Bibliographic record and links to related information available from the Library of Congress catalog
Note: Electronic data is machine generated. May be incomplete or contain other coding.
1 Background and Development of the Derivatives Markets 1 Introducalion - Definition and key features 3 Uses of derivatives 3 Range of derivatives 4 Incriasing use of the Central Counterparty Model (CCP) 5 Risk and benchnmarking 6 Market volumnes 6 )Lsers and uses of derivatrives markets 7 Straight Through Processing (STP) 2 .Market Fundamentalls. . 11 Introduction 12 How b anks generate in ome 12 'IThree kt y assumpnons 14 Role and use of'LIBOR 15 Day counts 1 7 Financial maths 18 Calculating forward rates 21 Marking to market 24 Yield curSes 25 Q½ 'I 26 3 .Derivatives Fundamentals 29 Range of derivarives 30 Whlat is a vanilla trade? 30 Settlement 31i Triggers 32 Liquidity and credit risk 33 TUnderstanding the underlying. 33 Benchmarks 34 Fair value 34 Dealing with derivatives 34 4 Basic Option Concepts 39 Introduction 40 Option pricing 52 Option mechanics 52 5 Interest Rate Derivatives - Single Settlement Instruments 59 Background and development 60 Single settlement interest rate derivatives 62 Financial futures contracts 63 Forward rate agreemenpts (FRAs) 75 Interest rate options 87 Premium determinants 88 6 Multiple Settlement Interest Rate Derivatives 99 Introduction 100 Interest rate caps and floors 102 Interest rate collars 110 Interest rate swaps 116 Quiz 133 7 Benchmarking in the OTC Derivatives Markets 135 Penny Davenport Financial benchmarking for derivatives 136 Operational risk measurements for derivatives 139 Markit Annual Scorecard 140 Conclusion 141 8 Credit Derivatives 143 Introduction 144 What is credit risk? 145 Style of trading . A 14 Default data 148 The first de als 148 Ran,e of credit derivatives 1 148 Credit de fault sw8aps 1 4 Total return swaps 158 9 Beyond a Vanilla CDS 161 RoDber Reoch Introduc tion 162 Credit indices 162 CDOs 167 10 Currency Derivatives 175 Introduction 176 Over the counter currency options 178 Currency options: reduced prenmiumr strategies 202 Simple exotic structures 210 Currency swaps 212 xchange- traded instruments 223 Conclusion 226 Oh 226 1 quity Derivatives 229 Introduction 230 Background 230 Single stocks or equity indices? 213 Stock index futures 235 Stock index options 2, 9 Sing.le stock options 259 E;qutir ine x swaps 263 12 Using Equity Derivatives to Create Attractive Investment Products for Personal Investors 273 Christopher C. Taylor Equity in estment / 17, The development of the UK and European nimarkets for equity- based retail products 2 5 Costructing ca pital protected growth product with equity derivatives 277 Income paving capital-at-risk products '80 Calculation of i come level 280 trhe risk to capital 281 The most common structural variations used in the equity derivative market 281 13 Commodity Derivatives 289. Introduction 290 Exchrige-traded energy derivatives 295 Exchan-ge- trtde d fiItures contracts 295 Exchange-traded energy option con.tracts 302 OTC or off-exchange' energy derivatives 307 OTC option products 308 OTC oil swaps 313 Overview of electricity marker 317 14 Using Derivatives in Hedge Funds 321 StuCart C. Fiert introduction 322 Mitigating risk 322. Increasing exiposures 324 Capturing tax efficiencies 2 Manoeuvring anonymousily 25 Accessing restricted markers 326 Trading non-deliverable assets 326 Shifting operationai burdens 26 Executing with greater precision 3 2 Conclusion 328 15 Derivatives and Technology 331 Chris Horsburgh Introduction and background 332 Hardware and software developrments 333 Business drive s for cha ge 3 34 Responses 336 Conclusion 33 16 Derivatives and Documentati on 339 Introduction 340 Background to the international Swaps and Derfivaives Association, Inc (ISDA) 341 Products covered by the ISDA greemrenr 342 ISDA Heaven vs ISDA Hell 344 17 A brief history of straigh through processing (STP) for OTC Derivatives .. 347 Bill Hodgsao What is STP? 48 Automation drive rs and priorities 449 Me.ssage It orinats jr (cntral clearing for OTC products 352 I niovaion in trade capture and co firrfation 352 Fuarrieamntti issues in processi ng OTC prodciLcs 353 The fiure of ST-P for OTC contracts 35 he back aog 355 A ;'earal infrastruc ture for the OTC markets: Trade 111ormail01on arehouse 356 18 Risk anrid Compliance for Derivatives 361 Tony Blunden Incroduction 362 Goverfnance 562 Risk managernent practice 367 Coinpliance practice 37 C-onclusiol nii 3 9 19 First Principleas of Accounting for Derivati ves 381 Deborah Morton -Dare Introduction 382 Furidamclintal accountiIng concepts 382 Reporting requirerents 383 Fair value and rnark-to-arker accounting 384 Accruals accounting and amortized cost 384 Fai r alue vs hedge accounting 385 iAccounting treatnient 38 5 International standards 34 (dIn(hision - an approaich to accounting tor a new derivatives transaction 398