Читать книгу Fundamentals of Financial Instruments - Sunil K. Parameswaran - Страница 2
Table of Contents
Оглавление1 Cover
5 Preface
6 Preface to the First Edition
9 CHAPTER 1: An Introduction to Financial Institutions, Instruments, and Markets THE ROLE OF AN ECONOMIC SYSTEM A COMMAND ECONOMY A MARKET ECONOMY CLASSIFICATION OF ECONOMIC UNITS AN ECONOMY'S RELATIONSHIP WITH THE EXTERNAL WORLD THE BALANCE OF TRADE THE CURRENT ACCOUNT BALANCE FINANCIAL ASSETS MONEY MONEY AS A UNIT OF ACCOUNT OR A STANDARD OF VALUE MONEY AS A MEDIUM OF EXCHANGE MONEY AS A STORE OF VALUE MONEY IS PERFECTLY LIQUID EQUITY SHARES DEBT SECURITIES PREFERRED SHARES FOREIGN EXCHANGE DERIVATIVES FORWARD AND FUTURES CONTRACTS OPTIONS CONTRACTS SWAPS MORTGAGES AND MORTGAGE-BACKED SECURITIES HYBRID SECURITIES PRIMARY MARKETS AND SECONDARY MARKETS EXCHANGES AND OVER-THE-COUNTER (OTC) MARKETS BROKERS AND DEALERS THE NEED FOR BROKERS AND DEALERS TRADING POSITIONS THE BUY-SIDE AND THE SELL-SIDE INVESTMENT BANKERS DIRECT AND INDIRECT MARKETS MUTUAL FUNDS MONEY AND CAPITAL MARKETS THE EUROCURRENCY MARKET THE INTERNATIONAL BOND MARKET GLOBALIZATION OF EQUITY MARKETS DUAL LISTING FUNGIBILITY ARBITRAGE ARBITRAGE WITH ADRs GDRs RISK AFTER THE TRADE – CLEARING AND SETTLEMENT DEMATERIALIZATION AND THE ROLE OF A DEPOSITORY CUSTODIAL SERVICES GLOBALIZATION – THE NEW MANTRA NOTES
10 CHAPTER 2: Mathematics of Finance INTEREST RATES THE REAL RATE OF INTEREST THE FISHER EQUATION SIMPLE INTEREST & COMPOUND INTEREST PROPERTIES A SYMBOLIC DERIVATION PRINCIPLE OF EQUIVALENCY CONTINUOUS COMPOUNDING FUTURE VALUE PRESENT VALUE HANDLING A SERIES OF CASH FLOWS THE INTERNAL RATE OF RETURN EVALUATING AN INVESTMENT ANNUITIES: AN INTRODUCTION ANNUITY DUE PERPETUITIES THE AMORTIZATION METHOD AMORTIZATION WITH A BALLOON PAYMENT THE EQUAL PRINCIPAL REPAYMENT APPROACH TYPES OF INTEREST COMPUTATION LOANS WITH A COMPENSATING BALANCE TIME VALUE OF MONEY–RELATED FUNCTIONS IN EXCEL COMPUTING THE PRESENT AND FUTURE VALUES OF ANNUITIES AND ANNUITIES DUE IN EXCEL AMORTIZATION SCHEDULES AND EXCEL NOTE
11 CHAPTER 3: Equity Shares, Preferred Shares, and Stock Market Indices INTRODUCTION PAR VALUE VERSUS BOOK VALUE ACCOUNTING FOR A STOCK ISSUE VOTING RIGHTS DIVIDENDS TREASURY STOCK ACCOUNTING FOR TREASURY STOCK SPLITS AND REVERSE SPLITS PREEMPTIVE RIGHTS INTERPRETING STATED RATIOS HANDLING FRACTIONS PHYSICAL CERTIFICATES VERSUS BOOK ENTRY TRACKING STOCK REPORT CARDS TYPES OF STOCKS RISK AND RETURN AND THE CONCEPT OF DIVERSIFICATION PREFERRED SHARES DIVIDEND DISCOUNT MODELS A GENERAL VALUATION MODEL