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Bibliographic Details
Main Author:	McDonald, Robert L. 1954- (Author)
Format:	Book
Language:	English
Published:	Boston, Mass. ; Munich [u.a.] Pearson Addison Wesley 2009
Edition:	Internat. ed.
Series:	The Prentice Hall series in finance
Subjects:	Derivative securities Derivaten (financiën) Finanzinstrument Derivat > Wertpapier Lehrbuch
Links:	http://www.gbv.de/dms/zbw/562384812.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016605121&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Item Description:	CD-ROM-Beil. u.d.T.: Fundamentals of derivatives markets
Physical Description:	XXIII, 503 S. graph. Darst. 24 cm 1 CD-ROM (12 cm)
ISBN:	9780321357175 0321357175 9780321553799 0321553799

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adam_text	** :..F- - - - : 1 FUNDAMENTALS OF DERIVATIVES MARKETS ROBERT L MCDONALD NORTHWESTERN UNIVERSITY KELLOGG SCHOOL OF MANAGEMENT BOSTON SAN FRANCISCO NEW YORK LONDON TORONTO SYDNEY TOKYO SINGAPORE MADRID MEXICO CITY MUNICH PARIS CAPE TOWN HONG KONG MONTREAL PREFACE XIX CHAPTER 1 INTRODUCTION TO DERIVATIVES 1 1.1 WHAT IS A DERIVATIVE? 2 1.2 AN OVERVIEW OF FINANCIAL MARKETS 2 TRADING OF FINANCIAL ASSETS 3 MEASURES OF MARKET SIZE AND ACTIVITY 4 STOCK AND BOND MARKETS 5 DERIVATIVES MARKETS 6 1.3 THE ROLE OF FINANCIAL MARKETS 11 FINANCIAL MARKETS AND THE AVERAGES 11 RISK SHARING 12 1.4 WAYS TO THINK ABOUT DERIVATIVES 14 USES OF DERIVATIVES 15 PERSPECTIVES ON DERIVATIVES 16 FINANCIAL ENGINEERING AND SECURITY DESIGN 16 1.5 BUYING AND SHORT-SELLING FINANCIAL ASSETS 17 TRANSACTION COSTS AND THE BID-ASK SPREAD 17 WAYS TO BUY OR SELL 18 SHORT-SELLING 19 THE LEASE RATE OF AN ASSET 21 CHAPTER SUMMARY 22 FURTHER READING 23 PROBLEMS 23 IX I CONTENTS PART ONE INSURANCE, HEDGING, AND SIMPLE STRATEGIES 27 CHAPTER 2 AN INTRODUCTION TO FORWARDS AND OPTIONS 29 2.1 FORWARD CONTRACTS 29 THE PAYOFF ON A FORWARD CONTRACT 31 GRAPHING THE PAYOFF ON A FORWARD CONTRACT 33 COMPARING A FORWARD AND OUTRIGHT PURCHASE 34 ZERO-COUPON BONDS IN PAYOFF AND PROFIT DIAGRAMS 36 CASH SETTLEMENT VERSUS DELIVERY 38 CREDIT RISK 38 2.2 CALL OPTIONS 39 OPTION TERMINOLOGY 40 PAYOFF AND PROFIT FOR A PURCHASED CALL OPTION 42 PAYOFF AND PROFIT FOR A WRITTEN CALL OPTION 44 2.3 PUT OPTIONS 46 PAYOFF AND PROFIT FOR A PURCHASED PUT OPTION 47 PAYOFF AND PROFIT FOR A WRITTEN PUT OPTION 48 THE MONEYNESS OF AN OPTION 50 2.4 SUMMARY OF FORWARD AND OPTION POSITIONS 51 LONG POSITIONS 51 SHORT POSITIONS 52 2.5 OPTIONS ARE INSURANCE 54 HOMEOWNER S INSURANCE IS A PUT OPTION 54 BUT I THOUGHT INSURANCE WAS PRUDENT AND PUT OPTIONS WERE RISKY ... 