Financial Derivatives: A Case Study Based Learning by MANU SHARMA

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Financial Derivatives: A Case Study Based Learning

by MANU SHARMA

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The book Financial Derivatives: A Case Study Based Learning is primarily designed for learners who want to make a career in the field of financial management. It provides clear and concise explanations of different derivative instruments and how those can be used for the purpose of risk management. Adequate amount of case studies, numerical illustrations, and graphical demonstrations have been provided in the book to strengthen the theoretical and practical understanding of the learners. In addition, Excel-based solutions of practical problems given in the book will help learners in putting the theories into practical applications. The book serves as an ideal introduction for the students who are new to the subject. In addition, it serves as an essential reference for the students who are already exposed to this field. Chapter 1: Fundamentals of Options Fundamentals of Options 1. American and European Options 2. Long Position and Short Position in Options Long Call Option 1. Hedging with Long Call Options 2. Long Calls Instead of Shares Short Call Option Long Put Option Short Put Option Value of Option 1. Intrinsic Value of an Option 2. Time Value of an Option In-the-Money, At-the-Money, and Out-of-the- Summary Questions Multiple-Choice Questions Long-Answer Questions Chapter 2: Binomial Option Pricing Model Binomial Option Pricing Model 1 Derivation of Binomial Model and Hedge Ratio Single Stage Binomial Call Option Pricing Model Double Stage Binomial Call Option Pricing Model 1 Hedge Ratio for Double Stage Model Put Option Binomial Pricing Model 1 Single Stage Put Option Binomial Pricing Model 2 Double Stage Put Option Binomial Pricing Model Arbitrage in Binomial Option Pricing Model Summary Table of Contents Questions Multiple-Choice Questions Long-Answer Questions Chapter 3: Black-Scholes Option Pricing Model Black-Scholes Option Pricing Model 1. Assumptions of the Model 2. Pricing of Option with Black-Scholes Model (Time Value and Intrinsic Value) Options Variables 1. Stock Price (Delta) 2. Gamma 3. Theta (Time) 4. Vega (Standard Deviation) 5. Rho (Risk-Free Rate) Put-Call Parity Arbitrage In Options 1. Arbitrage Using Call Options 2. Arbitrage Using Put Options Delta and Gamma Hedging Summary Questions Multiple-Choice Questions Long-Answer Questions Chapter 4: Advanced Option-Based Hedging Strategies Bullish Option Strategies 1. Long Call 2. Short Put 3.Covered Call 4. Protective Put 5. Bullish Spreads (Also part of Bullish Option Strategies) 6. Bull Call Spread and Bull Put Spread 7. Strap Bearish Option Strategies 1. Bear Call Spread 2. Bear Put Spread 3. Strip Neutral Option Strategies 1. Long Straddle 2. Short straddle 3. Long Strangle 4. Short strangle 5. Call Time Spread 6. Put Time spread 7. Call Ratio Vertical Spread 8. Put Ratio Vertical Spread 9. Long Call Condor 10.Short Call Condor 11.Short Call Butterfly 12.Short Put Butterfly 13.Long Call Butterfly 14.Long Put Butterfly Summary Questions Multiple-Choice Questions Long-Answer Questions Chapter 5: Currency Options Introduction to Currency Options 1. Advantages of Currency Options 2. Disadvantages of Currency Options 3. American and European Currency Options 4. Long and Short Positions in Currency Options Long Currency Calls 1.Hedging with Long Currency Calls Short Currency Calls 1. Hedging with Short Currency Calls Long Currency Put Options 1. Hedging with Long Currency Put Option Short Currency Put Options 1. Hedging with Short Currency Puts Currency Options Strategies 1. Straddles 2. Strangles Put-Call Parity in Currency Options Garman-Kohlhagen Foreign European Style Currency Option Pricing Model Summary Questions Multiple-Choice Questions Long-Answer Questions Chapter 6: Interest Rate Options Interest Rate Options Interest Rate Long Call Options 1. The Money Status of Interest Rate Long Call Options 2. Hedging with Interest Rate Long Call Options Interest Rate Short Call Options 1. Hedging with Interest Rate Short Call Options Interest Rate Long Put Options 1. The Money Status of Interest Rate Long Put Options 2. Hedging with Interest Rate Long Put Options Interest Rate Short Put Options Caplets Hedging with Florets Black Model For Pricing Interest Rate Options Summary Questions Multiple-Choice Questions Long-Answers Questions Chapter 7: Futures and Forward Contracts Introduction to Futures Contract 1. Types of Futures Contracts 2. Advantages and Disadvantages of Futures Contracts Long Hedging with Futures Contracts Marked to Market Analysis of Long Futures Contracts Short Hedging Marked to Market Analysis of Short Futures Contracts Perfect Hedging and Cross Hedging Hedge Ratio Basis Hedge 1. Basis Short Hedging 2. Basis Long Hedging 3. Golden Rules of Hedging with Basis Introduction to Forward Contracts 1. Advantages and Disadvantages of Forward Contracts 2. Long Forward Contracts 3. Short Forward Contracts Valuation of Forward/Futures Contracts 1. Variables Affecting Valuation of Forward/Futures Contracts Arbitrage on Forward/Futures Contracts Options on Futures 1. Black�s Model for Pricing Options on Futures Summary Questions Multiple-Choice Questions Long-Answer Questions Chapter 8: Currency Forwards and Futures Introduction to Currency Futures 1. Market Participants in Currency Futures Long Currency Futures 1. Hedging with Long Currency Futures Short Currency Futures 1. Hedging with Short Currency Futures Valuation of Currency Futures Contracts Basis Currency Risk and Basis Currency Hedging 1. Hedging with Currency Basis Hedge Ratio for Currency Futures Contracts Introduction to Currency Forward Contracts 1. l Advantages and Disadvantages of Currency Forwards Long Hedging Currency Forward Contracts Short Hedging Currency Forward Contracts Valuation of Currency Forward Contracts Arbitrage in Currency Forwards/Futures Non-Deliverable Forward Contracts Summary Questions Multiple-Choice Questions Long-Answer Questions Chapter 9: Interest Rate Futures Introduction to Interest Rate Futures 1. Treasury Bills 2. Treasury Bonds Valuation of Bonds Treasury Bill 91 Days Maturity (Short-Term Bond) Treasury Bonds 7% Semi-Annual 10 Years Maturity (Long-Term Bond) 1. Invoice Price 2. Cheapest to Deliver Bond Short Hedging with Interest Rate Futures Long Hedging with Interest Rate Futures Hedge Ratio 1. Hedge Ratio � Complete Hedge of Duration 2. Hedge Ratio � Target Hedge with Fixed Duration Summary Questions Multiple-Choice Questions Long-Answer Questions Chapter 10: Swaps Interest Rate Swap Structuring Interest Rate Swaps 1. Fixed to Floating Interest Rate Swap 2. Floating to Fixed Interest Rate Swap Pricing of Interest Rate Swap at Outset Value of Interest Rate Swap during its Life Introduction to Currency Swap 1. Four Scenarios of Interest Rate Payments in Currency Swap Determining Coupon Rates in Currency Swap Valuation of Currency Swap Swaption: Options on Interest Rate Swap 1. Swaptions for Assets 2. Swaptions for Liabilities 3. Valuation of Swaptions (Black�s Model) Credit Default Swap (CDS) Total Return Swap Summary Questions Multiple-Choice Questions Long-Answer Questions ISBN - 9789351197935

Pages : 272

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