THE CONSTANT GROWTH MODEL THE TWO-STAGE MODEL THE THREE-STAGE MODEL THE H MODEL STOCK MARKET INDICES PRICE-WEIGHTED INDICES THE IMPORTANCE OF PRICE VALUE-WEIGHTED INDICES CHANGING THE BASE PERIOD CAPITALIZATION EQUALLY WEIGHTED INDICES TRACKING PORTFOLIOS HANDLING A RIGHTS ISSUE THE FREE-FLOATING METHODOLOGY WELL-KNOWN GLOBAL INDICES MARGIN TRADING AND SHORT-SELLING TERMINOLOGY CASE A: THE MARKET RISES CASE B: THE MARKET DECLINES CASE A: THE MARKET RISES CASE B: THE MARKET DECLINES INTEREST AND COMMISSIONS CASE A: THE MARKET RISES CASE B: THE MARKET DECLINES MAINTENANCE MARGIN SHORT-SELLING MAINTENANCE OF A SHORT POSITION SHORTING AGAINST THE BOX THE RISK FACTOR THE ECONOMIC ROLE OF SHORT SALES THE UPTICK RULE NOTES
12 CHAPTER 4: Bonds INTRODUCTION TERMS USED IN THE BOND MARKET VALUATION OF A BOND PAR, PREMIUM, AND DISCOUNT BONDS EVOLUTION OF THE PRICE ZERO-COUPON BONDS VALUING A BOND IN BETWEEN COUPON DATES DAY-COUNT CONVENTIONS ACTUAL-ACTUAL THE TREASURY'S APPROACH CORPORATE BONDS ACCRUED INTEREST NEGATIVE ACCRUED INTEREST YIELDS THE CURRENT YIELD SIMPLE YIELD TO MATURITY YIELD TO MATURITY APPROXIMATE YIELD TO MATURITY ZERO-COUPON BONDS AND THE YTM ANALYZING THE YTM THE REALIZED COMPOUND YIELD REINVESTMENT AND ZERO-COUPON BONDS THE HOLDING PERIOD YIELD TAXABLE EQUIVALENT YIELD CREDIT RISK BOND INSURANCE EQUIVALENCE WITH ZERO-COUPON BONDS SPOT RATES THE COUPON EFFECT BOOTSTRAPPING FORWARD RATES THE YIELD CURVE AND THE TERM STRUCTURE SHAPES OF THE TERM STRUCTURE THEORIES OF THE TERM STRUCTURE THE LIQUIDITY PREMIUM HYPOTHESIS THE MONEY SUBSTITUTE HYPOTHESIS THE MARKET SEGMENTATION HYPOTHESIS THE PREFERRED HABITAT THEORY THE SHORT RATE FLOATING RATE BONDS SIMPLE MARGIN BONDS WITH EMBEDDED OPTIONS CALLABLE BONDS YIELD TO CALL PUTABLE BONDS CONVERTIBLE BONDS USING SHORT RATES TO VALUE BONDS PRICE VOLATILITY A CONCISE FORMULA DURATION AND PRICE VOLATILITY PROPERTIES OF DURATION DOLLAR DURATION CONVEXITY A CONCISE FORMULA DOLLAR CONVEXITY PROPERTIES OF CONVEXITY IMMUNIZATION TREASURY AUCTIONS WHEN ISSUED TRADING PRICE QUOTES STRIPS INFLATION INDEXED BONDS COMPUTING PRICE GIVEN YIELD AND VICE VERSA IN EXCEL COMPUTING DURATION IN EXCEL NOTES
13 CHAPTER 5: Money Markets INTRODUCTION MARKET SUPERVISION THE FEDERAL RESERVE SYSTEM KEY DATES IN THE CASE OF CASH MARKET INSTRUMENTS THE MODIFIED FOLLOWING BUSINESS DAY CONVENTION THE END/END RULE THE INTERBANK MARKET TYPES OF LOANS LIBOR LIBID SONIA TRANSITIONING FROM LIBOR INTEREST COMPUTATION METHODS TERM MONEY MARKET DEPOSITS MONEY MARKET FORWARD RATES FEDERAL FUNDS FEDERAL FUNDS VERSUS