Andrew M. Chisholm

Introduction to International

• Gebundenes Buch

Produktbeschreibung

Fully revised and updated from the hugely popular first edition, this book is an accessible and convenient one-volume introduction to international capital markets, ideal for those entering or planning to enter investment banking or asset management. As well as serving as an invaluable reference tool for professionals already working in the industry looking to extend their knowledge base it will also benefit all those working in trading, sales and support roles.

Describing how the key products and markets work, who the principle participants are and their overall goals and objectives, Andrew Chisholm provides a thorough overview of the global capital markets. The book covers a wide range of equity, debt, foreign exchange and credit instruments as well as the principal derivative products. In a step-by-step fashion, making extensive use of real world cases and examples, it explains money markets, foreign exchange, bond markets, cash equity markets, equity valuation techniques, swaps, forwards, futures, credit derivatives, options, option risk management and convertible bonds. An extensive glossary also explains concisely many of the 'jargon' expressions used in the financial markets.

Boasting an international focus, examples are drawn from major international markets around the world. It makes extensive use of numerical examples and case studies to help explain a wide range of cash and derivative products used in the capital markets business. It covers both debt and equity products and includes new material on credit products such as collateralized debt obligations and credit derivative structures; equity fundamental analysis, portfolio theory and convertible bonds. Market data has been fully updated from the first edition and recent events such as the 'credit crisis' are discussed.

Produktdetails

• Wiley Finance Series
• Verlag: Wiley & Sons
• Artikelnr. des Verlages: 14575898000
• 2. Aufl.
• Seitenzahl: 448
• Erscheinungstermin: 1. Juli 2009
• Englisch
• Abmessung: 244mm x 168mm x 30mm
• Gewicht: 896g
• ISBN-13: 9780470758984
• ISBN-10: 0470758988
• Artikelnr.: 26175859

Autorenporträt

About the author ANDREW M. CHISHOLM has designed, developed and taught programmes in derivatives and finance since 1984. In that time he has worked with many of the largest financial institutions around the world, teaching corporate financiers, traders, sales and marketing staff, risk managers, analysts, fund managers, operations and technology professionals. He has worked extensively on seminars at senior management level as well as training programmes designed to introduce new graduate and MBA entrants to the securities industry. He was formerly Head of Professional Development for Europe at JP Morgan and is author of Derivatives Demystified published by John Wiley and Sons in 2004.

