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Abuse of structured financial products : misusing basket options to avoid taxes and leverage limits : hearing before the Permanent Subcommittee on Investigations of the Committee on Homeland Security and Governmental Affairs, United States Senate, One Hundred Thirteenth Congress, second session, July 22, 2014
| Abuse of structured financial products : misusing basket options to avoid taxes and leverage limits : hearing before the Permanent Subcommittee on Investigations of the Committee on Homeland Security and Governmental Affairs, United States Senate, One Hundred Thirteenth Congress, second session, July 22, 2014 |
| Pubbl/distr/stampa | Washington : , : U.S. Government Printing Office, , 2014 |
| Descrizione fisica | 1 online resource (x, 1190 pages) : illustrations |
| Collana | S. hrg. |
| Soggetto topico |
Tax evasion - United States
Investment banking - Corrupt practices - United States Derivative securities Derivative securities - Taxation - United States Tax administration and procedure - United States Financial leverage - United States Hedge funds - United States Banks and banking - Risk management |
| Soggetto genere / forma | Legislative hearings. |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Abuse of structured financial products |
| Record Nr. | UNINA-9910702799903321 |
| Washington : , : U.S. Government Printing Office, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Advanced equity derivatives [[electronic resource] ] : volatility and correlation / / Se̊bastien Bossu
| Advanced equity derivatives [[electronic resource] ] : volatility and correlation / / Se̊bastien Bossu |
| Autore | Bossu Sébastien |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2014 |
| Descrizione fisica | 1 online resource (172 p.) |
| Disciplina | 332.64/57 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Derivative securities
Actius financers derivats |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-77471-X
1-118-83536-0 1-118-77484-1 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; Foreword; Preface; Acknowledgments; Chapter 1 Exotic Derivatives; 1-1 Single-Asset Exotics; 1-1.1 Digital Options; 1-1.2 Asian Options; 1-1.3 Barrier Options; 1-1.4 Lookback Options; 1-1.5 Forward Start Options; 1-1.6 Cliquet Options; 1-2 Multi-Asset Exotics; 1-2.1 Spread Options; 1-2.2 Basket Options; 1-2.3 Worst-Of and Best-Of Options; 1-2.4 Quanto Options; 1-3 Structured Products; References; Problems; 1.1 "Free" Option; 1.2 Autocallable; 1.3 Geometric Asian Option; 1.4 Change of Measure; 1.5 At-the-Money Lookback Options; 1.6 Siegel's Paradox
Appendix 1.A: Change of Measure and Girsanov's TheoremChapter 2 The Implied Volatility Surface; 2-1 The Implied Volatility Smile and Its Consequences; 2-1.1 Consequence for the Pricing of Call and Put Spreads; 2-1.2 Consequence for Hedge Ratios; 2-1.3 Consequence for the Pricing of Exotics; 2-2 Interpolation and Extrapolation; 2-3 Implied Volatility Surface Properties; 2-4 Implied Volatility Surface Models; 2-4.1 A Parametric Model of Implied Volatility: The SVI Model; 2-4.2 Indirect Models of Implied Volatility; References; Problems; 2.1 No Call or Put Spread Arbitrage Condition 2.2 No Butterfly Spread Arbitrage Condition2.3 Sticky True Delta Rule; 2.4 SVI Fit; Chapter 3 Implied Distributions; 3-1 Butterfly Spreads and the Implied Distribution; 3-2 European Payoff Pricing and Replication; 3-3 Pricing Methods for European Payoffs; 3-4 Greeks; References; Problems; 3.1 Overhedging Concave Payoffs; 3.2 Perfect Hedging with Puts and Calls; 3.3 Implied Distribution and Exotic Pricing; 3.4 Conditional Pricing; 3.5 Path-Dependent Payoff; 3.6 Delta; Chapter 4 Local Volatility and Beyond; 4-1 Local Volatility Trees; 4-2 Local Volatility in Continuous Time 4-3 Calculating Local Volatilities4-3.1 Dupire's Equation; 4-3.2 From Implied Volatility to Local Volatility; 4-3.3 Hedging with Local Volatility; 4-4 Stochastic Volatility; 4-4.1 Hedging Theory; 4-4.2 Connection with Local Volatility; 4-4.3 Monte