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Market Risk Analysis Volume III: Pricing, Hedging and Trading Financial Instruments

by Carol Alexander

July 2008

Beginner

416 pages

15h 17m

English

Wiley

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AIMS AND SCOPEOUTLINE OF VOLUME IIIABOUT THE CD-ROMACKNOWLEDGEMENTS

III.1.1 INTRODUCTIONIII.1.2 INTEREST RATESIII.1.3 CATEGORIZATION OF BONDSIII.1.4 CHARACTERISTICS OF BONDS AND INTEREST RATESIII.1.5 DURATION AND CONVEXITYIII.1.6 BONDS WITH SEMI-ANNUAL AND FLOATING COUPONSIII.1.7 FORWARD RATE AGREEMENTS AND INTEREST RATE SWAPSIII.1.8 PRESENT VALUE OF A BASIS POINTIII.1.9 YIELD CURVE FITTINGIII.1.10 CONVERTIBLE BONDSIII.1.11 SUMMARY AND CONCLUSIONS
III.2.1 INTRODUCTIONIII.2.2 CHARACTERISTICS OF FUTURES AND FORWARDSIII.2.3 THEORETICAL RELATIONSHIPS BETWEEN SPOT, FORWARD AND FUTURESIII.2.4 THE BASISIII.2.5 HEDGING WITH FORWARDS AND FUTURESIII.2.6 HEDGING IN PRACTICEIII.2.7 USING FUTURES FOR SHORT TERM HEDGINGIII.2.8 SUMMARY AND CONCLUSIONS
III.3.1 INTRODUCTIONIII.3.2 FOUNDATIONSIII.3.3 CHARACTERISTICS OF VANILLA OPTIONSIII.3.4 HEDGING OPTIONSIII.3.5 TRADING OPTIONSIII.3.6 THE BLACK–SCHOLES–MERTON MODELIII.3.7 THE BLACK–SCHOLES–MERTON GREEKSIII.3.8 INTEREST RATE OPTIONSIII.3.9 PRICING EXOTIC OPTIONSIII.3.10 SUMMARY AND CONCLUSIONS
III.4.1 INTRODUCTIONIII.4.2 IMPLIED VOLATILITYIII.4.3 LOCAL VOLATILITYIII.4.4 MODELLING THE DYNAMICS OF IMPLIED VOLATILITYIII.4.5 STOCHASTIC VOLATILITY MODELSIII.4.6 SCALE INVARIANCE AND HEDGINGIII.4.7 TRADING VOLATILITYIII.4.8 SUMMARY AND CONCLUSION
III.5.1 INTRODUCTIONIII.5.2 RISK FACTORS AND RISK FACTOR SENSITIVITIESIII.5.3 CASH FLOW MAPPINGIII.5.4 APPLICATIONS OF CASH FLOW MAPPING TO MARKET RISK MANAGEMENTIII.5.5 MAPPING AN OPTION PORTFOLIO TO PRICE RISK FACTORSIII.5.6 MAPPING IMPLIED VOLATILITYIII.5.7 CASE STUDY: VOLATILITY RISK IN FTSE 100 OPTIONSIII.5.8 SUMMARY AND CONCLUSIONS

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Publisher Resources

ISBN: 9780470997895Purchase book