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Managing currency risk using foreign exchange options /
Building on the success of his bestselling Foreign Exchange Options, Alan Hicks has produced this new and invaluable guide to the use of currency options for corporate treasurers and other financial executives. Setting the principal OTC instruments within the company's risk management framework...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge, England : Boca Raton, Fla. :
Woodhead Pub. ; CRC Press,
�2000.
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| Colección: | International treasury management series.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Front Cover; Managing Currency Risk Using Foreign Exchange Options; Copyright Page; Table of Contents; Preface; Acknowledgements; Chapter 1. Short history of foreign exchange options; Development of interbank (over the counter) market; Simple option structures; The arrival of exotics; Corporate awareness; Terms and conditions governing options; Supervision and regulation; Chapter 2. The basics; Foreign exchange (FX); Spot and forward FX; Option definition; Premium; Face value; Call and put; Exercise; Maturity (expiry) date and time; Option style; Strike; Intrinsic value.
- Chapter 3. Option characteristicsFX position; Long call (bought call); Long put (bought put); Call and put together (straddle); Short options; Interim value of options; Underlying position; Chapter 4. The market-place; Over the counter (OTC); Exchange listed options; Comparison (OTC versus exchange listed contracts); Chapter 5. Put-call parity; Synthetic positions; Put-call parity: working example; Other synthetics; Interim values; Chapter 6. Option pricing; Black-Scholes; Input factors for pricing; Volatility; Components of price; Intrinsic value; Time value; Components o f time value.
- Time value effects: non-linear natureTime value effects: ATM versus OTM/ITM options; Time value adjustment through volatility; Pricing terms; Pricing systems; Pricing summary; Chapter 7. Using options for hedging: simple; Calls and puts; Selling options; The risk reversal; Participating forwards; Seagulls; Designing a strategy; Risk manipulation; Chapter 8. The delta and option replication; Understanding the delta; Delta hedging; Option replication; Chapter 9. OTC market practice; Volatility quoting; Exercise procedure; Other practices; Corporate market; How to compare quotes using volatility.
- Chapter 10. Bank relationshipsThe salesperson; The dealer; Is price all that matters?; Guidelines for good relationships; Chapter 11. Using options for hedging: intermediate; Compound options; Forward start options; Average rate options (AVROs); Barrier options; Lookback (optimal) options; Basket options; Chapter 12. Using options for hedging: advanced; The digital (binary or bet) option; Exotic options in strategies; Chapter 13. Risk control; Interim value of options; Risk simulations; Software systems; Chapter 14. Documentation; History of option terms and conditions.
- Market preference: terms and conditionsMaster agreements: summary; 1997 international currency options market (ICOM) terms; Market practice; Schedule of 'Certain matters to be agreed'; The barrier option addendum; Impact of 1997 ICOM; Chapter 15. Counterparty credit risk; Background; Foreign exchange limits; Netting; Option counterparty risk factors; Margins; Master Agreement terms and conditions; Conclusion; Glossary of terms; Appendix I: Currency codes; Appendix II: London Code of Conduct; Appendix III: Exchange contract specifications.