Carlo Method; 4-4.4 Pricing and Hedging Forward Start Options; 4-4.5 A Word on Stochastic Volatility Models with Jumps; References; Problems; 4.1 From Implied to Local Volatility; 4.2 Market Price of Volatility Risk; 4.3 Local Volatility Pricing; Appendix 4.A: Derivation of Dupire's Equation; Chapter 5 Volatility Derivatives; 5-1 Volatility Trading 5-2 Variance Swaps5-2.1 Variance Swap Payoff; 5-2.2 Variance Swap Market; 5-2.3 Variance Swap Hedging and Pricing; 5-2.4 Forward Variance; 5-3 Realized Volatility Derivatives; 5-4 Implied Volatility Derivatives; 5-4.1 VIX Futures; 5-4.2 VIX Options; References; Problems; 5.1 Delta-Hedging P&L Simulation; 5.2 Volatility Trading with Options; 5.3 Fair Variance Swap Strike; 5.4 Generalized Variance Swaps; 5.5 Call on Realized Variance; Chapter 6 Introducing Correlation; 6-1 Measuring Correlation; 6-1.1 Historical Correlation; 6-1.2 Implied Correlation; 6-2 Correlation Matrices 6-3 Correlation Average |
| Record Nr. | UNINA-9910132199803321 |
Bossu Sébastien
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| Hoboken, New Jersey : , : John Wiley & Sons, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The advanced fixed income and derivatives management guide / / Saied Simozar
| The advanced fixed income and derivatives management guide / / Saied Simozar |
| Autore | Simozar Saied <1954-> |
| Pubbl/distr/stampa | Chichester, England : , : Wiley, , 2015 |
| Descrizione fisica | 1 online resource (365 p.) |
| Disciplina | 332.63/2044 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Fixed-income securities
Derivative securities Portfoliio management |
| ISBN |
1-119-01417-4
1-119-01415-8 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; List of Tables; List of Figures; Abbreviations; Notation; Preface; Acknowledgement; Foreword; About the Author; Introduction; Chapter 1 Review of Market Analytics ; 1.1 Bond Valuation; 1.2 Simple Bond Analytics; 1.3 Portfolio Analytics; 1.4 Key Rate Durations; Chapter 2 Term Structure of Rates; 2.1 Linear and Non-linear Space; 2.2 Basis Functions; 2.3 Decay Coefficient; 2.4 Forward Rates; 2.5 Par Curve; 2.6 Application to the US Yield Curve; 2.7 Historical Yield Curve Components; 2.8 Significance of the Term Structure Components
2.9 Estimating the Value of Decay CoefficientChapter 3 Comparison of Basis Functions; 3.1 Polynomial Basis Functions; 3.2 Exponential Basis Functions; 3.3 Orthogonal Basis Functions; 3.4 Key Basis Functions; 3.5 Transformation of Basis Functions; 3.6 Comparison with the Principal Components Analysis; 3.7 Mean Reversion; 3.8 Historical Tables of Basis Functions; Chapter 4 Risk Measurement; 4.1 Interest Rate Risks; 4.2 Zero Coupon Bonds Examples; 4.3 Eurodollar Futures Contracts Examples; 4.4 Conventional Duration of a Portfolio; 4.5 Risks and Basis Functions 4.6 Application to Key Rate Duration4.7 Risk Measurement of a Treasury Index; Chapter 5 Performance Attribution; 5.1 Curve Performance; 5.2 Yield Performance; 5.3 Security Performance; 5.4 Portfolio Performance; 5.5 Aggregation of Contribution to Performance; Chapter 6 Libor and Swaps; 6.1 Term Structure of Libor; 6.2 Adjustment Table for Rates; 6.3 Risk Measurement and Performance Attribution of Swaps; 6.4 Floating Libor Valuation and Risks; 6.5 Repo and Financing Rate; 6.6 Structural Problem of Swaps; Chapter 7 Trading; 7.1 Liquidity Management; 7.2 Forward Pricing; 7.3 Curve Trading 7.4 Synthetic Securities7.5 Real Time Trading; Chapter 8 Linear Optimization and Portfolio Replication; 8.1 Portfolio Optimization Example; 8.2 Conversion to and from Conventional KRD; 8.3 KRD and Term Structure Hedging; Chapter 9 Yield Volatility; 9.1 Price Function of Yield Volatility; 9.2 Term Structure of Yield Volatility; 9.3 Volatility Adjustment Table; 9.4 Forward and Instantaneous Volatility; Chapter 10 Convexity and Long Rates; 10.1 Theorem: Long Rates Can Never Change; 10.2 Convexity Adjusted TSIR; 10.3 Application to Convexity; 10.4 Convexity Bias of Eurodollar Futures Chapter 11 Real Rates and Inflation Expectations11.1 Term Structure of Real Rates; 11.2 Theorem: Real Rates Can't Have Log-normal Distribution; 11.3 Inflation Linked (IL) Bonds; 11.4 Seasonal Adjustments to Inflation; 11.5 Inflation Swaps; Chapter 12 Credit Spreads; 12.1 Equilibrium Credit Spread; 12.2 Term Structure of Credit Spreads; 12.3 Risk Measurement of Credit Securities; 12.4 Credit Risks Example; 12.5 Floating Rate Credit Securities; 12.6 TSCS Examples; 12.7 Relative Values of Credit Securities; 12.8 Performance Attribution of Credit Securities; 12.9 Term Structure of Agencies 12.10 Performance Contribution |
