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Referenz:
Parameswaran (2011): Fundamentals of Financial Instruments
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Verf./Hrsg./KS:
Titel:
Fundamentals of Financial Instruments
Untertitel:
An Introduction to Stocks, Bonds, Foreign Exchange, and Derivatives
Ort: Verl.:
Jahr:
2011
Faksimile:
Kleinbild
Deskribierung:
Inhalt:
Chapter 1 An Introduction to Financial Institutions,
Instruments, and Markets 1
The Role of an Economic System 1
A Command Economy 2
A Market Economy 3
Classification of Economic Units 4
An Economy′s Relationship with the External World 7
The Balance of Trade 9
The Current Account Balance 9
Financial Assets 10
Primary Markets and Secondary Markets 22
Exchanges and OTC Markets 24
Brokers and Dealers 27
The Need for Brokers and Dealers 29
Trading Positions 31
The Buy Side and the Sell Side 31
Investment Bankers 32
Direct and Indirect Markets 33
Mutual Funds 36
Money and Capital Markets 40
The Eurocurrency Market 41
The International Bond Market 43
Globalization of Equity Markets 45
Dual Listing 46
Fungibility 49
Risk 51
After the Trade: Clearing and Settlement 54
Dematerialization and the Role of a Depository 54
Custodial Services 55
Globalization: The New Mantra 56

Chapter 2 Mathematics of Finance 59
Interest Rates 59
The Real Rate of Interest 60
The Fisher Equation 60
Simple Interest 64
Compound Interest 66
Properties 68
A Symbolic Derivation 71
Principle of Equivalency 72
Continuous Compounding 73
Future Value 74
Present Value 76
Handling a Series of Cash Flows 77
The Internal Rate of Return 79
Evaluating an Investment 79
Annuities: An Introduction 82
Perpetuities 87
The Amortization Method 88
Amortization with a Balloon Payment 91
The Equal Principal Repayment Approach 92
Types of Interest Computation 93
Loans with a Compensating Balance 94

Chapter 3 Equity Shares, Preferred Shares, and Stock
Market Indexes 97
Introduction 97
Par Value versus Book Value 99
Voting Rights 100
Statutory versus Cumulative Voting 101
Proxies 101
Dividends 102
Dividend Yield 104
Dividend Reinvestment Plans 105
Stock Dividends 106
Treasury Stock 107
Splits and Reverse Splits 108
Costs Associated with Splits and Stock Dividends 110
Preemptive Rights 110
Interpreting Stated Ratios 113
Handling Fractions 113
Physical Certificates versus Book Entry 114
Tracking Stock 115
Report Cards 115
Types of Stocks 115
Risk and Return and the Concept of Diversification 116
Preferred Shares 119
Callable Preferred Stock 120
Convertible Preferred Shares 121
Cumulative Preferred Shares 122
Adjustable Rate Preferred Shares 124
Participating Preferred Shares 125
Dividend Discount Models 125
A General Valuation Model 125
The Constant Growth Model 126
The Two-Stage Model 127
The Three-Stage Model 128
The H Model 130
Stock Market Indexes 131
Price-Weighted Indexes 131
Changing the Divisor 133
The Importance of Price 135
Value-Weighted Indexes 136
Changing the Base-Period Capitalization 139
Equally Weighted Indexes 140
Tracking Portfolios 141
The Free-Floating Methodology 149
Well-Known Global Indexes 150
Margin Trading and Short Selling 150
Terminology 150
Maintenance Margin 156
Regulation T and NYSE and NASD Rules 157
Short Selling 157

Chapter 4 Bonds 167
Valuation of a Bond 170
Par, Premium, and Discount Bonds 172
Evolution of the Price 173
Zero-Coupon Bonds 175
Valuing a Bond in between Coupon Dates 176
Day-Count Conventions 177
Actual Actual 177
The Treasury′s Approach 179
Corporate Bonds 180
Accrued Interest 181
Yields 183
Taxable-Equivalent Yield 192
Credit Risk 194
Bond Insurance 195
Equivalence with Zero-Coupon Bonds 195
The Yield Curve and the Term Structure 199
Bonds with Embedded Options 206
Price Volatility 211
Duration and Price Volatility 214
Dollar Duration 215
Convexity 215
Treasury Auctions 219
When Issued Trading 223
Price Quotes 223
Bond Futures 224
STRIPS 225

