Derivatives demystified : a step-by-step guide to forwards, futures, swaps and options / Andrew M. Chisholm.

Format:

Book

Author/Creator:

Chisholm, Andrew, 1959-

Series:

Wiley finance series.

The Wiley Finance Series ; v.532

Language:

English

Subjects (All):

Derivative securities.

Securities.

Physical Description:

1 online resource (290 p.)

Edition:

2nd ed.

Place of Publication:

Hoboken : Wiley, 2010.

Language Note:

English

System Details:

text file

Summary:

Derivatives are everywhere in the modern world and it is important for everyone in banking, investment and finance to have a good understanding of the subject. Derivatives Demystified provides a step-by-step guide to the subject, enabling the reader to have a solid, working understanding of key derivative products. Adopting a highly accessible approach, the author explains derivative products in straightforward terms and without the complex mathematics that underlie the subject, focusing on practical applications, case studies and examples of how the products are used to solve real-wo

Contents:

Derivatives Demystified; Contents; Acknowledgements; 1 The Origins and Growth of the Market; Definitions; Derivatives Building Blocks; Forwards; Futures; Swaps; Options; Market Participants; Dealers; Hedgers; Speculators; Arbitrageurs; Supporting Organizations; Early Origins of Derivatives; Derivatives in the USA; Overseas Developments, Innovation and Expansion; An Example of Recent Innovation: Weather Derivatives; Temperature-Linked Derivatives; The value connection; Summary and basis risks; The Wild Beast of Finance?; Enter Warren Buffett; Lessons From Recent History

Hammersmith & Fulham Council (1988/9) Metallgesellschaft (1993); Orange County (1994); Barings Bank (1995); Long-Term Capital Management (1998); Enron (2001); Allied Irish Banks (2002); AIG, Merrill Lynch and Lehman Brothers (2008); Creative Destruction and Contagion Effects; The Modern OTC Derivatives Market; The Exchange-Traded Derivatives Market; Chapter Summary; 2 Equity and Currency Forwards; Introduction; Equity Forward Contract; The Forward Price; Establishing the fair forward price; Components of the forward price; The Forward Price and Arbitrage Opportunities; Closing the gap

The forward price and commodities The Forward Price and the Expected Payout; Expected payout from a forward; Foreign Exchange Forwards; The forward FX rate; Managing Currency Risk; Profits and losses on the export deal; Hedging with an Outright Forward FX Deal; Showing the results in a graph; The Forward Foreign Exchange Rate; The Forward FX Rate and Arbitrage Opportunities; Forward Points; Calculating forward points; FX Swaps; Applications of FX Swaps; Effects of the FX swap deal; Chapter Summary; 3 Forward Rate Agreements; Introduction; FRA Case Study: Corporate Borrower; The FRA settlement

Effective borrowing rate Results of the FRA Hedge; The FRA hedge illustrated; The FRA contract period; The FRA as Two Payment Legs; Net position with FRA hedge; Dealing in FRAs; The dealer's overall position; FRA bid and ask rates; Forward Interest Rates; Chapter Summary; 4 Commodity and Bond Futures; Introduction; The Margining System and the Clearing House; Users of Futures Contracts; Hedgers; Speculators; Arbitrageurs; Commodity Futures; Futures Prices and the Basis; The basis; US Treasury Bond Futures; Tick size and tick value; Bond futures profit and loss calculations

US Treasury Bond Futures: Delivery Procedures Conversion or price factors; Gilt Futures; The Cheapest-To-Deliver (CTD) Bond; Chapter Summary; 5 Interest Rate and Equity Futures; Introduction; Eurodollar Futures; Final settlement value; Trading Eurodollar Futures; Calculating trading Profits and losses; Profits and losses in interest rate terms; Close out before expiry; Hedging with Interest Rate Futures; Eurodollar futures hedge in a graph; Interest Rate Futures Prices; Arbitrage example; No arbitrage relationships; Equity Index Futures; CME S&P 500 futures price quotation and basis

Other major equity index futures contracts

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on metadata supplied by the publisher and other sources.

ISBN:

1-119-20667-7

1-282-77443-3

9786612774430

0-470-97031-6

OCLC:

665827929