Inhaltsangabe

Acknowledgment 1 Introduction: The Market Context 1.1 Capital and the
Capital Markets 1.2 The Euromarkets (International Capital Markets) 1.3
Modern Investment Banking 1.4 The Clients of Investment Banks 1.5 About
this Book 2 The Money Markets 2.1 Chapter Overview 2.2 Domestic Money
Markets 2.3 US Domestic Markets 2.4 The European Central Bank (ECB) 2.5
Sterling Money Markets 2.6 The Bank of Japan 2.7 Systemic Risks and Moral
Hazards 2.8 Treasury Bills 2.9 Discounting Treasury Bills 2.10 US
Commercial Paper 2.11 Credit Risk on USCP 2.12 Bankers' Acceptances 2.13
The Eurocurrency Markets 2.14 Eurocurrency Loans and Deposits 2.15
Eurocurrency Interest and Day-Count 2.16 Eurocurrency Certificates of
Deposit 2.17 CD Yield-to-Maturity 2.18 Euro-Commercial Paper 2.19 Repos and
Reverses 2.20 Repo: Case Study 2.21 Other Features of Repos 2.22 Chapter
Summary 3 The Foreign Exchange Market 3.1 Chapter Overview 3.2 Market
Structure 3.3 FX Dealers and Brokers 3.4 Spot Foreign Exchange Deals 3.5
Sterling and Euro Quotations 3.6 Factors Affecting Spot FX Rates 3.7 Spot
FX Trading 3.8 Spot Position Keeping 3.9 FX Risk Control 3.10
Cross-Currency Rates 3.11 Outright Forward FX Rates 3.12 Outright Forward
FX Hedge: Case Study 3.13 Forward FX Formula 3.14 FX or Forward Swaps 3.15
FX Swap Two-Way Quotations 3.16 Chapter Summary 4 Major Government Bond
Markets 4.1 Chapter Overview 4.2 Introduction to Government Bonds 4.3
Sovereign Risk 4.4 US Government Notes and Bonds 4.5 US Treasury Quotations
4.6 US Treasury Strips 4.7 Bond Pricing 4.8 Pricing Coupon Bonds: Examples
4.9 Detailed Bond Valuation: US Treasury 4.10 Bond Yield 4.11 Reinvestment
Assumptions 4.12 Annual and Semi-Annual Bond Yields 4.13 UK Government
Bonds 4.14 Japanese Government Bonds (JGBs) 4.15 Eurozone Government Bonds
4.16 Chapter Summary 5 Bond Price Sensitivity 5.1 Chapter Overview 5.2 Bond
Market Laws 5.3 Other Factors Affecting Price Sensitivity 5.4 Macaulay's
Duration 5.5 Calculating Macaulay's Duration 5.6 Duration of a Zero 5.7
Modified Duration 5.8 Price Value of a Basis Point 5.9 Convexity 5.10
Measuring Convexity 5.11 Convexity Behaviour 5.12 Portfolio Duration 5.13
Dedication 5.14 Immunization 5.15 Duration-Based Hedges 5.16 Convexity
Effects on Duration Hedges 5.17 Chapter Summary 6 The Yield Curve 6.1
Chapter Overview 6.2 Real and Nominal Interest Rates 6.3 Compounding
Periods 6.4 The Yield Curve Defined 6.5 Theories of Yield Curves 6.6 Zero
Coupon or Spot Rates 6.7 Bootstrapping 6.8 Spot Rates and the Par Curve 6.9
Pricing Models Using Spot Rates 6.10 Forward Rates 6.11 Discount Factors
6.12 Chapter Summary 7 Credit Spreads and Securitization 7.1 Chapter
Overview 7.2 Basics of Credit Spreads 7.3 The Role of the Ratings Agencies
7.4 Credit Spreads and Default Probabilities 7.5 Credit Default Swaps 7.6
Index Credit Default Swaps 7.7 Basket Default Swaps 7.8 Credit-Linked Notes
7.9 Securitization and CDOs 7.10 Rationale for Securitization 7.11
Synthetic CDOs 7.12 Chapter Summary 8 Equity Markets and Equity Investment
8.1 Chapter Overview 8.2 Comparing Corporate Debt and Equity 8.3 Additional
Features of Common Stock 8.4 Hybrid Securities 8.5 Equity Investment Styles
8.6 Efficient Markets 8.7 Modern Portfolio Theory (MPT) 8.8 Primary Markets
for Common Stock 8.9 Subsequent Common Stock Issues 8.10 Secondary Markets:
Major Stock Markets 8.11 Depository Receipts 8.12 Stock Lending 8.13
Portfolio (Basket) Trading 8.14 Chapter Summary 9 Equity Fundamental
Analysis 9.1 Chapter Overview 9.2 Principles of Common Stock Valuation 9.3
The Balance Sheet Equation 9.4 The Income Statement 9.5 Earnings Per Share
(EPS) 9.6 Dividend Per Share (DPS) 9.7 Ratio Analysis 9.8 Liquidity Ratios
9.9 Profitability Ratios 9.10 Leverage Ratios 9.11 Investor Ratios and
Valuation 9.12 Applying Valuation Multiples 9.13 Firm or Enterprise Value
Multiples 9.14 Chapter Summary 10 Cash Flow Models in Equity Valuation 10.1
Chapter Overview 10.2 The Basic Dividend Discount Model 10.3 Constant
Dividend Growth Models 10.4 The Implied Return on a Share 10.5 Dividend
Yield and Dividend Growth 10.6 Price/Earnings Ratio 10.7 Stage Dividend
Discount Models 10.8 Two-Stage Model: Example 10.9 The Capital Asset
Pricing Model (CAPM) 10.10 Beta 10.11 Estimating the Market Risk Premium
10.12 The Equity Risk Premium Controversy 10.13 CAPM and Portfolio Theory
10.14 Free Cash Flow Valuation 10.15 Forecasting Free Cash Flows 10.16
Weighted Average Cost of Capital (WACC) 10.17 Residual Value 10.18 WACC and
Leverage 10.19 Assets Beta Method 10.20 Company Value and Leverage 10.21