55 CALL OPTIONS ARE ALSO INSURANCE 56 CHAPTER SUMMARY 56 FURTHER READING 57 PROBLEMS 58 CHAPTER 3 INSURANCE, COLLARS, AND OTHER STRATEGIES 61 3.1 BASIC INSURANCE STRATEGIES 61 INSURING A LONG POSITION: FLOORS 61 INSURING A SHORT POSITION: CAPS 65 SELLING INSURANCE 66 3.2 USING OPTIONS TO CREATE SYNTHETIC FORWARDS 68 PUT-CALL PARITY 70 CONTENTS . I XI 3.3 SPREADS AND COLLARS 72 BULL AND BEAR SPREADS 73 BOX SPREADS 74 RATIO SPREADS 75 COLLARS 76 3.4 SPECULATING ON VOLATILITY 79 STRADDLES 79 BUTTERFLY SPREADS 82 3.5 APPLICATION: EQUITY-LINKED CDS 84 GRAPHING THE PAYOFF ON THE CD 85 ECONOMICS OF THE CD 85 WHY EQUITY-LINKED CDS? 86 CHAPTER SUMMARY 87 FURTHER READING 89 PROBLEMS 89 CHAPTER 4 INTRODUCTION TO RISK MANAGEMENT 93 4.1 BASIC RISK MANAGEMENT: THE PRODUCER S PERSPECTIVE 93 HEDGING WITH A FORWARD CONTRACT 94 INSURANCE: GUARANTEEING A MINIMUM PRICE WITH A PUT OPTION 96 INSURING BY SELLING A CALL 97 ADJUSTING THE AMOUNT OF INSURANCE 99 4.2 BASIC RISK MANAGEMENT: THE BUYER S PERSPECTIVE 100 HEDGING WITH A FORWARD CONTRACT 101 INSURANCE: GUARANTEEING A MAXIMUM PRICE WITH A CALL OPTION 101 4.3 WHY DO FIRMS MANAGE RISK? 103 REASONS TO HEDGE 104 REASONS NOT TO HEDGE 106 EMPIRICAL EVIDENCE ON HEDGING 107 4.4 GOLDDIGGERS REVISITED 108 SELLING THE GAIN: COLLARS 109 OTHER COLLAR STRATEGIES 113 PAYLATER STRATEGIES 113 4.5 BASIS RISK 114 HEDGING JET FUEL WITH CRUDE OIL 115 STACK AND STRIP HEDGES 115 CHAPTER SUMMARY 117 FURTHER READING 118 PROBLEMS 119 XN PART TWO FORWARDS, FUTURES, AND SWAPS 123 CHAPTER 5 FINANCIAL FORWARDS AND FUTURES 125 5.1 ALTERNATIVE WAYS TO BUY A STOCK 125 5.2 PREPAID FORWARD CONTRACTS ON STOCK 127 PRICING THE PREPAID FORWARD BY ANALOGY 127 PRICING THE PREPAID FORWARD BY DISCOUNTED PRESENT VALUE 127 PRICING THE PREPAID FORWARD BY ARBITRAGE 128 PRICING PREPAID FORWARDS WITH DIVIDENDS 129 5.3 FORWARD CONTRACTS ON STOCK 132 CREATING A SYNTHETIC FORWARD CONTRACT 133 SYNTHETIC FORWARDS IN MARKET-MAKING AND ARBITRAGE 135 NO-ARBITRAGE BOUNDS WITH TRANSACTION COSTS 136 QUASI-ARBITRAGE 137 DOES THE FORWARD PRICE PREDICT THE FUTURE PRICE? 