Essentials of bond pricing (.pptx, 0.44 MB)
Analysis of yield curve (.pptx, 0.41 MB)
Measuring market and credit risk (.pptx, 0.35 MB)
Investment risks from holding bonds (interest rate risk, credit risk, reinvestment risk, inflation risk,liquidity risk, call risk). Macaulay and modified duration. Properties of duration. Immunisation rule. Limitations of immunisation. Convexity. Credit rating and credit spread. Credit yield curves. Risk neutral probabilities of default. Historical probabilities of default.
Mortgages (.pptx, 0.36 MB)
Level-payment mortgage (annuity formula, decomposition of the regular instalment, payment calendar). Prepayments. Traditional mortgage and inflation (tilt effect, affordability problem). Graduated-payment mortgage. Foreign-currency mortgage. Securitization with mortgages (agency deals, private-label deals, sequential and subordination pay structures).
Money market instruments (.pptx, 0.37 MB)
Money market vs. capital market instruments (day/year conventions, annual vs. periodic interest rates). Time deposit (effective and simple return, short-term yield curve, linear interpolation). Certificate of deposit (holding period yield). Treasury bill (discount, bond-equivalent yield). Sale and repurchase agreement (arrangement of repo, legal vs. economic treatment, haircut, funding purchase of bonds, leveraging bond portfolio, major tool of moneatry policy),
Interest rate swap (.pptx, 0.23 MB)
Coupon swap. Speculative trades (risk taking and risk transforming strategies). Arbitrage trades (liability and asset arbitrage swap). New-issues arbitrage. Hedging trades. Warehousing coupon swap (warehousing with bonds and interest rate futures). Valuation of coupon swap (swap rates, swap curve). Basis swap. Esoteric interest rate swaps.
Forward rate agreement (.pptx, 0.41 MB)
Currency and equity swap (.pptx, 0.25 MB)
Exchange rate conventions. Discounts and premiums. Covered interest parity. Outright forward. Forward swap. Currency coupon swap (hedged borrowing, hedged investment, new-issues arbitrage, warehousing). Valuation of currency swaps. Equity swap (fixed and variable notional principal amount). Swaption.
Credit derivatives (.pptx, 0.33 MB)
Basic properties and benefits. Credit default swap (description, applications, pricing, analogy with insurance). Total return swap (description, applications, analogy with leasing). Credit options (credit level and credit spread call and put options). Credit forward. Credit link notes (descriptions, examples). Collateralized debt obligations.
Essentials of futures trading (.pptx, 0.40 MB)
Examples of financial futures (.pptx, 0.41 MB)
Broad categories of financial futures. Stock index futures (closing out, cash settlement). Currency futures (closing out, physical delivery). Short-term interest rate futures (closing out, cash settlement, physical delivery). Long-term interest rate futures (closing out, physical delivery, price factor, cost-of-carry transaction, choosing delivery date, cheapest to deliver bond, implied repo rate).
Cost-of-carry model (.pptx, 0.50 MB)
Carry. No-arbitrage conditions. Cost-of-carry formula (borrowing-cash strategy, borrowing-asset strategy). Carry with two futures contracts. Application for currency forwards (covered interest rate parity, uncovered interest rate parity, non-deliverable forward, carry trade). Application for zero-coupon bonds. Fair price of stock-index futures.
Speculation with futures (.pptx, 0.24 MB)
Arbitrage with futures (.pptx, 0.18 MB)
Hedging with futures (.pptx, 0.44 MB)
Methods of hedging (price-fixing hedge, offsetting hedge). Synthetic price-fixing hedge. Price-fixing hedge with estimated basis. Price-fixing hedge with notional futures. Elements of offsetting hedge (hedge ratio, hedge efficiency). Minimum variance hedge ratio. Hedging stock portfolio. Hedging interest rate risk. Hedging bond portfolio.
Essentials of bond pricing (.pptx, 114.74 MB)
Analysis of yield curve (.pptx, 175.24 MB)
Measuring market and credit risk (.pptx, 160.08 MB)
Mortgages (.pptx, 190.74 MB)
Money market instruments (.pptx, 211.94 MB)
Interest rate swap (.pptx, 214.25 MB)
Forward rate agreement (.pptx, 178.05 MB)
Currency and equity swaps (.pptx, 193.97 MB)
Credit derivatives (.pptx, 231.03 MB)
Essentials of futures trading (.pptx, 209.46 MB)
Examples of financial futures (.pptx, 246.24 MB)
Speculation with futures (.pptx, 137.60 MB)
Arbitrage with futures (.pptx, 123.79 MB)
Hedging with futures (.pptx, 177.59 MB)