What is included with this book?
Dimitris N. Chorafas has worked internationally as an advisor to financial institutions and industrial corporations since 1961.
Preface | p. xi |
Innovation in Finance Through Derivative Instruments | |
Financial Innovation | p. 3 |
Service Science | p. 3 |
Motivation for Financial Innovation | p. 5 |
The Technology Side of Service Science | p. 8 |
Entrepreneurship | p. 12 |
Paper Ships: A Case Study | p. 16 |
Forward Freight Agreements and the Macromarkets | p. 19 |
Risk Management | p. 22 |
Derivatives | p. 29 |
Derivatives Definition by the FASB | p. 29 |
Derivatives Definition by the IASB | p. 33 |
Notional Principal Amount and Underlying | p. 35 |
Options, Futures, Forwards, and Swaps in a Nutshell | p. 39 |
Exotic Derivatives | p. 43 |
Synthetic Financial Instruments | p. 45 |
Structured Financial Instruments | p. 49 |
Strategic Use of Derivatives | p. 53 |
Capitalizing on Creativity | p. 53 |
The Customization of Financial Products | p. 56 |
Over-the-Counter Derivatives Transactions | p. 59 |
Risk Appetite and Risk Aversion | p. 63 |
Learning a Lesson from George Soros | p. 67 |
Learning a Lesson from Henry Kaufman | p. 69 |
High Technology for Processes and Products | p. 72 |
Hedging | p. 75 |
The Search for Effective Hedges | p. 75 |
Hedging Practices | p. 78 |
Types of Hedging Instruments | p. 82 |
Right and Wrong Hedges | p. 84 |
Management Intent | p. 88 |
Hedge Accounting | p. 91 |
Beware of Assumed Exposure and Illiquidity | |
Liquidity, Solvency, and Derivatives Exposure | p. 97 |
Liquidity and Solvency | p. 97 |
A Quadrillion in Derivatives Exposure | p. 100 |
Unexpected Consequences | p. 104 |
The Criticality of Market Positions | p. 108 |
Free Fall of the Bond Market in 1994: A Case Study | p. 111 |
Bubbles and Ponzi Games | p. 113 |
Impact of Megamergers on Exposure | p. 116 |
The Daunting Task of Capital Adequacy | p. 121 |
Capital Adequacy Dynamics | p. 121 |
Management Accounting for Recognized but Not Realized Gains and Losses | p. 124 |
Capital at Risk and Level of Confidence | p. 128 |
Quantitative Impact Studies, and Second Thoughts about Capital Adequacy | p. 133 |
Basel II's Unexpected Headwinds | p. 136 |
The Effect of Leveraging on Capital Adequacy | p. 141 |
The Origin of Legislation for Marking-to-Market | p. 144 |
Options | |
The Use of Options | p. 149 |
The Strategic Use of Options | p. 149 |
Intrinsic Value and Time Value | p. 152 |
Styles of Options: American, European, Asian, and Others | p. 155 |
Complex Options | p. 158 |
Straddles, Strangles, and Butterflies | p. 162 |
Interest Rate, Yield-Based, and Foreign Currency Options | p. 165 |
Option Spreading; Long Calls, Short Calls | p. 169 |
Option Hedges | p. 172 |
Risks Associated with Options | p. 175 |
The Pricing of Options | p. 179 |
Pricing Derivatives: A General Perspective | p. 179 |
Object of Prediction and Effect of Volatility | p. 182 |
Options Premiums and Options Pricing | p. 186 |
Binomial and Lognormal Models | p. 189 |
The Black-Scholes Model | p. 194 |
Advantages and Shortcomings of the Black-Scholes Model | p. 197 |
Testing the Black-Scholes Model | p. 200 |
Option Traders, Buyers, and Writers | p. 203 |
Trading Derivative Instruments | p. 203 |
Options Trading | p. 206 |
Flexibly Structured Options | p. 209 |
Buyers' Strategies | p. 211 |
Writing Options | p. 214 |
Trading in Synthetic Options | p. 217 |
Spreads Trading | p. 219 |
Exercise, Settlement, and Technical Support | p. 222 |
Risk Control for Options | |
The Greeks: Delta, Gamma, Theta, Kappa, Rho | p. 227 |
The Challenge of Measuring Risk and Return | p. 227 |
The Greeks in a Nutshell | p. 230 |
Delta Hedging | p. 233 |
Gamma Hedging | p. 237 |
Theta, Kappa, Rho | p. 239 |
Credit Risk and Market Risk with Options | p. 243 |
Selling Market Risk and Buying Credit Risk | p. 243 |
Market Risk Control in a Nutshell | p. 246 |
GM's Put Options for Fiat Auto: A Case Study | p. 250 |
Credit Risk Control in a Nutshell | p. 251 |
Credit Improvement and Credit Deterioration | p. 254 |
The Mispricing of Credit Risk | p. 257 |
Credit-Risk-Free Debt Options | p. 261 |
Credit Spreads and Credit Options | p. 264 |
Futures, Forwards, and Swaps | |
Futures and Forwards | p. 271 |
Futures, Forwards, and the Investor | p. 271 |
Futures and Margin Requirements | p. 274 |
Futures Trading: A Case Study with Oil | p. 276 |
Price Discovery through Futures | p. 279 |
Forward Contracts | p. 282 |
Forward Positions: An Example with FRAs | p. 285 |
Synthetic Futures | p. 289 |
Warrants | p. 290 |
Swaps | p. 295 |
Swaps Defined | p. 295 |
Players, Milestones, and Flavors of Standard Swaps | p. 298 |
Interest Rate Swaps | p. 301 |
Swap Spreads | p. 303 |
Swaptions | p. 305 |
Asset Swaps and Equity Swaps | p. 308 |
Total Return Swaps | p. 311 |
Credit Default Swaps | p. 313 |
Differential Swaps | p. 316 |
Risks Assumed with Swaps | p. 318 |
Interest Rate Risk Management through Derivatives | p. 321 |
Being Ahead of the Interest Rate Curve | p. 321 |
The Term Structure of Interest Rates | p. 325 |
The Contribution of Interest Rate Derivatives | p. 329 |
Accounting for Interest Rate Derivatives | p. 332 |
Internal Interest Rate Swaps | p. 334 |
The Synergy between Interest Rates and Currency Rates | p. 338 |
Interest Rate Risk and Its Measurement | p. 342 |
Interest Rate Spreads Associated with Credit Risk | p. 345 |
Index | p. 349 |
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