| Record Nr. | UNINA-9910140645203321 |
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Simozar Saied <1954->
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| Chichester, England : , : Wiley, , 2015 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Board directors, financial derivatives, and corporate governance : the case of Vietnam / / Tran Thi Hong Lien
| Board directors, financial derivatives, and corporate governance : the case of Vietnam / / Tran Thi Hong Lien |
| Autore | Lien Tran Thi Hong |
| Pubbl/distr/stampa | Gateway East, Singapore : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (245 pages) |
| Disciplina | 658.422009597 |
| Soggetto topico |
Boards of directors
Corporate governance Derivative securities |
| ISBN |
9789811914003
9789811913990 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910568283503321 |
|
Lien Tran Thi Hong
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| Gateway East, Singapore : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bosnia and Herzegovina : : 2012 Article IV Consultation and Request for Stand-By Arrangement—Staff Report; Informational Annex; Public Information Notice; Press Release; and Statement by the Executive Director for Bosnia and Herzegovina
| Bosnia and Herzegovina : : 2012 Article IV Consultation and Request for Stand-By Arrangement—Staff Report; Informational Annex; Public Information Notice; Press Release; and Statement by the Executive Director for Bosnia and Herzegovina |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (107 p.) |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Monetary policy - Bosnia and Hercegovina
Banks and Banking Budgeting Exports and Imports Public Finance Statistics Investments: General Banks Depository Institutions Micro Finance Institutions Mortgages Current Account Adjustment Short-term Capital Movements International Lending and Debt Problems Debt Debt Management Sovereign Debt National Government Expenditures and Related Policies: General General Financial Markets: General (includes Measurement and Data) Public finance & taxation Finance Banking International economics Econometrics & economic statistics Investment & securities External debt Public debt Financial derivatives and employee stock options (financial account) Expenditure Balance of payments Securities Financial institutions Banks and banking Debts, External Debts, Public Derivative securities Expenditures, Public Financial instruments |
| ISBN |
1-4755-1256-2
1-4755-1255-4 1-299-46191-3 1-4755-1257-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; A. Context; B. Recent Economic Developments; II. Policy Discussions And Program for 2012-14; A. Outlook and Risks; B. National Policy Coordination; C. Ensuring Fiscal Sustainability; D. Mitigating Financial Sector Risks; E. Safeguarding External Stability; F. Structural Reforms to Unlock the Economy's Potential; G. Improving Data Quality; III. Program Modalities; A. Access and Phasing; B. Capacity to Repay the Fund and Risks to the Program; C. Program Monitoring, Conditionality, and Safeguard Assessment; IV. Staff Appraisal; Boxes