Chapter 5 Money Markets 227
Introduction 227
Market Supervision 231
The Interbank Market 234
Interest-Computation Methods 238
Term Money Market Deposits 240
Federal Funds 240
Correspondent Banks: Nostro and Vostro Accounts 242
Payment Systems 243
Fed Funds and Reserve Maintenance 244
Treasury Bills 245
Yields on Discount Securities 246
Discount Rates and T-Bill Prices 247
Primary Dealers and Open-Market Operations 257
Commercial Paper 271
Letters of Credit and Bank Guarantees 272
Yankee Paper 274
Credit Rating 275
Bills of Exchange 277
Eurocurrency Deposits 280
Money Market Futures 282

Chapter 6 Forward and Futures Contracts 283
Introduction 283
Spot Futures Equivalence 296
Cash-and-Carry Arbitrage 299
Synthetic Securities 300
The Case of Assets Making Payouts 301
Physical Assets 303
The Case of Multiple Deliverable Grades 307
Trading Volume and Open Interest 314
Cash Settlement 316
Hedging and Speculation 317
Estimation of the Hedge Ratio and the Hedging
Effectiveness 321
Speculation 322
Leverage 325
Contract Value 325
Forward versus Futures Prices 327
Locking in Borrowing and Lending Rates 327
Hedging the Rate of Return on a Stock Portfolio 329
Changing the Beta 331
Program Trading 332
Stock Picking 336
Portfolio Insurance 338
The Importance of Futures 340

Chapter 7 Options Contracts 343
Moneyness 349
Exchange-Traded Options 350
Speculation with Options 369
The Two-Period Model 378
Valuation of European Put Options 381
Valuing American Options 382
Implementing the Binomial Model in Practice 383
The Black-Scholes Model 384
The Greeks 387
Option Strategies 388

Chapter 8 Foreign Exchange 405
Introduction 405
Currency Codes 406
European Terms and American Terms 408
Appreciating and Depreciating Currencies 409
Converting Direct Quotes to Indirect Quotes 410
The Impact of Spreads on Returns 412
Arbitrage in Spot Markets 413
Cross Rates 417
Value Dates 418
The Forward Market 419
Outright Forward Rates 420
Swap Points 420
Broken-Dated Contracts 422
A Perfect Market 424
The Cost 426
Interpretation of the Swap Points 430
Short-Date Contracts 431
Option Forwards 434
Nondeliverable Forwards 438
Futures Markets 438
Hedging Using Currency Futures 441
Exchange-Traded Foreign Currency Options 444
The Garman-Kohlhagen Model 446
Put-Call Parity 448
The Binomial Model 448

Chapter 9 Mortgages and Mortgage-Backed Securities 451
Introduction 451
Market Participants 451
Government Insurance and Private Mortgage
Insurance 454
Risks in Mortgage Lending 455
Other Mortgage Structures 457
Negative Amortization 463
Graduated-Payment Mortgage 465
WAC and WAM 467
Pass-Through Securities 468
Extension Risk and Contraction Risk 492
Accrual Bonds 492
Floating-Rate Tranches 497
Notional Interest Only Tranche 498
Interest-Only and Principal-Only Strips 500
PAC Bonds 500
Agency Pass-Throughs 506

Chapter 10 Swaps 509
Introduction 509
Contract Terms 512
Market Terminology 514
Inherent Risk 515
The Swap Rate 515
Illustrative Swap Rates 515
Determining the Swap Rate 516
The Market Method 518
Valuation of a Swap During Its Life 519
Terminating a Swap 520
The Role of Banks in the Swap Market 521
Comparative Advantage and Credit Arbitrage 523
Swap Quotations 524
Matched Payments 525
Currency Swaps 526
Cross-Currency Swaps 528
Currency Risks 530
Hedging with Currency Swaps 530


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