CLEARINGHOUSE FUNDS CORRESPONDENT BANKS: NOSTRO AND VOSTRO ACCOUNTS TREASURY BILLS REOPENINGS YIELDS ON DISCOUNT SECURITIES NOTATION DISCOUNT RATES AND T-BILL PRICES THE BOND EQUIVALENT YIELD (BEY) CASE A: TM < 182 DAYS THE MONEY MARKET YIELD CASE B: TM > 182 DAYS HOLDING PERIOD RETURN VALUE OF AN 01 CONCEPT OF CARRY CONCEPT OF A TAIL T-BILL RELATED FUNCTIONS IN EXCEL TBILLPRICE TBILLYIELD TBILLEQ DISC TREASURY AUCTIONS TYPES OF AUCTIONS RESULTS OF AN AUCTION PRIMARY DEALERS AND OPEN MARKET OPERATIONS REPURCHASE AGREEMENTS REVERSE REPOS GENERAL COLLATERAL VERSUS SPECIAL REPOS MARGINS SALE AND BUYBACK COLLATERAL REPOS AND OPEN MARKET OPERATIONS NEGOTIABLE CDs NOTATION COST OF A CD FOR THE ISSUING BANK TERM CDs CDs VERSUS MONEY MARKET TIME DEPOSITS COMMERCIAL PAPER LETTERS OF CREDIT AND BANK GUARANTEES YANKEE PAPER CREDIT RATING MOODY'S RATING SCALE S&P'S RATING SCALE FITCH'S RATING SCALE BILLS OF EXCHANGE DOCUMENTS AGAINST PAYMENT (DAP) VERSUS DOCUMENTS AGAINST ACCEPTANCE (DAA) TRANSACTIONS ELIGIBLE AND NONELIGIBLE BANK BILLS BUYING AND SELLING BILLS BANKERS' ACCEPTANCE ACCEPTANCE CREDITS EUROCURRENCY DEPOSITS APPENDIX NOTES
14 CHAPTER 6: Forward and Futures Contracts INTRODUCTION MARKING TO MARKET FOR A TRADER IN PRACTICE DELIVERY OPTIONS PROFIT DIAGRAMS VALUE AT RISK THE EXPECTED SHORTFALL SPOT-FUTURES EQUIVALENCE PRODUCTS AND EXCHANGES CASH-AND-CARRY ARBITRAGE REVERSE CASH-AND-CARRY ARBITRAGE REPO AND REVERSE REPO RATES SYNTHETIC SECURITIES VALUATION THE CASE OF ASSETS MAKING PAYOUTS PHYSICAL ASSETS NET CARRY BACKWARDATION AND CONTANGO THE CASE OF MULTIPLE DELIVERABLE GRADES RISK ARBITRAGE THE CASE OF MULTIPLICATIVE ADJUSTMENT THE CASE OF ADDITIVE ADJUSTMENT TRADING VOLUME AND OPEN INTEREST DELIVERY CASH SETTLEMENT HEDGING AND SPECULATION ROLLING A HEDGE TAILING A HEDGE THE MINIMUM VARIANCE HEDGE RATIO ESTIMATION OF THE HEDGE RATIO AND THE HEDGING EFFECTIVENESS CROSS-HEDGING SPECULATION LEVERAGE CONTRACT VALUE FORWARD VERSUS FUTURES PRICES HEDGING THE RATE OF RETURN ON A STOCK PORTFOLIO CHANGING THE BETA PROGRAM TRADING STOCK PICKING PORTFOLIO INSURANCE IMPORTANCE OF FUTURES NOTES
15 CHAPTER 7: Options Contracts INTRODUCTION NOTATION EXERCISING OPTIONS MONEYNESS EXCHANGE-TRADED OPTIONS OPTION CLASS AND OPTION SERIES FLEX OPTIONS CONTRACT ASSIGNMENT ADJUSTING FOR CORPORATE ACTIONS NONNEGATIVE OPTION PREMIA INTRINSIC VALUE AND TIME VALUE TIME VALUE OF AMERICAN OPTIONS TIME VALUE AT EXPIRATION PUT-CALL PARITY IMPLICATIONS FOR THE TIME VALUE PUT-CALL PARITY WITH DIVIDENDS IMPLICATIONS FOR THE TIME VALUE A VERY IMPORTANT