1. BiH-Performance Under the 2009-12 SBA2. BiH-Exchange Rate and Competitiveness Analysis; Figures; 1. Selected Economic Indicators. 2008-12; 2. Employment Developments, 2007-12; 3. Wage Developments, 2007-12; 4. Balance of Payments, 2001-12; 5. Monetary Developments, 2006-12; 6. Indicators of Business Environment; 7. Integration with the Euro Area; 8. External Debt Sustainability: Bound Tests; 9. Public Debt Sustainability: Bound Tests; Tables; 1. Selected Economic Indicators, 2009-17; 2. Real Sector Developments, 2009-17; 3. Balance of Payments, 2009-17 4. General Government Statement of Operations, 2009-175. General Government Statement of Operations, 2009-17; 5a. Institutions of Bosnia and Herzegovina: Statement of Operations, 2009-17; 5b. Federation of Bosnia and Herzegovina: General Government Statement of Operations, 2009-17; 5c. Federation of Bosnia and Herzegovina: Central Government of Operations, 2009-17; 5d. Republika Srpska General Government Statement of Operations, 2009-17; 5e. Republika Srpska Consolidated Central Government Statement of Operations, 2009-17; 6. Monetary Survey, 2009-17 7a. Gross Financing Requirements, 2012-17 (in million of euros)7b. Gross Financing Requirements, 2012-17 (in percent of GDP); 8. Schedule of Purchases Under the Stand-By Arrangement, 2012-14; 9. Structural Conditionality; 9a. Quantitative Performance Criteria and Indicative Target Under the 2012-14 Stand-By Arrangement, 2012-13; 10. Indicators of Capacity to Repay the Fund, 2011-19; 11. Financial Soundness Indicators, 2008-12; 12. External Debt Sustainability Framework, 2007-2017; 13. Public Sector Debt Sustainability Framework, 2007-2017; Annexes; I. BiH-Risk Assessment Matrix II. BiH-Potential Crisis Spillover Channels Attachments; I. Letter of Intent; II. Technical Memorandum of Understanding; Contents; I. Fund Relations; II. Bank-Fund Collaboration; III. Statistical Issues |
| Record Nr. | UNINA-9910779688303321 |
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bosnia and Herzegovina : : 2012 Article IV Consultation and Request for Stand-By Arrangement—Staff Report; Informational Annex; Public Information Notice; Press Release; and Statement by the Executive Director for Bosnia and Herzegovina
| Bosnia and Herzegovina : : 2012 Article IV Consultation and Request for Stand-By Arrangement—Staff Report; Informational Annex; Public Information Notice; Press Release; and Statement by the Executive Director for Bosnia and Herzegovina |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (107 p.) |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Monetary policy - Bosnia and Hercegovina
Banks and Banking Budgeting Exports and Imports Public Finance Statistics Investments: General Banks Depository Institutions Micro Finance Institutions Mortgages Current Account Adjustment Short-term Capital Movements International Lending and Debt Problems Debt Debt Management Sovereign Debt National Government Expenditures and Related Policies: General General Financial Markets: General (includes Measurement and Data) Public finance & taxation Finance Banking International economics Econometrics & economic statistics Investment & securities External debt Public debt Financial derivatives and employee stock options (financial account) Expenditure Balance of payments Securities Financial institutions Banks and banking Debts, External Debts, Public Derivative securities Expenditures, Public Financial instruments |
| ISBN |
1-4755-1256-2
1-4755-1255-4 1-299-46191-3 1-4755-1257-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; A. Context; B. Recent Economic Developments; II. Policy Discussions And Program for 2012-14; A. Outlook and Risks; B. National Policy Coordination; C. Ensuring Fiscal Sustainability; D. Mitigating Financial Sector Risks; E. Safeguarding External Stability; F. Structural Reforms to Unlock the Economy's Potential; G. Improving Data Quality; III. Program Modalities; A. Access and Phasing; B. Capacity to Repay the Fund and Risks to the Program; C. Program Monitoring, Conditionality, and Safeguard Assessment; IV. Staff Appraisal; Boxes
