Additional Information
Book Details
Abstract
Global Derivatives provides comprehensive coverage of different types of derivatives, including exchange traded contracts and over-the-counter instruments as well as real options. There is an equal emphasis on the practical application of derivatives and their actual uses in business transactions and corporate risk management situations.
Various uses of financial derivatives are outlined from relatively simple transactional hedging problems to more complex strategic risk management situations and applications of options perspectives in corporate risk management scenarios.
This book is ideal for MBA and undergraduate students with a finance or management focus.
Review Quotes
“An interesting and useful approach to the study of derivatives.” George Christodoulakis, City University, UK
“In Global Derivatives: A Strategic Risk Management Perspective Torben Juul Andersen has succeeded to gather in one book a complete and thorough summary and an easy-to-read explanation of all types of derivative instruments and their background and their use in modern management of risk.” Steen Parsholt, Chairman and CEO, Aon Nordic Region
Table of Contents
| Section Title | Page | Action | Price |
|---|---|---|---|
| Cover | Cover | ||
| Global Derivatives | i | ||
| Contents | v | ||
| List of figures | x | ||
| List of tables | xvi | ||
| Preface | xvii | ||
| About the author | xxiii | ||
| Publisher’s acknowledgments | xxiv | ||
| Part I Global markets and strategic risk exposures | 1 | ||
| International flow of funds, interest rate structure, and default spreads | 3 | ||
| Objectives | 3 | ||
| The globalization of markets | 3 | ||
| International trade and balance of payment | 4 | ||
| Capital flows in the global economic system | 8 | ||
| The international financial system | 9 | ||
| Global credit intermediation | 11 | ||
| Credit intermediation, interest rates and the role of financial institutions | 14 | ||
| Term structure of interest rates (yields, zero-coupon, and forward rates) | 18 | ||
| Liquidity | 27 | ||
| Credit risk and required return | 28 | ||
| The foreign exchange market | 33 | ||
| Foreign exchange rates | 34 | ||
| Purchasing power parity | 35 | ||
| Interest rate parity | 36 | ||
| Conclusion | 39 | ||
| Summary | 39 | ||
| Questions | 40 | ||
| Exercises | 40 | ||
| Interest rate, foreign exchange, and other commercial risk exposures | 44 | ||
| Objectives | 44 | ||
| Valuing financial assets and commercial cash flow streams | 45 | ||
| Financial and commercial cash flow exposures | 55 | ||
| Measuring interest rate gaps | 58 | ||
| Interest rate sensitivity and the concept of duration | 61 | ||
| Duration and interest rate risk | 64 | ||
| Measuring foreign exchange rate gaps | 66 | ||
| Portfolio optimization | 68 | ||
| An integrative risk management perspective | 72 | ||
| Modern risk management perspectives | 78 | ||
| Conclusion | 81 | ||
| Summary | 81 | ||
| Questions | 82 | ||
| Exercises | 82 | ||
| International financial markets and competitive developments | 86 | ||
| Objectives | 86 | ||
| Credit intermediation and risk-transfer | 86 | ||
| Financial innovation and the effects of risk-transfer | 95 | ||
| Risk-transfer and financing mechanisms | 101 | ||
| Insurance and reinsurance | 105 | ||
| Financial derivatives markets | 111 | ||
| Regulatory and accounting issues | 118 | ||
| Conclusion | 120 | ||
| Summary | 120 | ||
| Questions | 121 | ||
| Exercises | 122 | ||
| Part II Exchange traded and OTC derivatives | 125 | ||
| Financial futures contracts and options on futures | 127 | ||
| Objectives | 127 | ||
| The futures contract | 127 | ||
| Opening and closing transactions | 128 | ||
| Role of the exchange | 129 | ||
| Role of the clearinghouse | 129 | ||
| Market participants | 135 | ||
| Types of futures contracts | 137 | ||
| Commodity futures | 138 | ||
| Energy futures | 139 | ||
| Financial futures | 140 | ||
| Currency futures | 141 | ||
| Interest rate and bond futures | 144 | ||
| Stock index futures | 149 | ||
| Insurance futures | 150 | ||
| Option contracts and options on futures | 151 | ||
| Stock options | 152 | ||
| Options on futures contracts | 161 | ||
| Options on interest rate and bond futures | 162 | ||
| Options on stock index futures | 163 | ||
| Conclusion | 165 | ||
| Summary | 165 | ||
| Questions | 166 | ||
| Exercises | 166 | ||
| Forward agreements and option contracts | 169 | ||
| Objectives | 169 | ||
| Forward agreements | 169 | ||
| Currency options | 176 | ||
| Option pricing | 180 | ||
| Profitability patterns | 193 | ||
| Option price sensitivity | 197 | ||
| Special option structures | 202 | ||
| Product developments | 202 | ||
| Double option products | 203 | ||
| Interest rate option agreements | 206 | ||
| Conclusion | 211 | ||
| Summary | 211 | ||
| Questions | 212 | ||
| Exercises | 212 | ||
| Swap agreements and other derivatives | 214 | ||
| Objectives | 214 | ||
| Interest rate swap agreements | 215 | ||
| Currency swap agreements | 220 | ||
| Interest rate swap quotes | 226 | ||
| Currency and interest rate swap structures | 229 | ||
| Credit derivatives | 236 | ||
| Risk swaps | 240 | ||
| Conclusion | 244 | ||
| Summary | 244 | ||
| Questions | 245 | ||
| Exercises | 246 | ||
| Part III Hedging with financial derivatives | 249 | ||
| Hedging with financial futures contracts and options on futures | 251 | ||
| Objectives | 251 | ||
| Hedging with financial futures | 251 | ||
| Price relationships | 264 | ||
| Currency hedging | 268 | ||
| Hedging interest rate gaps | 274 | ||
| Hedging currency gaps | 277 | ||
| Managing interest rate risk | 281 | ||
| Conclusion | 284 | ||
| Summary | 284 | ||
| Questions | 285 | ||
| Exercises | 286 | ||
| Hedging with forward agreements and options | 288 | ||
| Objectives | 288 | ||
| Hedging interest rate risk | 288 | ||
| Hedging currency risk | 293 | ||
| Double option strategies | 300 | ||
| Ratio spreads | 304 | ||
| Portfolio hedge | 316 | ||
| Using options to establish a delta hedge | 319 | ||
| Conclusion | 322 | ||
| Summary | 322 | ||
| Questions | 323 | ||
| Exercises | 323 | ||
| Hedging with swap agreements and other derivatives | 326 | ||
| Objectives | 326 | ||
| Hedging with interest rate and currency swaps | 326 | ||
| Hedging with credit derivatives | 342 | ||
| Hedging with risk swaps | 347 | ||
| Alternative risk transfer | 349 | ||
| Hybrid instruments | 350 | ||
| Conclusion | 351 | ||
| Summary | 351 | ||
| Questions | 352 | ||
| Exercises | 353 | ||
| Part IV Strategic risk management | 355 | ||
| Strategic exposures and real options | 357 | ||
| Objectives | 357 | ||
| The importance of a risk management focus | 358 | ||
| Risk and risk factors | 364 | ||
| Other types of risk | 370 | ||
| Dealing with the risks | 375 | ||
| An integrative perspective on strategic risk | 377 | ||
| Real option structures | 381 | ||
| Conclusion | 392 | ||
| Summary | 392 | ||
| Questions | 393 | ||
| Exercises | 393 | ||
| Managing strategic risk | 397 | ||
| Objectives | 397 | ||
| Getting to grips with uncertainty | 398 | ||
| Risk awareness | 411 | ||
| Risk management culture | 412 | ||
| Risk management as quality control | 413 | ||
| Strategizing through real options | 415 | ||
| Risk in the strategic management process | 422 | ||
| Conclusion | 425 | ||
| Summary | 425 | ||
| Questions | 425 | ||
| Exercises | 426 | ||
| Glossary | 428 | ||
| Index | 441 |