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Financial Derivatives: A Case Study Based Learning

Manu Sharma

ISBN: 9789351197935

272 pages

eBook also available for institutional users 

INR 799


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 help learners in putting the theories into practical applications.

Chapter 1: Fundamentals of Options

1.1 Fundamentals of Options

1.2 Long Call Option

1.3 Short Call Option

1.4 Long Put Option

1.5 Short Put Option

1.6 Value of Option

1.7 In-the-Money, At-the-Money and Out-of-the-

1.8 Summary

1.9 Questions


Chapter 2: Binomial Option Pricing Model

2.1 Binomial Option Pricing Model

2.2 Single Stage Binomial Call Option Pricing Model

2.3 Double Stage Binomial Call Option Pricing Model

2.4 Put Option Binomial Pricing Model

2.5 Arbitrage in Binomial Option Pricing Model

2.6 Summary Table of Contents

2.7 Questions


Chapter 3: Black-Scholes Option Pricing Model

3.1 Black-Scholes Option Pricing Model

3.2 Options Variables

3.3 Put-Call Parity

3.4 Arbitrage In Options

3.5 Delta and Gamma Hedging

3.6 Summary

3.7 Questions


Chapter 4: Advanced Option-Based Hedging Strategies

4.1 Bullish Option Strategies

4.2 Bearish Option Strategies

4.3 Neutral Option Strategies

4.4 Summary

4.5 Questions


Chapter 5: Currency Options

5.1 Introduction to Currency Options

5.2 Long Currency Calls

5.3 Short Currency Calls

5.4 Long Currency Put Options

5.5 Short Currency Put Options

5.6 Currency Options Strategies

5.7 Put-Call Parity in Currency Options

5.8 Garman-Kohlhagen Foreign European Style Currency Option Pricing Model

5.9 Summary

5.10 Questions


Chapter 6: Interest Rate Options

6.1 Interest Rate Options

6.2 Interest Rate Long Call Options

6.3 Interest Rate Short Call Options

6.4 Interest Rate Long Put Options

6.5 Interest Rate Short Put Options

6.6 Caplets

6.8 Black Model For Pricing Interest Rate Options

6.9 Summary

6.10 Questions


Chapter 7: Futures and Forward Contracts

7.1 Introduction to Futures Contract

7.2 Long Hedging with Futures Contracts

7.3 Marked to Market Analysis of Long Futures Contracts

7.4 Short Hedging

7.5 Marked to Market Analysis of Short Futures Contracts

7.6 Perfect Hedging and Cross Hedging

7.7 Hedge Ratio

7.8 Basis Hedge

7.9 Introduction to Forward Contracts

7.10 Valuation of Forward/Futures Contracts

7.11 Arbitrage on Forward/Futures Contracts

7.12 Options on Futures

7.13 Summary

7.14 Questions


Chapter 8: Currency Forwards and Futures

8.1 Introduction to Currency Futures

8.2 Long Currency Futures

8.3 Short Currency Futures

8.4 Valuation of Currency Futures Contracts

8.5 Basis Currency Risk and Basis Currency Hedging

8.6 Hedge Ratio for Currency Futures Contracts

8.7 Introduction to Currency Forward Contracts

8.8 Long Hedging Currency Forward Contracts

8.9 Short Hedging Currency Forward Contracts

8.10 Valuation of Currency Forward Contracts

8.11 Arbitrage in Currency Forwards/Futures

8.12 Non-Deliverable Forward Contracts

8.13 Summary

8.14 Questions


Chapter 9: Interest Rate Futures

9.1 Introduction to Interest Rate Futures

9.2 Valuation of Bonds

9.3 Treasury Bill 91 Days Maturity (Short-Term Bond)

9.4 Treasury Bonds 7% Semi-Annual 10 Years Maturity (Long-Term Bond)

9.5 Short Hedging with Interest Rate Futures

9.6 Long Hedging with Interest Rate Futures

9.7 Hedge Ratio

9.8 Summary

9.9 Questions


Chapter 10: Swaps

10.1 Interest Rate Swap

10.2 Structuring Interest Rate Swaps

10.3 Pricing of Interest Rate Swap at Outset

10.4 Value of Interest Rate Swap during its Life

10.5 Introduction to Currency Swap

10.6 Determining Coupon Rates in Currency Swap

10.7 Valuation of Currency Swap

10.8 Swaption: Options on Interest Rate Swap

10.9 Credit Default Swap (CDS)

10.10 Total Return Swap

10.11 Summary

10.12 Questions


Multiple-Choice Questions

Long-Answer Questions