1. BiH-Performance Under the 2009-12 SBA2. BiH-Exchange Rate and Competitiveness Analysis; Figures; 1. Selected Economic Indicators. 2008-12; 2. Employment Developments, 2007-12; 3. Wage Developments, 2007-12; 4. Balance of Payments, 2001-12; 5. Monetary Developments, 2006-12; 6. Indicators of Business Environment; 7. Integration with the Euro Area; 8. External Debt Sustainability: Bound Tests; 9. Public Debt Sustainability: Bound Tests; Tables; 1. Selected Economic Indicators, 2009-17; 2. Real Sector Developments, 2009-17; 3. Balance of Payments, 2009-17 4. General Government Statement of Operations, 2009-175. General Government Statement of Operations, 2009-17; 5a. Institutions of Bosnia and Herzegovina: Statement of Operations, 2009-17; 5b. Federation of Bosnia and Herzegovina: General Government Statement of Operations, 2009-17; 5c. Federation of Bosnia and Herzegovina: Central Government of Operations, 2009-17; 5d. Republika Srpska General Government Statement of Operations, 2009-17; 5e. Republika Srpska Consolidated Central Government Statement of Operations, 2009-17; 6. Monetary Survey, 2009-17 7a. Gross Financing Requirements, 2012-17 (in million of euros)7b. Gross Financing Requirements, 2012-17 (in percent of GDP); 8. Schedule of Purchases Under the Stand-By Arrangement, 2012-14; 9. Structural Conditionality; 9a. Quantitative Performance Criteria and Indicative Target Under the 2012-14 Stand-By Arrangement, 2012-13; 10. Indicators of Capacity to Repay the Fund, 2011-19; 11. Financial Soundness Indicators, 2008-12; 12. External Debt Sustainability Framework, 2007-2017; 13. Public Sector Debt Sustainability Framework, 2007-2017; Annexes; I. BiH-Risk Assessment Matrix II. BiH-Potential Crisis Spillover Channels Attachments; I. Letter of Intent; II. Technical Memorandum of Understanding; Contents; I. Fund Relations; II. Bank-Fund Collaboration; III. Statistical Issues |
| Record Nr. | UNINA-9910808577903321 |
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Brazil : : Selected Issues
| Brazil : : Selected Issues |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2016 |
| Descrizione fisica | 1 online resource (159 p.) |
| Collana | IMF Staff Country Reports |
| Soggetto topico |
Foreign Exchange
Investments: Futures Macroeconomics Money and Monetary Policy Public Finance Social Security and Public Pensions Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Macroeconomics: Consumption Saving Wealth Price Level Inflation Deflation Pensions Currency Foreign exchange Public finance & taxation Finance Pension spending Futures Exchange rates Aging Expenditure Financial institutions Prices Population and demographics Derivative securities Expenditures, Public Consumption Economics Business cycles |
| ISBN |
1-4755-5323-4
1-4755-5329-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910155012803321 |
| Washington, D.C. : , : International Monetary Fund, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Clearing and settlement of derivatives [[electronic resource] /] / David Loader
| Clearing and settlement of derivatives [[electronic resource] /] / David Loader |
| Autore | Loader David |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam, : Elsevier, 2005 |
| Descrizione fisica | 1 online resource (293 p.) |
| Disciplina | 332.6457 |
| Collana | Elsevier finance |
| Soggetto topico | Derivative securities |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-280-63905-9
9786610639052 0-08-045635-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Preface; Acknowledgements; Disclaimer; The development of futures and options and OTC derivatives; The first futures market; The emergence of financial futures and options markets; The first options markets; Summary; Derivative products; Over-the-counter derivatives; The role of the clearing house; Eurex AG; The Options Clearing Corporation (OCC); LCH.Clearnet; Risk management; Summary; Futures processing; Futures trading; Clearing process; Use of futures; Futures clearing and settlement; Variation margin; Initial margin; Futures delivery; The delivery process
