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The Derivatives Market in South Africa : : Lessons for Sub-Saharan African Countries / / Olatundun Janet Adelegan
The Derivatives Market in South Africa : : Lessons for Sub-Saharan African Countries / / Olatundun Janet Adelegan
Autore Adelegan Olatundun Janet
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2009
Descrizione fisica 1 online resource (36 p.)
Disciplina 332.63
332.63228
Collana IMF Working Papers
Soggetto topico Derivative securities - South Africa
Risk management - South Africa
Finance: General
Investments: Futures
Investments: Options
Foreign Exchange
General Financial Markets: General (includes Measurement and Data)
Contingent Pricing
Futures Pricing
option pricing
Pension Funds
Non-bank Financial Institutions
Financial Instruments
Institutional Investors
Finance
Derivative markets
Futures
Options
Futures markets
Over-the-counter markets
Financial markets
Financial institutions
Derivative securities
Financial instruments
ISBN 1-4623-8199-5
1-4518-7343-3
1-4527-9143-0
9786612844041
1-282-84404-0
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Background; III. Current State of the Market; 1. South Africa: Share of Emerging Market Over-the-Counter Derivatives, 2007; 1. Trading Volume of Over-the-Counter Derivatives in South Africa, 2001-07; 2. South Africa: Trading Volume of Exchange-Based Traded Derivatives, 2007; 2. Trading Volume of Exchange Based Options and Future Contracts in South Africa, 2001-2008; 3. Change in Exchange-Based Derivatives in South Africa 2001-07; 4. Economic and Capital Market Growth Rates in South Africa, 2001-06
5. Notional Amount of the Exchange-Traded Derivatives in South Africa 6. Rankings in Ease of Doing Business, Protecting Investors, and Enforcing Contracts in Selected Sub-Saharan African Countries for 2008; IV. Current Issues Affecting the Future of the Market; V. Lessons for Countries of Sub-Saharan Africa from South Africa's Experience; VI. Conclusion; References; Footnotes
Record Nr. UNINA-9910788227703321
Adelegan Olatundun Janet  
Washington, D.C. : , : International Monetary Fund, , 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Fundamentals of futures and options market / / John C. Hull
Fundamentals of futures and options market / / John C. Hull
Autore Hull John <1946->
Edizione [Global edition, Eight edition.]
Pubbl/distr/stampa Harlow, England : , : Pearson, , [2016]
Descrizione fisica 1 online resource (623 pages) : illustrations
Disciplina 332.6453
Soggetto topico Options (Finance)
Futures markets
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover -- Title Page -- Copyright Page -- Contents in Brief -- Contents -- Preface -- Chapter 1: Introduction -- 1.1 Futures Contracts -- 1.2 History of Futures Markets -- 1.3 The Over-the-Counter Market -- 1.4 Forward Contracts -- 1.5 Options -- 1.6 History of Options Markets -- 1.7 Types of Trader -- 1.8 Hedgers -- 1.9 Speculators -- 1.10 Arbitrageurs -- 1.11 Dangers -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 2: Mechanics of Futures Markets -- 2.1 Opening and Closing Futures Positions -- 2.2 Speci?cation of a Futures Contract -- 2.3 Convergence of Futures Price to Spot Price -- 2.4 The Operation of Margin Accounts -- 2.5 OTC Markets -- 2.6 Market Quotes -- 2.7 Delivery -- 2.8 Types of Trader and Types of Order -- 2.9 Regulation -- 2.10 Accounting and Tax -- 2.11 Forward vs. Futures Contracts -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 3: Hedging Strategies Using Futures -- 3.1 Basic Principles -- 3.2 Arguments for and Against Hedging -- 3.3 Basis Risk -- 3.4 Cross Hedging -- 3.5 Stock Index Futures -- 3.6 Stack and Roll -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: Review of Key Concepts in Statistics and the CAPM -- Chapter 4: Interest Rates -- 4.1 Types of Rates -- 4.2 Measuring Interest Rates -- 4.3 Zero Rates -- 4.4 Bond Pricing -- 4.5 Determining Treasury Zero Rates -- 4.6 Forward Rates -- 4.7 Forward Rate Agreements -- 4.8 Theories of the Term Structure of Interest Rates -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: Exponential and Logarithmic Functions -- Chapter 5: Determination of Forward and Futures Prices -- 5.1 Investment Assets vs. Consumption Assets -- 5.2 Short Selling -- 5.3 Assumptions and Notation.