137 AN INTERPRETATION OF THE FORWARD PRICING FORMULA 139 5.4 FUTURES CONTRACTS 139 THE S&RP 500 FUTURES CONTRACT 140 I MARGINS AND MARKING-TO-MARKET 142 COMPARING FUTURES AND FORWARD PRICES 145 5.5 USES OF INDEX FUTURES 145 ASSET ALLOCATION 146 CROSS-HEDGING WITH INDEX FUTURES 147 CHAPTER SUMMARY 150 FURTHER READING 151 PROBLEMS 152 CHAPTER 6 THE WIDE WORLD OF FUTURES CONTRACTS 157 6.1 CURRENCY CONTRACTS 157 CURRENCY PREPAID FORWARD 157 CURRENCY FORWARD 159 COVERED INTEREST ARBITRAGE 159 6.2 EURODOLLAR FUTURES 160 6.3 AN INTRODUCTION TO COMMODITY FUTURES 164 SEASONALITY AND STORAGE COSTS 164 THE FORWARD PRICE AND THE EXPECTED COMMODITY PRICE 166 THE COMMODITY LEASE RATE 166 CONTENTS I XIII 6.4 ENERGY FUTURES 168 ELECTRICITY 168 NATURAL GAS 169 CRUDE OIL 171 6.5 WEATHER AND HOUSING FUTURES 173 WEATHER DERIVATIVES 174 HOUSING FUTURES 175 CHAPTER SUMMARY 177 FURTHER READING 178 PROBLEMS 179 CHAPTER 7 INTEREST RATE FORWARDS AND FUTURES 183 7.1 BOND BASICS 183 ZERO-COUPON BONDS 185 IMPLIED FORWARD RATES 186 COUPON BONDS 188 ZEROS FROM COUPONS 189 INTERPRETING THE COUPON,RATE 190 CONTINUOUSLY COMPOUNDED YIELDS 191 7.2 FORWARD RATE AGREEMENTS, EURODOLLARS, AND HEDGING 192 FORWARD RATE AGREEMENTS 193 SYNTHETIC FRAS 194 EURODOLLAR FUTURES VERSUS FRAS 196 INTEREST RATE STRIPS AND STACKS 197 7.3 DURATION AND CONVEXITY 198 DURATION 198 DURATION MATCHING 201 CONVEXITY .202 7.4 TREASURY-BOND AND TREASURY-NOTE FUTURES 204 7.5 REPURCHASE AGREEMENTS 207 CHAPTER SUMMARY 209 FURTHER READING 210 PROBLEMS 210 . 7.A INTEREST RATE AND BOND PRICE CONVENTIONS 214 BONDS 215 BILLS 216 CHAPTER 8 SWAPS 219 8.1 AN EXAMPLE OF A COMMODITY SWAP 220 PHYSICAL VERSUS FINANCIAL SETTLEMENT 221 WHY IS THE SWAP PRICE NOT $20.50? 222 XIV I CONTENTS THE SWAP COUNTERPARTY 223 THE MARKET VALUE OF A SWAP 225 8.2 INTEREST RATE SWAPS 227 A SIMPLE INTEREST RATE SWAP 227 PRICING AND THE SWAP COUNTERPARTY 229 COMPUTING THE SWAP RATE IN GENERAL 230 DEFERRED SWAPS 232 THE SWAP CURVE 233 AMORTIZING AND ACCRETING SWAPS 234 8.3 CURRENCY SWAPS 235 CURRENCY SWAP FORMULAS 238 OTHER CURRENCY SWAPS 239 8.4 SWAPTIONS 240 8.5 TOTAL RETURN SWAPS 241 CHAPTER SUMMARY 244 FURTHER READING 244 PROBLEMS 245 PART THREE OPTIONS 247 CHAPTER 9 PARITY AND OTHER OPTION RELATIONSHIPS 249 9.1 PUT-CALL PARITY 250 OPTIONS ON STOCKS 251 OPTIONS ON CURRENCIES 254 OPTIONS ON BONDS 254 9.2 GENERALIZED PARITY AND EXCHANGE OPTIONS 255 OPTIONS TO EXCHANGE STOCK 256 WHAT ARE CALLS AND PUTS? 257 CURRENCY OPTIONS 258 9.3 COMPARING OPTIONS WITH RESPECT TO STYLE, MATURITY, AND STRIKE 260 EUROPEAN VERSUS AMERICAN OPTIONS 260 MAXIMUM AND MINIMUM OPTION PRICES 261 EARLY EXERCISE FOR AMERICAN OPTIONS 262 TIME TO EXPIRATION 264 DIFFERENT STRIKE PRICES 