Market Risk Analysis, Volume III, Pricing, Hedging and Trading Financial Instruments / Wiley Finance Series (PDF)

List of Figures. List of Tables. List of Examples. Foreword. Preface to Volume III. III.1 Bonds and Swaps. III.1.1 Introduction. III.1.2 Interest Rates. III.1.3 Categorization of Bonds. III.1.4 Characteristics of Bonds and Interest Rates. III.1.5 Duration and Convexity. III.1.6 Bonds with Semi-Annual and Floating Coupons. III.1.7 Forward Rate Agreements and Interest Rate Swaps. III.1.8 Present Value of Basis Point. III.1.9 Yield Curve Fitting. III.1.10 Convertible Bonds. III.1.10.1 Characteristics of Convertible Bonds. III.1.10.2 Survey of Pricing Models for Convertible Bonds. III.1.11 Summary and Conclusions. III.2 Futures and Forwards. III.2.1 Introduction. III.2.2 Characteristics of Futures and Forwards. III.2.3 Theoretical Relationships between Spot, Forward and Futures. III.2.4 The Basis. III.2.5 Hedging with Forwards and Futures. III.2.6 Hedging in Practice. III.2.7 Using Futures for Short Term Hedging. III.2.8 Summary and Conclusions. III.3 Options. III.3.1 Introduction. III.3.2 Foundations. III.3.3 Characteristics of Vanilla Options. III.3.4 Hedging Options. III.3.5 Trading Options. III.3.6 The Black-Scholes-Merton Model. III.3.7 The Black-Scholes-Merton Greeks. III.3.8 Interest Rate Options. III.3.9 Pricing Exotic Options. III.3.10 Summary and Conclusions. III.4 Volatility. III.4.1 Introduction. III.4.2 Implied Volatility. III.4.3 Local Volatility. III.4.4 Modelling the Dynamics of Implied Volatility. III.4.5 Stochastic Volatility Models. III.4.6 Scale Invariance and Hedging. III.4.7 Trading Volatility. III.4.8 Summary and Conclusion. III.5 Portfolio Mapping. III.5.1 Introduction. III.5.2 Risk Factors and Risk Factor Sensitivities. III.5.3 Cash Flow Mapping. III.5.4 Applications of Cash Flow Mapping to Market Risk Management. III.5.5 Mapping an Options Portfolio to Price Risk Factors. III.5.6 Mapping Implied Volatility. III.5.7 Case Study: Volatility Risk in FTSE 100 Options. III.5.8 Summary and Conclusions. References. Index.

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis(John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook(McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander

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