TAILIEUCHUNG - Lecture notes in Finance 2

The main contents of this chapter include all of the following: Forwards and futures, interest rate calculations, bond portfolios and hedging, interest rate models, basic properties of options, the binomial option pricing model, the black-scholes model, FX and interest rate options, trading volatility. | Lecture Notes in Finance 2 (MiQE/F, MSc course at UNISG) Paul Söderlind1 7 January 2017 1 University of St. Gallen. Address: s/bf-HSG, Rosenbergstrasse 52, CH-9000 St. Gallen, Switzerland. E-mail: . Document name: . Contents 15 Forwards and Futures Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Forward and Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . Appendix: Data Sources . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 5 14 16 Interest Rate Calculations Zero Coupon (discount or bullet) Bonds . . . . Forward Rates . . . . . . . . . . . . . . . . . . Coupon Bonds . . . . . . . . . . . . . . . . . Price and Yield to Maturity of Bond Portfolios . Swap and Repo . . . . . . . . . . . . . . . . . Estimating the Yield Curve . . . . . . . . . . . Conventions on Important Markets . . . . . . Other Instruments . . . . . . . . . . . . . . . . Appendix: More on Forward Rates . . . . . . : More Details on Bond Conventions . . . . . . . . . . 15 15 20 22 31 32 36 43 46 50 53 . . . . 58 58 59 66 71 18 Interest Rate Models Empirical Properties of Yield Curves . . . . . . . . . . . . . . . . . . . . Yield Curve Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Interest Rates and Macroeconomics . . . . . . . . . . . . . . . . . . . . 76 76 78 86 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 Bond Portfolios and Hedging Bond Hedging . . . . . . . . . . . . . . . . . . . . . . . . . Duration: Definitions . . . . . . . . . . . . . . . . . . . . . Using Duration to Improve the Hedging of a Bond Portfolio Problems with Duration Hedging . . . . . . . . . . . . . . .

• Kinh tế học
• Lecture notes in Finance 2
• Bài giảng Tài chính 2
• Interest rate calculations
• Bond portfolios
• Interest rate models
• Basic properties of options