Author's acknowledgements Publisher's acknowledgements Foreword Contributors1. Background and development of the derivatives markets IntroductionDefinition and key featuresUses of derivativesRange of derivativesIncreasing use of the Central Counterparty Model (CCP)Risk and benchmarkingMarket volumesUsers and uses of derivativesStraight Through Processing (STP)2. Market fundamentals IntroductionHow banks generate incomeThree key assumptionsRole and use of LIBORDay countsFinancial mathsCalculating forward ratesMarking to marketYield curvesQuiz3. Derivatives fundamentals Range of derivativesWhat is a vanilla trade?SettlementTriggersLiquidity and credit riskUnderstanding the underlyingBenchmarksFair valueDealing with derivatives4. Basic option concepts+ Introduction+ Option pricing+ Option mechanics5. Interest rate derivatives - single settlement instruments+ Background and development+ Single settlement interest rate derivatives+ Financial futures contracts+ Forward rate agreements (FRAs)+ Interest rate options (IROs)+ Premium determinantsQuiz6. Interest rate derivatives+ Introduction+ Interest rate caps and floors+ Interest rate collars+ Interest rate swapsQuiz7. Benchmarking in the OTC derivatives markets Penny Davenport+ Financial benchmarking for derivatives+ Operational risk measurements for derivatives+ Markit Annual Scorecard+ Conclusion8. Credit derivatives+ Introduction+ What is credit risk?+ Style of trading+ Default data+ The first deals+ Range of credit derivatives+ Credit default swaps+ Total return swaps9. Beyond a vanilla CDS Robert Reoch+ Introduction+ Credit indices+ CDOs+ Where next?10. Currency derivatives+ Introduction+ Over the counter currency options+ Currency options: reduced premium strategies+ Simple exotic structures+ Currency swaps+ Exchange-traded instruments+ ConclusionQuiz11. Equity derivatives+ Introduction+ Background+ Single stocks or equity indices?+ Stock index futures+ Stock index options+ Single stock options+ Equity index swaps12. Using equity derivatives in investment products Christopher C. Taylor+ Equity investment+ The development of the UK and European markets for equity-based retail products+ Constructing a capital protected growth product with equity derivatives+ Income paying capital-at-risk products+ Calculation of income level+ The risk to capital+ The most common structural variations used in the equity derivative market13. Commodity derivatives+ Introduction+ Exchange-traded energy derivatives+ Exchange-tr
ISBN: 9780273709787
ISBN-10: 027370978X
Number Of Pages: 416
Format:
Paperback
Language:
English
Dimensions (cm): 17.000 x 24.000
Audience:
General
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