Book description
Create value while you manage risk
Today's increasingly volatile financial markets have caused an explosion of new financial instruments designed to transfer risk--from collateralized mortgage-backed securities to swaptions that trade directly between financial actors. And now these complex financial instruments have become standard operating procedure at most large and mid-sized businesses. Managers overseeing any substantial business, financial or non-financial, must thoroughly understand these financial instruments and their value in hedging and diversifying to succeed.
With this unique casebook, you'll have the opportunity to gain the analytical, institutional, and functional knowledge you need to use these instruments to solve new problems. Featuring cases from the authors' MBA and Executive Education level courses at Harvard Business School, the book covers the basics of financial instruments, from terminology to pricing, and the markets in which these instruments trade. Throughout, the emphasis is on how these securities accomplish risk transfer from actors who do not want risk to those who are willing to take it on--for a fee of course.
These cases include:
Deutsche Bank: Finding Relative Value Trades
Ticonderoga Capital: Inverse Floating Rate Bonds
100-Year Liabilities at Prudential Insurance
Swedish Lottery Bonds
The Enron Odyssey: The Special Purpose of SPEs
Building Hedge Funds at Prospero Capital
Dell Computer Corporation: Share Repurchase Program
First American Bank: Credit Default Swaps
Morgan Stanley and TRAC-X: The Battle for the CDS Indexes Market
and more
Table of contents
- Cover Page
- Title Page
- Copyright
- Acknowledgments
- About the Authors
- Table of Contents
- 1: Introduction
- FIXED-INCOME SECURITIES: CONCEPTS
- 2: Note on Bond Valuation and Returns
- 3: Deutsche Bank: Finding Relative-Value Trades
- 4: Note on Duration and Convexity
- 5: Ticonderoga: Inverse Floating Rate Bond
- 6: 100-Year Liabilities at Prudential Insurance
- FIXED-INCOME SECURITIES: APPLICATIONS
- 7: Deutsche Bank: Discussing the Equity Risk Premium
- 8: Swedish Lottery Bonds
- 9: Bank Leu's Prima Cat Bond Fund
- 10: Catastrophe Bonds at Swiss Re
- 11: Mortgage Backs at Ticonderoga
- 12: KAMCO and the Cross-Border Securitization of Korean Non-Performing Loans
- 13: Nexgen: Structuring Collateralized Debt Obligations (CDOs)
- 14: Note on Forward Contracts and Swaps
- 15: The Enron Odyssey (A): The Special Purpose of “SPEs”
- EQUITY OPTIONS: CONCEPTS
- 16: Note on Basic Option Properties
- 17: Dell Computer Corporation: Share Repurchase Program
-
18: Note on Option Valuation
- THE BINOMIAL MODEL
- RISK-NEUTRAL VALUATION AND PROBABILITIES
- TWO-PERIOD BINOMIAL TREE, USING RISK-NEUTRAL VALUATION
- TWO-PERIOD VALUATION OF AN AMERICAN OPTION
- CALIBRATING THE BINOMIAL TREE TO WORK WITH MARKET DATA
- BLACK-SCHOLES/MERTON FORMULA
- IMPLIED VOLATILITY: USING THE BLACK-SCHOLES/MERTON FORMULA PRACTICALLY
- PROBLEM SET
- 19: Sally Jameson—1999
- EQUITY OPTIONS: APPLICATIONS
- 20: Pine Street Capital
- 21: Tribune Company: The PHONES Proposal
- 22: Cox Communications, Inc., 1999
- 23: DigaMem Inc.
- 24: ALZA and Bio-Electro Systems (A): Technological and Financial Innovation
- CREDIT DERIVATIVES
- 25: Note on Credit Derivatives
- 26: First American Bank: Credit Default Swaps
- 27: Morgan Stanley and TRAC-X: The Battle for the CDS Indexes Market
- INTEREST RATE DERIVATIVES
- 28: Introduction to Interest Rate Options
- 29: Advising on Currency Risk at ICICI Bank
- EQUITY AND OPTIONS EXCHANGES
- 30: Deutsche Börse
- 31: The Chicago Board Options Exchange (CBOE)
- 32: The International Securities Exchange: New Ground in Options Markets
- REAL OPTIONS
- 33: RTY Telecom: Network Expansion
- Index
Product information
- Title: Financial Instruments and Markets: A Casebook
- Author(s):
- Release date: January 2006
- Publisher(s): Wiley
- ISBN: 9780471737674
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