Hedging Instruments and Risk Management: How to Use Derivatives to Control Financial Risk in Any MarketBooks on complex hedging instruments are often more confusing than the instruments themselves. Hedging Instruments & Risk Management brings clarity to the topic, giving money managers the straightforward knowledge they need to employ hedging tools and techniques in four key markets—equity, currency, fixed income, and mortgage. Using real-world data and examples, this high-level book shows practitioners how to develop a common set of mathematical and statistical tools for hedging in various markets and then outlines several hedging strategies with the historical performance of each. |
Other editions - View all
Hedging Instruments and Risk Management: How to Use Derivatives to Control ... Patrick Cusatis,Martin Thomas No preview available - 2005 |
Common terms and phrases
10-year U.S. Treasury asset price at-market swap rate basis swap bond price calculated call date call option callable bond cash flows CBOT commodity convexity corporate bond cost-of-carry crude oil Cumulative Payoff currency swap decrease delivery discount equal estimate euro eurodollar ex ante hedge example expected expiration fixed rate floating rate floating-rate futures contract futures price hedge ratio Hedged and Unhedged hedged position hedging instrument implied forward rates increase interest rate swap investor issuer January LIBOR swap maturity modified duration mortgage municipal bonds municipal market municipal note option pricing payments period portfolio manager premium present value price changes price/yield put option regression relationship risk sample sell semiannual shown in Exhibit spot price spread strike price Swap Counterparty swap futures swap yields swaption tion traded transaction Treasury note futures U.S. dollars U.S. Treasury note underlying asset valuation variable volatility yield curve zero-coupon bond
References to this book
Electric Power Planning for Regulated and Deregulated Markets Arthur Mazer No preview available - 2007 |