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Financial Derivatives: A Case Study Based Learning

	Financial Derivatives: A Case Study Based Learning by Manu Sharma
	Price : Rs 349.00
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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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Financial Derivatives: A Case Study Based Learning

by Manu Sharma