265 CHAPTER SUMMARY 270 FURTHER READING 271 PROBLEMS 272 CONTENTS II XV CHAPTER 10 BINOMIAL OPTION PRICING 277 10.1 A ONE-PERIOD BINOMIAL TREE 277 COMPUTING THE OPTION PRICE 278 THE BINOMIAL SOLUTION 280 ARBITRAGING A MISPRICED OPTION 282 A GRAPHICAL INTERPRETATION OF THE BINOMIAL FORMULA 283 PRICING WITH DIVIDENDS 283 RISK-NEUTRAL PRICING 285 CONSTRUCTING A BINOMIAL TREE 286 ANOTHER ONE-PERIOD EXAMPLE 287 SUMMARY 288 10.2 TWO OR MORE BINOMIAL PERIODS 288 A TWO-PERIOD EUROPEAN CALL 289 MANY BINOMIAL PERIODS 291 10.3 PUT OPTIONS 293 EUROPEAN.PUT 293 AMERICAN PUT 294 10.4 AMERICAN OPTIONS 294 10.5 OPTIONS ON OTHER ASSETS 295 OPTION ON A STOCK INDEX 295 OPTIONS ON CURRENCIES 297 OPTIONS ON FUTURES CONTRACTS 297 SUMMARY 299 CHAPTER SUMMARY 301 FURTHER READING 301 PROBLEMS 301 10.A LOGNORMALITY AND THE BINOMIAL MODEL 304 10.B ALTERNATIVE BINOMIAL PRICING MODELS 307 THE COX-ROSS-RUBINSTEIN BINOMIAL TREE 307 THE JARROW-RUDD TREE 308 CHAPTER 11 THE BLACK-SCHOLES FORMULA 309 11.1 INTRODUCTION TO THE BLACK-SCHOLES FORMULA 309 CALL OPTIONS 310 PUT OPTIONS 313 . WHAT ASSUMPTIONS UNDERLIE THE BLACK-SCHOLES FORMULA? 314 11.2 APPLYING THE FORMULA TO OTHER ASSETS 314 OPTIONS ON STOCKS WITH DISCRETE DIVIDENDS 315 OPTIONS ON CURRENCIES 316 OPTIONS ON FUTURES 316 XVI IH CONTENTS 11.3 OPTION GREEKS 317 DEFINITION OF THE GREEKS 317 GREEK MEASURES FOR PORTFOLIOS 324 OPTION ELASTICITY 325 11.4 DELTA-HEDGING 330 OPTION RISK IN THE ABSENCE OF HEDGING 330 AN EXAMPLE OF DELTA-HEDGING 331 INTERPRETING MARKET-MAKER PROFIT 333 11.5 VOLATILITY 335 HISTORICAL VOLATILITY 335 IMPLIED VOLATILITY 336 TRADING VOLATILITY 339 * CHAPTER SUMMARY 341 FURTHER READING 342 PROBLEMS 342 PART FOUR FINANCIAL ENGINEERING AND APPLICATIONS 347 S CHAPTER 12 FINANCIAL ENGINEERING AND SECURITY DESIGN 349 12.1 THE MODIGLIANI-MILLER THEOREM 349 12.2 STRUCTURED NOTES WITHOUT OPTIONS 350 ZERO-COUPON BONDS PAYING CASH 351 COUPON BONDS PAYING CASH 351 EQUITY-LINKED BONDS 352 COMMODITY-LINKED BONDS 355 CURRENCY-LINKED BONDS 357 12.3 STRUCTURED NOTES WITH OPTIONS 358 COUPON BONDS WITH OPTIONS 358 EQUITY-LINKED NOTES WITH OPTIONS 359 VALUING AND STRUCTURING AH EQUITY-LINKED CD 361 ALTERNATIVE STRUCTURES 363 APPLICATION: VARIABLE PREPAID FORWARDS 364 12;4 ENGINEERED SOLUTIONS FOR GOLDDIGGERS 366 GOLD-LINKED NOTES 366 NOTES WITH EMBEDDED OPTIONS 367 CONTENTS 111 XVII 12.5 CREDIT STRUCTURES 369 COLLATERALIZED DEBT OBLIGATIONS 370 CREDIT DEFAULT SWAPS 373 CDS INDEXES 376 CHAPTER SUMMARY 