LCH.Clearnet.Clearnet delivery proceduresThe process of delivery; The delivery process of Gilts through CREST; Commodity futures delivery; Physical delivery of LME contracts; The SWORD system; Soft commodities; Workflow road map; Summary; Options processing; Workflow road map; Option exercise and assignment; Exercise and assignment procedures; Delivery; Summary; OTC products; Forward rate agreements; Swaps; Equity swap cash flow; Over-the-counter options; Settlement of OTC products; The post-trade environment; Event calendar; Communication/Information; Other settlement issues Accounting and regulatory issuesSwapClear; Benefits of netting; SwapsWire; Summary; Using derivatives in investment management; Introduction; Basic illustration of derivatives use in asset allocation; Income enhancement; Hedging; Speculation and exposure taking; Use of OTC derivatives; Regulation and compliance; Summary; Margin and collateral; Initial margin; An explanation of delta; Intra-day margin; Spot month margin; Margin methods; Margin offsets; Variation margin; Tick size; Option margin; Settlement of option margin; Collateral; Acceptable collateral; Margining to a client Single currency margining and settlementMargining OTC positions; Summary; Impact of corporate actions; Introduction; OTC derivatives; Summary; Operational risk; Identifying and managing specific risks; Mapping operational risk in a derivatives operations environment; Specific operational risks; Recognising, measuring and managing operational risk; Summary; Glossary of derivatives terms; Appendix; Euronext.liffe equity index future contract specification; Euronext.liffe listed option contracts; IPE exchange for physicals; IPE expiry dates; LME copper brands FSA derivatives and warrants risk warningUseful websites and suggested further reading; Euronext.liffe corporate action policy; SPAN; TIMS; Index |
| Record Nr. | UNINA-9910457724803321 |
|
Loader David
|
||
| Amsterdam, : Elsevier, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Clearing and settlement of derivatives [[electronic resource] /] / David Loader
| Clearing and settlement of derivatives [[electronic resource] /] / David Loader |
| Autore | Loader David |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam, : Elsevier, 2005 |
| Descrizione fisica | 1 online resource (293 p.) |
| Disciplina | 332.6457 |
| Collana | Elsevier finance |
| Soggetto topico | Derivative securities |
| ISBN |
1-280-63905-9
9786610639052 0-08-045635-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Preface; Acknowledgements; Disclaimer; The development of futures and options and OTC derivatives; The first futures market; The emergence of financial futures and options markets; The first options markets; Summary; Derivative products; Over-the-counter derivatives; The role of the clearing house; Eurex AG; The Options Clearing Corporation (OCC); LCH.Clearnet; Risk management; Summary; Futures processing; Futures trading; Clearing process; Use of futures; Futures clearing and settlement; Variation margin; Initial margin; Futures delivery; The delivery process
LCH.Clearnet.Clearnet delivery proceduresThe process of delivery; The delivery process of Gilts through CREST; Commodity futures delivery; Physical delivery of LME contracts; The SWORD system; Soft commodities; Workflow road map; Summary; Options processing; Workflow road map; Option exercise and assignment; Exercise and assignment procedures; Delivery; Summary; OTC products; Forward rate agreements; Swaps; Equity swap cash flow; Over-the-counter options; Settlement of OTC products; The post-trade environment; Event calendar; Communication/Information; Other settlement issues Accounting and regulatory issuesSwapClear; Benefits of netting; SwapsWire; Summary; Using derivatives in investment management; Introduction; Basic illustration of derivatives use in asset allocation; Income enhancement; Hedging; Speculation and exposure taking; Use of OTC derivatives; Regulation and compliance; Summary; Margin and collateral; Initial margin; An explanation of delta; Intra-day margin; Spot month margin; Margin methods; Margin offsets; Variation margin; Tick size; Option margin; Settlement of option margin; Collateral; Acceptable collateral; Margining to a client Single currency margining and settlementMargining OTC