5.4 Forward Price for an Investment Asset -- 5.5 Known Income -- 5.6 Known Yield -- 5.7 Valuing Forward Contracts -- 5.8 Are Forward Prices and Futures Prices Equal? -- 5.9 Futures Prices of Stock Indices -- 5.10 Forward and Futures Contracts on Currencies -- 5.11 Futures on Commodities -- 5.12 The Cost of Carry -- 5.13 Delivery Options -- 5.14 Futures Prices and the Expected Spot Prices -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 6: Interest Rate Futures -- 6.1 Day Count and Quotation Conventions -- 6.2 Treasury Bond Futures -- 6.3 Eurodollar Futures -- 6.4 Duration -- 6.5 Duration-Based Hedging Strategies Using Futures -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 7: Swaps -- 7.1 Mechanics of Interest Rate Swaps -- 7.2 Day Count Issues -- 7.3 Confirmations -- 7.4 The Comparative-Advantage Argument -- 7.5 The Nature of Swap Rates -- 7.6 Overnight Indexed Swaps -- 7.7 Valuation of Interest Rate Swaps -- 7.8 Estimating the Zero Curve for Discounting -- 7.9 Forward Rates -- 7.10 Valuation in Terms of Bonds -- 7.11 Term Structure E?ects -- 7.12 Fixed-for-Fixed Currency Swaps -- 7.13 Valuation of Fixed-for-Fixed Currency Swaps -- 7.14 Other Currency Swaps -- 7.15 Credit Risk -- 7.16 Other Types of Swap -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 8: Securitization and the Credit Crisis of 2007 -- 8.1 Securitization -- 8.2 The U.S. Housing Market -- 8.3 What Went Wrong? -- 8.4 The Aftermath -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 9: Mechanics of Options Markets -- 9.1 Types of Option -- 9.2 Option Positions -- 9.3 Underlying Assets -- 9.4 Speci?cation of Stock Options -- 9.5 Trading -- 9.6 Commissions -- 9.7 Margin Requirements.
9.8 The Options Clearing Corporation -- 9.9 Regulation -- 9.10 Taxation -- 9.11 Warrants, Employee Stock Options, and Convertibles -- 9.12 Over-the-Counter Options Markets -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 10: Properties of Stock Options -- 10.1 Factors Affecting Option Prices -- 10.2 Assumptions and Notation -- 10.3 Upper and Lower Bounds for Option Prices -- 10.4 Put-Call Parity -- 10.5 Calls on a Non-Dividend-Paying Stock -- 10.6 Puts on a Non-Dividend-Paying Stock -- 10.7 Effect of Dividends -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 11: Trading Strategies Involving Options -- 11.1 Principal-Protected Notes -- 11.2 Strategies Involving a Single Option and a Stock -- 11.3 Spreads -- 11.4 Combinations -- 11.5 Other Pay o?s -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 12: Introduction to Binomial Trees -- 12.1 A One-Step Binomial Model and a No-Arbitrage Argument -- 12.2 Risk-Neutral Valuation -- 12.3 Two-Step Binomial Trees -- 12.4 A Put Example -- 12.5 American Options -- 12.6 Delta -- 12.7 Determining u and d -- 12.8 Increasing the Number of Time Steps -- 12.9 Using DerivaGem -- 12.10 Options on Other Assets -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: Derivation of the Black-Scholes-Merton Option Pricing Formula from Binomial Tree -- Chapter 13: Valuing Stock Options: The Black-Scholes-Merton Model -- 13.1 AssumptionsaboutHowStockPricesEvolve -- 13.2 Expected Return -- 13.3 Volatility -- 13.4 Estimating Volatility from Historical Data -- 13.5 Assumptions Underlying Black-Scholes-Merton -- 13.6 The Key No-Arbitrage Argument -- 13.7 The Black-Scholes-Merton Pricing Formulas -- 13.8 Risk-Neutral Valuation -- 13.9 Implied Volatilities.
