ENGLISH

Financial Risk Management and Derivative Instruments

By Michael Dempsey

Book information

Publisher
Routledge
Year
2021
ISBN
9780367674793, 2020053241, 2020053242, 9780367676643, 9781003132240
Language
english
Format
PDF
Filesize
6 MB (5873733 bytes)
Series
Routledge Advanced Texts in Economics and Finance
Pages
\275
Time added
2021-05-23 18:20:13

Description

Cover Half Title Series Page Title Page Copyright Page Dedication Table of Contents List of figures List of tables Illustrative examples About the author Introduction PART A: Markets and uncertainty 1. Stock market risk: Fundamentals and behaviour 1.1 Introduction 1.2 The riskiness of stock markets 1.3 The concept of fundamental value 1.4 The concept of a required rate of return 1.5 Time for reflection: What has been revealed? 2. Financial leverage and risk 2.1 Introduction 2.2 Financial leverage 2.3 Modigliani and Miller propositions 2.4 Debt, firm profitability, and valuation 2.5 Debt, the markets and the economy: Hyman Minsky 2.6 Debt and the global financial crisis 2.7 Time for reflection: What has been revealed? 3. Bond market risk: Interest Rates 3.1 Introduction 3.2 Implications of interest rates for bonds 3.3 The duration of bonds and sensitivity to interest rates 3.4 Interest rates, inflation and economic stimulation 3.5 Interrogating bonds: expectations for interest rates 3.6 Time for reflection: What has been revealed? 4. The nature of growth 4.1 Introduction 4.2 The normal distribution 4.3 Co-variance, correlation and expected return and variance for a portfolio of assets 4.4 Continuously-compounding growth 4.5 Market predictions allowing normally distributed outcomes 4.6 Continuously compounding growth rates over many periods 4.7 Time for reflection: What has been revealed? PART B: Derivative instruments and financial engineering 5. Interest rate futures (forwards) 5.1 Introduction 5.2 Interest rate swaps 5.3 Banks and the incentive to facilitate interest rate swaps 5.4 Hedging interest rates with an “over the counter” forward rate agreement (FRA) 5.5 Hedging and speculation with Treasury bond futures 5.6 Hedging and speculation with interest rate futures 5.7 Time for reflection: What has been revealed? 6. Futures contracts: Hedging/speculating on currency risk 6.1 Introduction 6.2 Futures (forward contracts) 6.3 Institutionalized futures markets 6.4 Futures and leveraged speculation 6.5 The futures price in relation to the current spot price 6.6 Hedging currency risk 6.7 Hedging and “regret” 6.8 Time for reflection: What has been revealed? 7. Options contracts: Hedging/speculating on currency risk 7.1 Introduction 7.2 The nature of options trading 7.3 Options and foreign currencies 7.4 Price discovery: intrinsic and time value 7.5 Speculating on foreign exchange 7.6 Hedging corporate foreign exchange exposure 7.7 Time for reflection: What has been revealed? 8. The Black-Scholes model 8.1 Introduction 8.2 The principle of risk neutrality 8.3 Derivation of the Black-Scholes formula 8.4 Put–Call parity 8.5 The Black-Scholes formula applied to either (i) an index with a continuous dividend yield or (ii) a currency with an interest rate 8.6 The Black-Scholes model in practice 8.7 Time for reflection: What has been revealed? 9. Trading index futures 9.1 Introduction 9.2 Futures trading platforms 9.3 Equity Index Basis 9.4 Trading Strategies 9.5 Time for reflection: What has been revealed? 10. Option strategies 10.1 Introduction 10.2 The options markets 10.3 Changing prices of options (inputs to the Black-Scholes model) 10.4 Options trading strategies 10.5 Time for reflection: What has been revealed? 11. Option pricing: The Greeks 11.1 Introduction 11.2 The Greeks 11.3 The Greeks in combination 11.4 Time for reflection: What has been revealed? 12. Derivative instruments and the global financial crisis (2007–08) 13. Solutions Chapter 1: Stock market risk: Fundamentals and behaviour Chapter 2: Financial leverage and risk Chapter 3: Bond market risk: Interest rates Chapter 4: The nature of growth Chapter 5: Interest rate futures (forwards) Chapter 6: Futures contracts: Hedging/speculating on currency risk Chapter 7: Options contracts: Hedging/speculating on currency risk Chapter 8: The Black-Scholes model Chapter 9: Trading index futures Chapter 10: Option strategies Chapter 11: Option pricing: The Greeks Chapter 12: Derivative instruments and the global financial crisis (2007–08) Index

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