Derivatives and Risk Management

Index

Entries followed by t, f and b relate to tables, figures and boxes respectively

A

active hedging strategies, 10–11

agro products, 206

agro swap hedges, 226

ALM. See Asset Liability Management (ALM)

American call option lower bound value, 481

American call option upper bound value, 481

American option, 495

American put option lower bound value, 481

American put option upper bound value, 481–483

APO. See Average Price Option (APO)

Asian option, 406–480

Asset Liability Management (ALM), 77

Average Price Option (APO), 406

B

backwardation principle, 447–450

Bank of International Settlement (BIS), 65

barrier options, 415–418

basket rainbow option, 435

BCP. See Business Continuity Plan (BCP)

bear spread, 167–168

using call option,167–168

using ...