Chapter Summary 11 Interest Rate Forwards and Futures 11.1 Chapter Overview
11.2 Forward Rate Agreements (FRAs) 11.3 FRA Application: Case Study 11.4
Borrowing Costs with an FRA Hedge 11.5 FRA Market Quotations 11.6 The
Forward Interest Rate 11.7 Financial Futures 11.8 CME Eurodollar Futures
11.9 Eurodollar Futures Quotations 11.10 Futures Margining 11.11 Margining
Example: EURIBOR Futures on Eurex 11.12 Hedging with Interest Rate Futures:
Case Study 11.13 Futures Strips 11.14 Chapter Summary Appendix: Statistics
on Derivatives Markets 12 Bond Futures 12.1 Chapter Overview 12.2
Definitions 12.3 The CBOT 30-Year US Treasury Bonds Futures 12.4 Invoice
Amount and Conversion Factors 12.5 Long Gilt and Euro-Bund Futures 12.6
Forward Bond Price 12.7 Carry Cost 12.8 The Implied Repo Rate 12.9 The
Cheapest to Deliver (CTD) Bond 12.10 CTD Behaviour 12.11 Hedging with Bond
Futures 12.12 Basis Risk 12.13 Hedging Non-CTD Bonds 12.14 Using Futures in
Portfolio Management 12.15 Chapter Summary 13 Interest Rate Swaps 13.1
Chapter Overview 13.2 Swap Definitions 13.3 The Basic Interest Rate Swap
Illustrated 13.4 Typical Swap Applications 13.5 Interest Rate Swap:
Detailed Case Study 13.6 Interest Rate Swap Terms 13.7 Comparative
Advantage 13.8 Swap Quotations and Spreads 13.9 Determinants of Swap
Spreads 13.10 Hedging Swaps with Treasuries 13.11 Cross-Currency Swaps:
Case Study 13.12 Cross-Currency Swap Revaluation 13.13 Chapter Summary
Appendix: Swap Variants 14 Interest Rate Swap Valuation 14.1 Chapter
Overview 14.2 Valuing a Swap at Inception 14.3 Valuing the Swap Components
14.4 Swap Revaluation 14.5 Revaluation Between Payment Dates 14.6 The
Forward Rate Method 14.7 Forward Rate Method on a Spreadsheet 14.8 Swap
Rates and LIBOR Rates 14.9 Pricing a Swap from Futures 14.10 Hedging
Interest Rate Risk on Swaps 14.11 Chapter Summary 15 Equity Index Futures
and Swaps 15.1 Chapter Overview 15.2 Index Futures 15.3 Margining
Procedures 15.4 Final Settlement and Spread Trades 15.5 Hedging with Index
Futures: Case Study 15.6 Hedge Efficiency 15.7 Other Uses of Index Futures
15.8 Pricing an Equity Forward Contract 15.9 Index Futures Fair Value 15.10
The Basis 15.11 Index Arbitrage Trade 15.12 Running an Arbitrage Desk 15.13
Features of Index Futures 15.14 Equity Swaps 15.15 Managing the Risks on
Equity Swaps 15.16 Structuring Equity Swaps 15.17 Benefits and Applications
of Equity Swaps 15.18 Chapter Summary 16 Fundamentals of Options 16.1
Chapter Overview 16.2 Definitions 16.3 Basic Option Trading Strategies 16.4
Long Call: Expiry Payoff Profile 16.5 Short Call: Expiry Payoff Profile
16.6 Long Put: Expiry Payoff Profile 16.7 Short Put: Expiry Payoff Profile
16.8 Summary: Intrinsic and Time Value 16.9 CBOE Stock Options 16.10 CME
S&P 500 Index Options 16.11 Stock Options on LIFFE 16.12 FT-SE 100 Index
Options 16.13 Chapter Summary Appendix: Exotic Options 17 Option Valuation
Models 17.1 Chapter Overview 17.2 Fundamental Principles: European Options
17.3 Synthetic Forwards and Futures 17.4 American Options and Early
Exercise 17.5 Binomial Trees 17.6 Expanding the Tree 17.7 Black-Scholes
Model 17.8 Black-Scholes Assumptions 17.9 Chapter Summary Appendix:
Measuring Historic Volatility 18 Option Pricing and Risks 18.1 Chapter
Overview 18.2 Intrinsic and Time Value Behaviour 18.3 Volatility Assumption
and Option Pricing 18.4 DELTA ("OR ¿) 18.5 Delta Behaviour 18.6 GAMMA ("OR
³) 18.7 Readjusting the Delta Hedge 18.8 Gamma Behaviour 18.9 THETA (?)
18.10 Vega 18.11 Rho (p) and Summary of Greeks 18.12 Chapter Summary
Appendix: Delta and Gamma Hedging 19 Option Strategies 19.1 Chapter
Overview 19.2 Hedging with Put Options 19.3 Covered Call Writing 19.4
Collars 19.5 Bull and Bear Spreads 19.6 Other Spread Trades 19.7 Volatility
Revisited 19.8 Volatility Trading: Straddles and Strangles 19.9 Current
Payoff Profiles 19.10 Profits and Risks on Straddles 19.11 Chapter Summary
20 Additional Option Applications 20.1 Chapter Overview 20.2 OTC and
Exchange-traded Currency Options 20.3 Hedging FX Exposures with Options:
Case Study 20.4 Pricing Currency Options 20.5 Interest Rate Options 20.6
Exchange-Traded Interest Rate Options 20.7 Caps, Floors, and Collars 20.8
Interest Rate Cap: Case Study 20.9 Pricing Caps and Floors: Black Model
20.10 Swaptions 20.11 Interest Rate Strategies 20.12 Convertible Bonds
20.13 CB Measures of Value 20.14 Conversion Premium and Parity 20.15
Convertible Arbitrage 20.16 Chapter Summary Glossary of Financial Terms
Index

Rezensionen

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