchange-traded currency options 107
Hedging with exchange-traded options 108
FX covered call writing 109
Chapter summary 111
12 Interest Rate Options 113
Introduction 113
OTC interest rate options 113
Hedging with interest rate calls 115
Caps,floors and collars 116x Contents
Swaptions 117
Eurodollar options 119
Euro and sterling interest rate options 120
Bond options 121
Exchange-traded bond options 121
Bund and gilt bond options 122
Chapter summary 123
13 Option Valuation Concepts 125
Introduction 125
The concept of expected payout 125
Inputs to the Black–Scholes model 127
Historical volatility 128
Implied volatility 131
Share price simulations 132
Value of a call and put option 133
Pricing currency options 136
Pricing interest rate options 137
Chapter summary 138
14 Option Sensitivities:The‘Greeks’141
Introduction 141
Delta 141
Gamma 144
Delta,gamma and expiry 146
Theta 147
Vega 148
Rho 149
Signs of the‘Greeks’150
Chapter summary 150
15 Managing Trading Risks on Options 153
Introduction 153
Delta risk on a short call 153
Delta hedging and gamma 155
Profit from a short call position 156
Chasing the delta 157
Practical constraints on hedging 158
Chapter summary 159
16 Option Trading Strategies 161
Introduction 161
Bull spread 161
Bull position with digital options 162
Bear spread 164
Put or bear ratio spread 166
Long straddle 167Contents xi
Chooser option 169
Short straddle 170
Managing the gamma risk 171
Calendar or time spread 173
Chapter summary 174
17 Convertible and Exchangeable Bonds 175
Introduction 175
Investors in convertible bonds 176
Issuers of convertible bonds 177
CB measures of value 178
Conversion premium and parity 179
Other factors affecting CB value 180
Participation rates 181
Mandatorily convertibles and exchangeables 182
Structuring a mandatorily exchangeable 183
Chapter summary 185
18 Structured Securities:Examples 187
Introduction 187
Capital protection equity-linked notes 187
Expiry value of 100%capital protection notes 189
100%participation notes 190
Capped participation notes 191
Average price notes 192
Locking in interim gains:cliquet options 193
Securitization 194
Synthetic securitization 196
Chapter summary 197
Appendix A:Financial Calculations 199
Appendix B:Glossary of Terms 213
Appendix C:Further Information 227
Index 229

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实在太好了

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