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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: Paul.Soderlind@unisg.ch. Document name: Fin2MiQEFAll.TeX. Contents 15 Forwards and Futures 15.1 Derivatives . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15.2 Forward and Futures . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15.3 Appendix: Data Sources . . . . . . . . . . . . . . . . . . . . . . . . . . 5 5 5 14 16 Interest Rate Calculations 16.1 Zero Coupon (discount or bullet) Bonds . . . . 16.2 Forward Rates . . . . . . . . . . . . . . . . . . 16.3 Coupon Bonds . . . . . . . . . . . . . . . . . 16.4 Price and Yield to Maturity of Bond Portfolios . 16.5 Swap and Repo . . . . . . . . . . . . . . . . . 16.6 Estimating the Yield Curve . . . . . . . . . . . 16.7 Conventions on Important Markets . . . . . . 16.8 Other Instruments . . . . . . . . . . . . . . . . 16.9 Appendix: More on Forward Rates . . . . . . 16.10Appendix: 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 18.1 Empirical Properties of Yield Curves . . . . . . . . . . . . . . . . . . . . 18.2 Yield Curve Models . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18.3 Interest Rates and Macroeconomics . . . . . . . . . . . . . . . . . . . . 76 76 78 86 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 Bond Portfolios and Hedging 17.1 Bond Hedging . . . . . . . . . . . . . . . . . . . . . . . . . 17.2 Duration: Definitions . . . . . . . . . . . . . . . . . . . . . 17.3 Using Duration to Improve the Hedging of a Bond Portfolio 17.4 Problems with Duration Hedging . . . . . . . . . . . . . . .