Philippe Dufournier

Derivatives Unlocked (eBook, PDF)

A Practitioner's Perspective

• Format: PDF

Produktbeschreibung

Derivatives Unlocked: A Practitioner's Perspective offers the reader a practical explanation of the key concepts behind the design of financial derivatives. Resolutely selective and user-friendly, this book constitutes a hands-on introduction to both the structuring and use cases of derivatives products in modern global finance.

The book is organised around two parallel streams of content. On the one hand, the Derivatives Toolbox comes as a set of pricing rules that underpin the building blocks of most derivatives products, namely discounting, duration and convexity, interest rates and credit default swaps, forwards and options. The methodology is approachable, simplified whenever possible, and does not require advanced mathematical training.

On the other hand, the Case Studies, largely inspired by real European corporate finance and corporate risk management situations, allow the reader to (i) make explicit use of the techniques learned as he or she progresses through the Toolbox and (ii) to grasp the effective power of derivatives solutions.

Features:

• Easy to follow for non-specialists, helping them build a solid and empirical foundation to encourage continued learning.
• Provides a unique insight, balanced between the acquisition of technical tools and their practical applications
• Contains numerous case studies and other support material making it suitable for both students and practitioners.

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Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 344
• Erscheinungstermin: 30. Dezember 2024
• Englisch
• ISBN-13: 9781040155868
• Artikelnr.: 72593493

Autorenporträt

Philippe Dufournier has spent over 30 years in investment banking in London with a career focused on the structuring, sales and origination of innovative derivatives and capital markets transactions for European corporates and financial institutions.

Throughout the 1990s, he gained significant expertise in derivatives structuring and sales whilst at Bankers Trust in London, a pioneer of the global derivatives markets. He joined Lehman Brothers in 2001 as Head of European Derivatives Structuring and Sales where he founded the Structured Solutions Group. In 2007, he was made Head of Global Finance for EMEA, in charge of Primary Markets Origination and Private Derivatives Solutions. He kept that role as he transitioned to Nomura International in 2008. In 2015 he joined Mediobanca, first as Head of Corporate Lending and Acquisition Finance and then as Head of the UK Branch until 2020.

During his career, Philippe directly contributed to the training and mentoring of over 20 classes of summer interns, analysts and associates. Over the last 3 years, he has been teaching financial derivatives courses in the Finance Masters of the Institute for Finance and Technology at University College London.

Inhaltsangabe

Introduction. What to Expect. The Toolbox. The Case Studies. Defining
Financial Derivatives. The Derivatives Marketplace Structure. Market Size.
Chapter 1. The Toolbox: Risk-Free Rate and Discounting. 1.1 The Derivatives
Risk-Free Rate. 1.2 Compounding and Present Value Calculation. 1.3 The Case
of Discounting Bond Cash Flows. 1.4 Discount Factors. 1.5 Zero-Coupon
Discounting. Chapter 2. The Toolbox: Duration and Convexity. 2.1 The Case
of Fixed Rate Bonds. 2.2 From Fixed Rate Bonds to Discrete Cash Flows. 2.3
Convexity of Fixed Cash Flows. 2.4 The Case of the Austria Bond 2.1% due
2117. Chapter 3. The Toolbox: Interest Rate Swaps. Introduction. 3.1 Fix to
O/N Index Swap. 3.2 Forward-Starting Floating Rate Indices. 3.3 IRS as a
Risk Transfer Tool. 3.4 Unwinding an Interest Rate Swap. 3.5 Terminating a
Bond + Swap Financing. 3.6 RFR and IBOR Swap Curves. Chapter 4. Case Study:
Bond Portfolio Duration Hedging. 4.1 The Bond Portfolio DV01. 4.2 Swaps
PV01. 4.3 Calibrating the Fix Paying Swaps. Chapter 5. Case Study:
Synthetic Fixed Rate Bond Financing. 5.1 Introduction. 5.2 Loan + Swap
Versus Bond Arbitrage. 5.3 Conclusions. Chapter 6. The Toolbox: Forward
Prices. Introduction. 6.1 The Case of Interest Rates. 6.2 A Foreign
Exchange Example. 6.3 The Cost of Carry Replication. 6.4 Forward Prices
Across Asset Classes. 6.5 Shape and Meaning of Forward Curves. 6.6
Combining Forwards Across Asset Classes: The Oilco Example. Chapter 7. The
Toolbox: Credit Default Swaps. 7.1 The Credit Risk Premium. 7.2 Single-Name
Credit Default Swaps. 7.3 CDS Indices. 7.4 Portfolio Credit Default Swaps.
Chapter 8. The Toolbox: Credit and Other Mark-to-Market Induced Risks. 8.1
The Issue at Hand. 8.2 Assessing Potential Mark-to-Market Changes. 8.3
Boiling Down MtM Drivers. 8.4 Hedge Accounting Key Principles. 8.5
Management of Derivatives-Induced Credit Risk. 8.6 Additional
Considerations on MtM Risks. Chapter 9. Case Study: BigCo's Cross-Currency
Swaps and Synthetic Euro Financing. 9.1 Introduction. 9.2 Proposed
Solution. 9.3 Simplified Pricing Methodology. 9.4 Spreadsheet-Based
Pricing. 9.5 The Case of Liberty Global. Chapter 10. Case Study: TNZ's
Strategic Balance Sheet FX Hedging. 10.1 Introduction. 10.2 Nature of the
Balance Sheet FX Risk. 10.3 Possible Solutions. 10.4 The Economics of X-Ccy
Swaps and Forwards. 10.5 Accounting Analysis. 10.6 The Hedging Cost
Trade-Off. 10.7 Execution Considerations. 10.8 The Ukraine Invasion.
Chapter 11. Toolbox: Probability Distribution of Asset Returns.
Introduction. 11.1 Continuous Compounding. 11.2 The Example of the S&P 500
Daily Returns. 11.3 Normal Distributions: Summary Description and
Attributes. 11.4 Using the Normality of Log Returns to Assess Risks.
Chapter 12. Toolbox: Introduction to Options. 12.1 An Intuitive Approach to
Option Pricing. 12.2 Principles of Options Contracts. 12.3 Standard Option
Pay-Off Representations. 12.4 Using Models to Price Options. 12.5 The
Greeks. 12.6 Delta Hedging. 12.7 Non-Standard Options. 12.8
At-The-Money-Forward Options. 12.9 Non-ATMF Option Pricing. Chapter 13.
Case Study: Delco's Hedging and Financing of Single Stock Stake. 13.1
Introduction. 13.2 Pricing of the Collar Strategy. 13.3 NewTech Shares Exit
Price Scenarios. 13.4 Execution Considerations. 13.5 Financing. 13.6
Conclusion. Chapter 14. Case Study: Accelerated Vodafone's Stake
Acquisition and Financing. 14.1 Initial Block of Shares. 14.2 Collar
Structure. 14.3 Financing. Chapter 15. Case Study: TopCo's Leveraged
Employee Shareholding Plan. 15.1 Introduction. 15.2 Leveraged Investment in
Shares. 15.3 Pricing of the ESF Scheme. 15.4 TopCo Call Option's
Back-of-the-Envelope Pricing. 15.5 Execution Considerations. 15.6 The
French Market for Leveraged Employee Plans. Chapter 16. Tool Box:
Structured Notes. 16.1 Securitising Derivatives. 16.2 Capital Protected
Notes. 16.3 Capital-at-Risk Structures. Chapter 17. Case Study: NewBank's
Synthetic Securitisation and Credit-Linked Notes. A Note on Banks' Balance
Sheets. 17.1 Basics on Regulatory Capital. 17.2 The Case of NewBank. 17.3
Synthetic Securitisation Key Principles. 17.4 SPV-Based Funded Structure.
17.5 Credit Protection Agreement. 17.6 NewBank Regulatory Capital Benefits.
17.7 Risk and Reward: The View Point of the CLN Investor. 17.8 The Case of
PGGM. Chapter 18. Case Study: NewBank's Collateral Exchange Financing.
18.1 NewBank's Funding Paradigm. 18.2 Transaction Structure. 18.3
Transaction Terms. 18.4 Pricing and Relative Value.