378 FURTHER READING 379 PROBLEMS 379, CHAPTER 13 CORPORATE APPLICATIONS 383 13.1 EQUITY, DEBT, AND WARRANTS 383 DEBT AND EQUITY AS OPTIONS 383 VALUING CREDIT GUARANTEES 386 LEVERAGE AND THE EXPECTED RETURN ON DEBT AND EQUITY 388 MULTIPLE DEBT ISSUES 392 WARRANTS 393 CONVERTIBLE BONDS 394 CALLABLE BONDS 397 BOND VALUATION BASED ON THE STOCK PRICE 401 PUT WARRANTS 402 13.2 COMPENSATION OPTIONS 403 WHOSE VALUATION? 406 VALUATION INPUTS 406 LEVEL 3 COMMUNICATIONS 409 13.3 THE USE OF COLLARS IN ACQUISITIONS 412 THE NORTHROP GRUMMAN-TRW MERGER 413 CHAPTER SUMMARY 417 FURTHER READING 417 PROBLEMS 418 CHAPTER 14 REAL OPTIONS 423 14.1 DCF AND OPTION VALUATION FOR A SINGLE CASH FLOW 424 PROJECT 1 424 . PROJECT 2 428 PROJECT 3 431 SUMMARY 432 14.2 MULTIPERIOD VALUATIONS 433 PROJECT 1 434 PROJECT 2 436 XVIII 1 CONTENTS PROJECT 3 437. SUMMARY 437 14.3 EXAMPLES OF REAL OPTIONS IN PRACTICE 438 COMMODITY EXTRACTION 438 PEAK-LOAD ELECTRICITY GENERATION 442 PHARMACEUTICAL RESEARCH AND DEVELOPMENT 446 CHAPTER SUMMARY 448 FURTHER READING 448 PROBLEMS 449 14.A THE RELATIONSHIP BETWEEN DCF AND RISK-NEUTRAL VALUATION 451 APPENDIX A THE GREEK ALPHABET 453 APPENDIX B CONTINUOUS COMPOUNDING 455 B.I THE LANGUAGE OF INTEREST RATES 455 B.2 THE LOGARITHMIC AND EXPONENTIAL FUNCTIONS 456 CHANGING INTEREST RATES 457 SYMMETRY FOR INCREASES AND DECREASES 458 PROBLEMS 459 GLOSSARY 461 REFERENCES 473 INDEX 481
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spellingShingle	McDonald, Robert L. 1954- Fundamentals of derivatives markets Derivative securities Derivaten (financiën) gtt Finanzinstrument (DE-588)4461672-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd
subject_GND	(DE-588)4461672-7 (DE-588)4381572-8 (DE-588)4123623-3
title	Fundamentals of derivatives markets
title_auth	Fundamentals of derivatives markets
title_exact_search	Fundamentals of derivatives markets
title_full	Fundamentals of derivatives markets Robert L. McDonald
title_fullStr	Fundamentals of derivatives markets Robert L. McDonald
title_full_unstemmed	Fundamentals of derivatives markets Robert L. McDonald
title_short	Fundamentals of derivatives markets
title_sort	fundamentals of derivatives markets
topic	Derivative securities Derivaten (financiën) gtt Finanzinstrument (DE-588)4461672-7 gnd Derivat Wertpapier (DE-588)4381572-8 gnd
topic_facet	Derivative securities Derivaten (financiën) Finanzinstrument Derivat Wertpapier Lehrbuch
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