13.10 Dividends -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: The Early Exercise of American Call Options on Dividend-Paying Stocks -- Chapter 14: Employee Stock Options -- 14.1 Contractual Arrangements -- 14.2 Do Options Align the Interests of Shareholders and Managers? -- 14.3 AccountingIssues -- 14.4 Valuation -- 14.5 Backdating Scandals -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 15: Options on Stock Indices and Currencies -- 15.1 Options on Stock Indices -- 15.2 Currency Options -- 15.3 Options on Stocks Paying Known Dividend Yields -- 15.4 Valuation of European Stock Index Options -- 15.5 Valuation of European Currency Options -- 15.6 American Options -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 16: Futures Options -- 16.1 Nature of Futures Options -- 16.2 Reasons for the Popularity of Futures Options -- 16.3 European Spot and Futures Options -- 16.4 Put-Call Parity -- 16.5 Bounds for Futures Options -- 16.6 Valuation of Futures Options Using Binomial Trees -- 16.7 A Futures Price as an Asset Providing a Yield -- 16.8 Black's Model for Valuing Futures Options -- 16.9 Using Black's Model Instead of Black-Scholes-Merton -- 16.10 American Futures Options vs. American Spot Options -- 16.11 Futures-Style Options -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 17: The Greek Letters -- 17.1 Illustration -- 17.2 Naked and Covered Positions -- 17.3 A Stop-Loss Strategy -- 17.4 Delta Hedging -- 17.5 Theta -- 17.6 Gamma -- 17.7 Relationship Between Delta, Theta, and Gamma -- 17.8 Vega -- 17.9 Rho -- 17.10 The Realities of Hedging -- 17.11 Scenario Analysis -- 17.12 Extension of Formulas -- 17.13 Creating Options Synthetically for Portfolio Insurance.
17.14 Stock Market Volatility -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 18: Binomial Trees in Practice -- 18.1 The Binomial Model for a Non-Dividend-Paying Stock -- 18.2 Using the Binomial Tree for Options on Indices, Currencies, and Futures Contracts -- 18.3 The Binomial Model for a Dividend-Paying Stock -- 18.4 Extensions of the Basic Tree Approach -- 18.5 Alternative Procedure for Constructing Trees -- 18.6 Monte Carlo Simulation -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 19: Volatility Smiles -- 19.1 Foreign Currency Options -- 19.2 Equity Options -- 19.3 The Volatility Term Structure and Volatility Surfaces -- 19.4 When a Single Large Jump Is Anticipated -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Appendix: Why the Put Volatility Smile is the Same as the Call Volatility Smile -- Chapter 20: Value at Risk -- 20.1 The VaR Measure -- 20.2 Historical Simulation -- 20.3 Model-Building Approach -- 20.4 Generalization of Linear Model -- 20.5 Quadratic Model -- 20.6 Estimating Volatilities and Correlations -- 20.7 Comparison of Approaches -- 20.8 Stress Testing and Back Testing -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 21: InterestRateOptions -- 21.1 Exchange-Traded Interest Rate Options -- 21.2 Embedded Bond Options -- 21.3 Black's Model -- 21.4 European Bond Options -- 21.5 Interest Rate Caps -- 21.6 European Swap Options -- 21.7 Term Structure Models -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions -- Chapter 22: Exotic Options and Other Nonstandard Products -- 22.1 Exotic Options -- 22.2 Agency Mortgage-Backed Securities -- 22.3 Nonstandard Swaps -- Summary -- Further Reading -- Quiz -- Practice Questions -- Further Questions.
Chapter 23: Credit Derivatives.
Record Nr. UNINA-9910154929203321
Hull John <1946->  
Harlow, England : , : Pearson, , [2016]
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui