Mastering Derivatives Markets 3e: A step-by-step guide to the products, applications and risks

Table of Contents:
Author's acknowledgements Publisher's acknowledgements Foreword Contributors 1. Background and development of the derivatives markets * Introduction * Definition and key features * Uses of derivatives * Range of derivatives * Increasing use of the Central Counterparty Model (CCP) * Risk and benchmarking * Market volumes * Users and uses of derivatives * Straight Through Processing (STP) 2. Market fundamentals * Introduction * How banks generate income * Three key assumptions * Role and use of LIBOR * Day counts * Financial maths * Calculating forward rates * Marking to market * Yield curves Quiz 3. Derivatives fundamentals * Range of derivatives * What is a vanilla trade? * Settlement * Triggers * Liquidity and credit risk * Understanding the underlying * Benchmarks * Fair value * Dealing with derivatives 4. Basic option concepts * Introduction * Option pricing * Option mechanics 5. Interest rate derivatives single settlement instruments * Background and development * Single settlement interest rate derivatives * Financial futures contracts * Forward rate agreements (FRAs) * Interest rate options (IROs) * Premium determinants Quiz 6. Interest rate derivatives * Introduction * Interest rate caps and floors * Interest rate collars * Interest rate swaps Quiz 7. Benchmarking in the OTC derivatives markets Penny Davenport * Financial benchmarking for derivatives * Operational risk measurements for derivatives * Markit Annual Scorecard * Conclusion 8. Credit derivatives * Introduction * What is credit risk? * Style of trading * Default data * The first deals * Range of credit derivatives * Credit default swaps * Total return swaps 9. Beyond a vanilla CDS Robert Reoch * Introduction * Credit indices * CDOs * Where next? 10. Currency derivatives * Introduction * Over the counter currency options * Currency options: reduced premium strategies * Simple exotic structures * Currency swaps * Exchange-traded instruments * Conclusion Quiz 11. Equity derivatives * Introduction * Background * Single stocks or equity indices? * Stock index futures * Stock index options * Single stock options * Equity index swaps 12. Using equity derivatives in investment products Christopher C. Taylor * Equity investment * The development of the UK and European markets for equity-based retail products * Constructing a capital protected growth product with equity derivatives * Income paying capital-at-risk products * Calculation of income level * The risk to capital * The most common structural variations used in the equity derivative market 13. Commodity derivatives * Introduction * Exchange-traded energy derivatives * Exchange-traded futures contracts * Exchange-traded energy option contracts * OTC or off-exchange' energy derivatives * OTC option products * OTC oil swaps * Overview of electricity market 14. Using derivatives in hedge funds Stuart C. Fiertz * Introduction * Mitigating risk * Increasing exposures * Capturing tax efficiencies * Manoeuvring anonymously * Accessing restricted markets * Trading non-deliverable assets * Shifting operational burdens * Executing with greater precision * Conclusion 15. Derivatives and Technology Chris Horsburgh * Introduction and background * Hardware and software developments * Business drivers for change * Responses * Conclusion 16. Derivatives and documentation * Introduction * Background to the International Swaps and Derivatives Association, Inc. (ISDA) * Products covered by the ISDA Agreement * ISDA heaven vs ISDA Hell 17. STP for OTC derivatives Bill Hodgson * What is STP? * Automation drivers and priorities * Message formats * Central clearing for OTC products * Innovation in trade capture and confirmation * Fundamental issues in processing OTC products * The future of STP for OTC contracts * The backlog' * A central infrastructure for the OTC markets: Trade Information Warehouse * Conclusion 18. Risk and compliance for derivatives Tony Blunden * Introduction * Governance * Risk management practice * Compliance practice * Conclusion 19. First principles of accounting for derivatives Deborah Morton-Dare * Introduction * Fundamental accounting concepts * Reporting requirements * Fair value and mark-to-market accounting * Accruals accounting and amortized cost * Fair value vs hedge accounting * Accounting treatment * International standards * Conclusion an approach to accounting for a new derivatives transaction Glossary Index

About the Author :
Francesca Taylor is the principle of Taylor Associates, one of the City's leading financial training companies, specialising in derivatives, capital markets, risk and treasury training.