Financial Risk Manager Handbook

Contents
Prefacexix
Introductionxxi
Ch.1BondFundamentals3
Ch.2FundamentalsofProbability31
PartI:QuantitativeAnalysis1
vii
1.1DiscountingPresentandFutureValue3
1.2Price-YieldRelationship6
1.2.1Valuation6
1.2.2TaylorExpansion7
1.2.3BondPriceDerivatives.9
1.2.4InterpretingDurationandConvexity16
1.2.5PortfolioDurationandConvexity23
1.3AnswerstoChapterExamples.26
2.1CharacterizingRandomVariables.31
2.1.1UnivariateDistributionFunctions.32
2.1.2Moments33
2.2MultivariateDistributionFunctions37
2.3FunctionsofRandomVariables40
2.3.1LinearTransformationofRandomVariables41
2.3.2SumofRandomVariables.42
2.3.3PortfoliosofRandomVariables.42
2.3.4ProductofRandomVariables43
2.3.5DistributionsofTransformationsofRandomVariables44
2.4ImportantDistributionFunctions.46
2.4.1UniformDistribution46
2.4.2NormalDistribution.47
2.4.3LognormalDistribution.51
2.4.4Student抯Distribution.54
2.4.5BinomialDistribution56
2.5AnswerstoChapterExamples.57
t
Ch.3FundamentalsofStatistics63
Ch.4MonteCarloMethods83
Ch.5IntroductiontoDerivatives105
PartII:CapitalMarkets103
viii
3.1RealData63
3.1.1MeasuringReturns.64
3.1.2TimeAggregation65
3.1.3PortfolioAggregation66
3.2ParameterEstimation69
3.3RegressionAnalysis71
3.3.1BivariateRegression72
3.3.2Autoregression.74
3.3.3MultivariateRegression.74
3.3.4Example.75
3.3.5PitfallswithRegressions77
3.4AnswerstoChapterExamples.80
4.1SimulationswithOneRandomVariable83
4.1.1SimulatingMarkovProcesses84
4.1.2TheGeometricBrownianMotion84
4.1.3SimulatingYields88
4.1.4BinomialTrees.89
4.2ImplementingSimulations.93
4.2.1SimulationforVAR.93
4.2.2SimulationforDerivatives.93
4.2.3Accuracy94
4.3MultipleSourcesofRisk96
4.3.1TheCholeskyFactorization.97
4.4AnswerstoChapterExamples.99
5.1OverviewofDerivativesMarkets105
5.2ForwardContracts.107
5.2.1Definition107
5.2.2ValuingForwardContracts.110
5.2.3ValuinganOff-MarketForwardContract112
5.2.4ValuingForwardContractswithIncomePayments.113
5.3FuturesContracts117
5.3.1DefinitionsofFutures117
5.3.2ValuingFuturesContracts.119
5.4SwapContracts.119
5.5AnswerstoChapterExamples.120
CONTENTS
FinancialRiskManagerHandbookSecondEdition
Ch.6Options123
Ch.7Fixed-IncomeSecurities153
Ch.8Fixed-IncomeDerivatives187
ix
6.1OptionPayoffs.123
6.1.1BasicOptions123
6.1.2Put-CallParity126
6.1.3CombinationofOptions128
6.2ValuingOptions132
6.2.1OptionPremiums132
6.2.2EarlyExerciseofOptions134
6.2.3Black-ScholesValuation.136
6.2.4Marketvs.ModelPrices.142
6.3OtherOptionContracts.143
6.4ValuingOptionsbyNumericalMethods146
6.5AnswerstoChapterExamples.149
7.1OverviewofDebtMarkets.153
7.2Fixed-IncomeSecurities.156
7.2.1InstrumentTypes156
7.2.2MethodsofQuotation158
7.3AnalysisofFixed-IncomeSecurities160
7.3.1TheNPVApproach.160
7.3.2Duration.163
7.4SpotandForwardRates165
7.5Mortgage-BackedSecurities.170
7.5.1Description.170
7.5.2PrepaymentRisk174
7.5.3FinancialEngineeringandCMOs177
7.6AnswerstoChapterExamples.183
8.1ForwardContracts.187
8.2Futures.190
8.2.1EurodollarFutures.190
8.2.2T-bondFutures.193
8.3Swaps195
8.3.1Definitions.195
8.3.2Quotations.197
8.3.3Pricing197
8.4Options.201
8.4.1CapsandFloors.202
8.4.2Swaptions204
8.4.3Exchange-TradedOptions206
8.5AnswerstoChapterExamples.207
CONTENTS
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