positions; Summary; Impact of corporate actions; Introduction; OTC derivatives; Summary; Operational risk; Identifying and managing specific risks; Mapping operational risk in a derivatives operations environment; Specific operational risks; Recognising, measuring and managing operational risk; Summary; Glossary of derivatives terms; Appendix; Euronext.liffe equity index future contract specification; Euronext.liffe listed option contracts; IPE exchange for physicals; IPE expiry dates; LME copper brands FSA derivatives and warrants risk warningUseful websites and suggested further reading; Euronext.liffe corporate action policy; SPAN; TIMS; Index |
| Record Nr. | UNINA-9910784447803321 |
|
Loader David
|
||
| Amsterdam, : Elsevier, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Clearing and settlement of derivatives / / David Loader
| Clearing and settlement of derivatives / / David Loader |
| Autore | Loader David |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Amsterdam, : Elsevier, 2005 |
| Descrizione fisica | 1 online resource (293 p.) |
| Disciplina | 332.6457 |
| Collana | Elsevier finance |
| Soggetto topico | Derivative securities |
| ISBN |
1-280-63905-9
9786610639052 0-08-045635-9 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; Preface; Acknowledgements; Disclaimer; The development of futures and options and OTC derivatives; The first futures market; The emergence of financial futures and options markets; The first options markets; Summary; Derivative products; Over-the-counter derivatives; The role of the clearing house; Eurex AG; The Options Clearing Corporation (OCC); LCH.Clearnet; Risk management; Summary; Futures processing; Futures trading; Clearing process; Use of futures; Futures clearing and settlement; Variation margin; Initial margin; Futures delivery; The delivery process
LCH.Clearnet.Clearnet delivery proceduresThe process of delivery; The delivery process of Gilts through CREST; Commodity futures delivery; Physical delivery of LME contracts; The SWORD system; Soft commodities; Workflow road map; Summary; Options processing; Workflow road map; Option exercise and assignment; Exercise and assignment procedures; Delivery; Summary; OTC products; Forward rate agreements; Swaps; Equity swap cash flow; Over-the-counter options; Settlement of OTC products; The post-trade environment; Event calendar; Communication/Information; Other settlement issues Accounting and regulatory issuesSwapClear; Benefits of netting; SwapsWire; Summary; Using derivatives in investment management; Introduction; Basic illustration of derivatives use in asset allocation; Income enhancement; Hedging; Speculation and exposure taking; Use of OTC derivatives; Regulation and compliance; Summary; Margin and collateral; Initial margin; An explanation of delta; Intra-day margin; Spot month margin; Margin methods; Margin offsets; Variation margin; Tick size; Option margin; Settlement of option margin; Collateral; Acceptable collateral; Margining to a client Single currency margining and settlementMargining OTC positions; Summary; Impact of corporate actions; Introduction; OTC derivatives; Summary; Operational risk; Identifying and managing specific risks; Mapping operational risk in a derivatives operations environment; Specific operational risks; Recognising, measuring and managing operational risk; Summary; Glossary of derivatives terms; Appendix; Euronext.liffe equity index future contract specification; Euronext.liffe listed option contracts; IPE exchange for physicals; IPE expiry dates; LME copper brands FSA derivatives and warrants risk warningUseful websites and suggested further reading; Euronext.liffe corporate action policy; SPAN; TIMS; Index |
| Record Nr. | UNINA-9910823735603321 |
|
Loader David
|
||
| Amsterdam, : Elsevier, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Soggetto topico
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Derivative securities
(184)
- Finance (52)
- Financial Instruments (37)
- Institutional Investors (37)
- Non-bank Financial Institutions (37)