ISBN 9789351197935,Financial Derivatives : A Case Study Based Learning

Financial Derivatives : A Case Study Based Learning

Author:

Manu Sharma

Publisher:

Dreamtech Press

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ISBN 9789351197935
Publisher

Dreamtech Press

Publication Year 2015
ISBN-13

ISBN 9789351197935

ISBN-10 935119793X
Binding

Paperback

Number of Pages 272 Pages
Language (English)
Subject

Finance

Multiple-Choice Questions
Long-Answer Questions

Chapter 6: Interest Rate Options
6.1 Interest Rate Options
6.2 Interest Rate Long Call Options
6.2.1 The Money Status Of Interest Rate Long Call Options
6.2.2 Hedging With Interest Rate Long Call Options
6.3 Interest Rate Short Call Options
6.3.1 Hedging With Interest Rate Short Call Options
6.4 Interest Rate Long Put Options
6.4.1 The Money Status Of Interest Rate Long Put Options
6.4.2 Hedging With Interest Rate Long Put Options
6.5 Interest Rate Short Put Options
6.6 Caplets
6.7.1 Hedging With Florets
6.8 Black Model For Pricing Interest Rate Options
6.9 Summary
6.10 Questions
Multiple-Choice Questions
Long-Answers Questions

Chapter 7: Futures And Forward Contracts
7.1 Introduction To Futures Contract
7.1.1 Types Of Futures Contracts
7.1.2 Advantages And Disadvantages Of Futures Contracts
7.2 Long Hedging With Futures Contracts
7.3 Marked To Market Analysis Of Long Futures Contracts
7.4 Short Hedging
7.5 Marked To Market Analysis Of Short Futures Contracts
7.6 Perfect Hedging And Cross Hedging
7.7 Hedge Ratio
7.8 Basis Hedge
7.8.1 Basis Short Hedging
7.8.2 Basis Long Hedging
7.8.3 Golden Rules Of Hedging With Basis
7.9 Introduction To Forward Contracts
7.9.1 Advantages And Disadvantages Of Forward Contracts
7.9.2 Long Forward Contracts
7.9.3 Short Forward Contracts
7.10 Valuation Of Forward/Futures Contracts
7.10.1 Variables Affecting Valuation Of Forward/Futures Contracts
7.11 Arbitrage On Forward/Futures Contracts
7.12 Options On Futures
7.12.1 Black'S Model For Pricing Options On Futures
7.13 Summary
7.14 Questions
Multiple-Choice Questions
Long-Answer Questions

Chapter 8: Currency Forwards And Futures
8.1 Introduction To Currency Futures
8.1.1 Market Participants In Currency Futures
8.2 Long Currency Futures
8.2.1 Hedging With Long Currency Futures
8.3 Short Currency Futures
8.3.1 Hedging With Short Currency Futures
8.4 Valuation Of Currency Futures Contracts
8.5 Basis Currency Risk And Basis Currency Hedging
8.5.1 Hedging With Currency Basis
8.6 Hedge Ratio For Currency Futures Contracts
8.7 Introduction To Currency Forward Contracts
8.7.L Advantages And Disadvantages Of Currency Forwards
8.8 Long Hedging Currency Forward Contracts
8.9 Short Hedging Currency Forward Contracts
8.10 Valuation Of Currency Forward Contracts
8.11 Arbitrage In Currency Forwards/Futures
8.12 Non-Deliverable Forward Contracts
8.13 Summary
8.14 Questions
Multiple-Choice Questions
Long-Answer Questions

Chapter 9: Interest Rate Futures
9.1 Introduction To Interest Rate Futures
9.1.1 Treasury Bills
9.1.2 Treasury Bonds
9.2 Valuation Of Bonds
9.3 Treasury Bill 91 Days Maturity (Short-Term Bond)
9.4 Treasury Bonds 7% Semi-Annual 10 Years Maturity (Long-Term Bond)
9.4.1 Invoice Price
9.4.2 Cheapest To Deliver Bond
9.5 Short Hedging With Interest Rate Futures
9.6 Long Hedging With Interest Rate Futures
9.7 Hedge Ratio
9.7.1 Hedge Ratio - Complete Hedge Of Duration
9.7.2 Hedge Ratio - Target Hedge With Fixed Duration
9.8 Summary
9.9 Questions
Multiple-Choice Questions
Long-Answer Questions

Chapter 10: Swaps
10.1 Interest Rate Swap
10.2 Structuring Interest Rate Swaps
10.2.1 Fixed To Floating Interest Rate Swap
10.2.2 Floating To Fixed Interest Rate Swap
10.3 Pricing Of Interest Rate Swap At Outset
10.4 Value Of Interest Rate Swap During Its Life
10.5 Introduction To Currency Swap
10.5.1 Four Scenarios Of Interest Rate Payments In Currency Swap
10.6 Determining Coupon Rates In Currency Swap
10.7 Valuation Of Currency Swap
10.8 Swaption: Options On Interest Rate Swap
10.8.1 Swaptions For Assets
10.8.2 Swaptions For Liabilities
10.8.3 Valuation Of Swaptions (Black'S Model)
10.9 Credit Default Swap (Cds)
10.10 Total Return Swap
10.11 Summary
10.12 Questions
Multiple-Choice Questions
Long-Answer Questions
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