PROPERTY FOR AMERICAN CALLS EARLY EXERCISE OF OPTIONS: AN ANALYSIS PROFIT PROFILES SPECULATION WITH OPTIONS HEDGING WITH OPTIONS VALUATION THE BINOMIAL OPTION PRICING MODEL THE TWO-PERIOD MODEL VALUATION OF EUROPEAN PUT OPTIONS VALUING AMERICAN OPTIONS IMPLEMENTING THE BINOMIAL MODEL IN PRACTICE THE BLACK-SCHOLES MODEL PUT-CALL PARITY INTERPRETATION OF THE BLACK-SCHOLES FORMULA THE GREEKS OPTION STRATEGIES FUTURES OPTIONS PUT-CALL PARITY THE BLACK MODEL NOTES
16 CHAPTER 8: Foreign Exchange INTRODUCTION CURRENCY CODES BASE AND VARIABLE CURRENCIES DIRECT AND INDIRECT QUOTES EUROPEAN TERMS AND AMERICAN TERMS BID AND ASK QUOTES APPRECIATING AND DEPRECIATING CURRENCIES CONVERTING DIRECT QUOTES TO INDIRECT QUOTES POINTS RATES OF RETURN THE IMPACT OF SPREADS ON RETURNS ARBITRAGE IN SPOT MARKETS ONE-POINT ARBITRAGE TWO-POINT ARBITRAGE TRIANGULAR ARBITRAGE CROSS RATES MARKET RATES AND EXCHANGE MARGINS VALUE DATES THE FORWARD MARKET OUTRIGHT FORWARD RATES SWAP POINTS BROKEN-DATED CONTRACTS COVERED INTEREST ARBITRAGE A PERFECT MARKET FOREIGN EXCHANGE SWAPS THE COST THE MOTIVE INTERPRETATION OF THE SWAP POINTS A CLARIFICATION SHORT-DATE CONTRACTS OPTION FORWARDS NONDELIVERABLE FORWARDS RANGE FORWARDS FUTURES MARKETS HEDGING USING CURRENCY FUTURES A SELLING HEDGE A BUYING HEDGE EXCHANGE-TRADED FOREIGN CURRENCY OPTIONS SPECULATING WITH FOREX OPTIONS EXCHANGE RATES AND COMPETITIVENESS NOTES
17 CHAPTER 9: Mortgages and Mortgage-backed Securities INTRODUCTION MARKET PARTICIPANTS MORTGAGE ORIGINATION RISKS IN MORTGAGE LENDING OTHER MORTGAGE STRUCTURES PSA PREPAYMENT BENCHMARK ANALYSIS EXTENSION RISK AND CONTRACTION RISK ACCRUAL BONDS FLOATING RATE TRANCHES NOTIONAL INTEREST-ONLY TRANCHE INTEREST-ONLY AND PRINCIPAL-ONLY STRIPS PAC BONDS NOTES
18 CHAPTER 10: Swaps INTRODUCTION MARKET TERMINOLOGY KEY DATES INHERENT RISK THE SWAP RATE ILLUSTRATIVE SWAP RATES DETERMINING THE SWAP RATE THE MARKET METHOD VALUATION OF A SWAP DURING ITS LIFE TERMINATING A SWAP THE ROLE OF BANKS IN THE SWAP MARKET MOTIVATION FOR THE SWAP COMPARATIVE ADVANTAGE AND CREDIT ARBITRAGE SWAP QUOTATIONS MATCHED PAYMENTS AMORTIZING SWAPS EXTENDABLE AND CANCELABLE SWAPS SWAPTIONS CURRENCY SWAPS CROSS-CURRENCY SWAPS VALUATION CURRENCY RISKS HEDGING WITH CURRENCY SWAPS NOTES
