Derivatives: An Authoritative Guide to Derivatives for Financial Intermediaries and Investors

ISBN-13: 9783486586329 / Angielski / Twarda / 2008 / 302 str.

Michael Bloss; Dietmar Ernst; Joachim Häcker

Opis

Options and futures are among the most important tools in todays financial world. While the book focuses on the contracts traded on derivatives exchange, options and futures, we will also scrutinize the OTC-markets and exotic deals. Due to its didactic overall set-up, this book serves as both, a manual for practitioners and a classical textbook for students.

Sehr gut einsetzbar in englischsprachigen Bachelor-Veranstaltungen. Prof. Dr. Bernd Müller, Hochschule Niederrhein

Recenzje

Sehr gut einsetzbar in englischsprachigen Bachelor-Veranstaltungen. Prof. Dr. Bernd Müller, Hochschule Niederrhein

Spis treści

1;Preface;6
2;Authors;8
3;Introductory Note;10
4;List of Abbreviations;12
5;Contents;14
6;1 How derivative exchanges and markets are structured;22
6.1;1.1 A history of derivative exchanges;22
6.2;1.2 What are derivatives?;23
6.3;1.3 Standardized derivatives trading Why is it common?;25
6.4;1.4 What functions do derivative exchanges fulfill?;27
6.5;1.5 Who are the market participants at derivative exchanges?;28
6.6;1.6 How are derivative exchanges organized?;29
6.7;1.7 Understanding derivative exchanges and markets what do we need to know?;30
6.8;1.8 Bursa Mater et Magistra : How can reasonable trading behaviour at derivatives exchange be described?;33
7;2 Set-up and structure of derivatives exchanges the Eurex case study;36
7.1;2.1 How do electronic exchanges work?;36
7.2;2.2 What is the market-maker principle?;37
7.3;2.3 How is trading carried out at Eurex?;38
7.4;2.4 What products can be traded at Eurex?;40
7.5;2.5 What does the term clearing mean?;41
7.6;2.6 What categories of order specifications exist?;42
7.7;2.7 What expiration dates are used by Eurex?;45
8;3 Options Conditional derivatives;46
8.1;3.1 What are options and how do call options and put options differ?;46
8.2;3.2 What types of options do exist?;48
8.3;3.3 Options trading;49
8.4;3.4 What are weekly options?;51
8.5;3.5 What are Low-Exercise-Price Options?;51
8.6;3.6 Closing out a derivative position;52
8.7;3.7 Roll-over;53
9;4 The pricing of options;54
9.1;4.1 How are option prices determined in theory?;54
9.2;4.2 What value drivers influence option prices?;57
9.3;4.3 What do the so-called Greeks mean?;61
9.4;4.4 What is the put-call parity all about?;65
9.5;4.5 How are option prices determined under the Black-Scholes model?;66
9.6;4.6 How are option prices determined under the Binominal model?;67
9.7;4.7 Tradable option prices;70
10;5 Strategies involving options;72
10.1;5.1 What are the four basic options trading strategies all about?;72
10.2;5.2 How to hedge with options;80
10.3;5.3 What option combinations are common?;81
10.4;5.4 How to set up a strategy for options trading;89
10.5;5.5 What is the significance of market opinion?;90
11;6 Futures unconditional derivative instruments;92
11.1;6.1 What are futures?;92
11.2;6.2 Futures markets;93
11.3;6.3 Futures trading;94
11.4;6.4 Index-based futures;95
11.5;6.5 Interest-rate futures;97
11.6;6.6 Foreign-currency futures;99
11.7;6.7 Commodity futures;100
11.8;6.8 Single-Stock futures;101
11.9;6.9 The market for futures trading;101
12;7 Pricing of futures;104
12.1;7.1 Future pricing how is it done?;104
12.2;7.2 Pricing of interest rate futures;105
12.3;7.3 What is a CTD bond?;107
12.4;7.4 What does final settlement mean?;108
12.5;7.5 What are common maturity dates for futures?;108
13;8 Strategies involving futures;110
14;9 Options on futures, synthetic structures and combinations;122
14.1;9.1 What are options on futures?;122
14.2;9.2 How are options on futures set up and structured?;123
14.3;9.3 What is the future-style method?;123
14.4;9.4 What strategies do investors pursue with options on futures?;124
14.5;9.5 What is a synthetic derivatives market position?;126
14.6;9.6 What combination and linkage deals are used in business practice?;127
14.7;9.7 What are possible motives for combination or linkage deals?;128
15;10 Foreign currency derivatives;130
15.1;10.1 A history of foreign currency trading;130
15.2;10.2 Some basic information on foreign exchange trading;130
15.3;10.3 What are foreign currency derivatives?;135
15.4;10.4 What are currency options?;138
15.5;10.5 What are currency futures?;139
16;11 Commodity futures trading;142
16.1;11.1 Commodity futures vs. spot transactions;142
16.2;11.2 Which commodities are eligible for futures trading?;146
16.3;11.3 Executing commodity futures contracts;147
16.4;11.4 Future developments and outlook;148
17;12 Pricing and influencing factors in commodity futures trading;150
17.1;12.1 How

O autorze

Michael Bloss, CFE ist Direktor der Commerzbank AG und des Europäischen Instituts für Financial Engineering und Derivateforschung (EIFD). Er lehrt an der European School of Finance (ESF) der HfWU sowie als Visiting Professor an der University of Vancouver Island, Canada. Als Kommentator des Geschehens an den internationalen Finanzmärkten ist er u. a. regelmäßig auf N24 und dem Deutschen Anlegerfernsehen (DAF) zu sehen. Als Buchautor beschäftigt er sich mit Themen des Financial Engineering: Der Bewertung und Konstruktion von Finanzinstrumenten, deren Einsatz und Umsetzung. Dietmar Ernst ist Professor für Corporate Finance an der European School of Finance der Hochschule für Wirtschaft und Umwelt (HfWU) in Nürtingen. Zuvor war er bei einer Private Equity Gesellschaft und über mehrere Jahre im Bereich Mergers & Acquisitions tätig. Dietmar Ernst hat an der Universität Tübingen Internationale Volkswirtschaftslehre studiert und sowohl in Wirtschaftswissenschaften als auch Naturwissenschaften promoviert. Er ist Autor zahlreicher Standardwerke.
Dietmar Ernst is Professor for International Finance at European School of Finance at Nürtingen University and Dean of the Master Programme in International Finance. Furthermore, he is Director of the European Institute for Financial Engineering and Derivatives (EIFD). His areas of expertise include Investment Banking and Derivatives. He is author of several books and numerous publications. Joachim Häcker ist Professor an der Hochschule München und der University of Louisville. Ferner ist er Lehrbeauftragter an der St. Galler Business School sowie Beirat von SHL Telemedicine. Sein Fachgebiet ist Internationale Finanzwirtschaft insbesondere Corporate Finance. In diesem Zusammenhang ist Herr Häcker Direktor des Deutschen Instituts für Corporate Finance. Herr Häcker ist seit 12 Jahren als Berater im Corporate Finance Bereich tätig und war bis Ende 2003 Vice President bei Rothschild in Frankfurt und London. Herr Häcker hat an der Universität Tübingen und der Kenan Flagler Business School (USA) BWL und Jura studiert und in beiden Fächern promoviert.
Joachim Häcker is Professor for Corporate Finance at Munich University (Germany) and at the University of Louisville (USA). Furthermore, he is Director of theGerman Institute of Corporate Finance (DICF). As Vice President at Rothschild in London and Frankfurt he carried out numerous transactions. His areas of expertise include all major fields of investment banking.