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

List of Tables

III.1.1 Discretely compounded spot and forward rates

III.1.2 Examples of bonds

III.1.3 Market interest rates

III.1.4 Bond prices

III.1.5 Bond yields

III.1.6 Some market interest rates

III.1.7 Estimates and standard errors of one-factor interest rate model

III.1.8 Macaulay duration of a simple bond

III.1.9 A zero coupon yield curve

III.1.10 Duration-convexity approximation

III.1.11 Two bonds

III.1.12 Value duration and value convexity

III.1.13 An immunized bond portfolio

III.1.14 The value of a vanilla swap

III.1.15 USD and GBP 6-month LIBOR rates and spot GBP/USD exchange rate

III.1.16 Payments on a cross-currency basis swap

III.1.17 PV01 for a bond

III.1.18 PV01 for a cash flow

III.1.19 Forward rates and their volatilities (in basis points)

III.1.20 Expectation and standard deviation of future PV

III.1.21 Six bonds

III.1.22 Bootstrapping zero coupon yields

III.2.1 Bond futures prices, volume and open interest, 19 October 2007

III.2.2 Conversion factors for 10-year US Treasury note futures

III.2.3 Contract specifications for French corn futures

III.2.4 ETFs in the United States, Europe and the world

III.2.5 Correlation between spot and futures returns: stock indices

III.2.6 Number of futures contracts in an energy futures trading book

III.2.7 Daily correlations of futures prices at selected maturities

III.2.8 Results of PCA on the futures returns covariance matrix

III.2.9 Minimum variance hedges to reduce to volatility of the futures portfolio

III.2.10 Daily minimum ...