19 CHAPTER 11: Mutual Funds, ETFs, and Pension Funds INTRODUCTION PROS AND CONS OF INVESTING IN A FUND SHARES AND UNITS OPEN-END VERSUS CLOSED-END FUNDS PREMIUM/DISCOUNT OF A CLOSED-END FUND UNIT TRUSTS CALCULATING THE NAV COSTS SALES CHARGES PRICE QUOTES ANNUAL OPERATING EXPENSES SWITCHING FEES DIVIDEND OPTIONS TYPES OF MUTUAL FUNDS MONEY MARKET FUNDS GILT FUNDS DEBT FUNDS DIVERSIFIED DEBT FUNDS FOCUSED DEBT FUNDS HIGH YIELD DEBT FUNDS DEBT FUNDS AND BOND DURATION EQUITY FUNDS AGGRESSIVE GROWTH FUNDS GROWTH FUNDS SPECIALTY FUNDS SECTOR FUNDS OFFSHORE FUNDS SMALL CAP EQUITY FUNDS OPTION INCOME FUNDS FUND OF FUNDS EQUITY INDEX FUNDS VALUE FUNDS EQUITY INCOME FUNDS BALANCED FUNDS ASSET-ALLOCATION FUNDS COMMODITY FUNDS REAL ESTATE FUNDS TAX-EXEMPT FUNDS RISK CATEGORIES THE PROSPECTUS STRUCTURE OF A MUTUAL FUND SERVICES INVESTMENT TECHNIQUES THE TOTAL RETURN COMPUTATION OF RETURNS TAXATION ISSUES ALTERNATIVES TO MUTUAL FUNDS TYPES OF PLANS IRAs CASH BALANCE PLANS NOTE
20 CHAPTER 12: Orders and Exchanges IMPORTANT ACRONYMS MARKET ORDERS AND LIMIT ORDERS THE LIMIT PRICE THE LIMIT ORDER BOOKS ILLUSTRATION OF A LIMIT ORDER BOOK LIMIT ORDERS VERSUS MARKET ORDERS MARKETABLE LIMIT ORDERS TRADE PRICING RULES STOP-LOSS AND STOP-LIMIT ORDERS TRAILING STOP-LOSS ORDERS MARKET TO LIMIT ORDERS EQUIVALENCE WITH OPTIONS VALIDITY CONDITIONS GOOD TILL CANCELED (GTC) ORDERS GOOD TILL DAYS ORDERS ORDERS WITH QUANTITY RESTRICTIONS A POINT ON ORDER SPECIFICATION OPEN-OUTCRY TRADING SYSTEMS ELECTRONIC MARKETS VERSUS OPEN-OUTCRY MARKETS CALL MARKETS NOTES
21 CHAPTER 13: The Macroeconomics of Financial Markets ECONOMIC GROWTH GROSS DOMESTIC PRODUCT GDP VERSUS GNP INFLATION ADJUSTMENT TRANSNATIONAL COMPARISONS THE BIG MAC INDEX INFLATION TYPES OF INFLATION INTEREST RATES THE FEDERAL BUDGET DEFICIT MEASURES OF BUDGET DEFICITS THE PRIMARY DEFICIT FISCAL POLICY BUDGET DEFICITS AND THE CAPITAL MARKET THE ROLE OF THE CENTRAL BANK BUDGET DEFICITS AND MONETARY POLICY CROSS-BORDER BORROWING CENTRAL BANKS AND FOREIGN EXCHANGE MARKETS STERILIZED AND UNSTERILIZED INTERVENTIONS EXCHANGE RATES ISSUES WITH A RESERVE CURRENCY CROSS-BORDER IMPLICATIONS OF CENTRAL BANK ACTIONS QUANTITATIVE EASING QUANTITATIVE EASING VERSUS OPEN-MARKET OPERATIONS
22 CHAPTER 14: Interest Rate Derivatives FORWARD RATE AGREEMENTS (FRAs) SETTLING AN FRA DETERMINING BOUNDS FOR THE FRA RATE EURODOLLAR FUTURES CALCULATING PROFITS AND LOSSES ON ED FUTURES LOCKING IN A BORROWING RATE LOCKING IN A LENDING RATE THE NO-ARBITRAGE PRICING EQUATION CREATING A FIXED-RATE LOAN 30-YEAR T-BOND FUTURES CONTRACTS CONVERSION FACTORS INTEREST RATE OPTIONS STATE PRICES CALLABLE AND PUTABLE BONDS CAPS, FLOORS, AND COLLARS CAPTIONS AND FLOORTIONS NOTES
23 Sources and References CHAPTER 1 CHAPTER 2 CHAPTER 3 CHAPTER 4 CHAPTER 5 CHAPTER 6 CHAPTER 7 CHAPTER 8 CHAPTER 9 CHAPTER 10 CHAPTER 11 CHAPTER 12 CHAPTER 14
24 Index
