© K. Cuthbertson and D. Nitzsche Figures for Chapter 9 BOND MARKET STRATEGIES (Investments : Spot and Derivatives Markets)

Slides:

Advertisements

Similar presentations

© K. Cuthbertson and D. Nitzsche Figures for Chapter 6 T-BOND FUTURES (Financial Engineering : Derivatives and Risk Management)

Advertisements

© K.Cuthbertson, D. Nitzsche1 Version 1/9/2001 FINANCIAL ENGINEERING: DERIVATIVES AND RISK MANAGEMENT (J. Wiley, 2001) K. Cuthbertson and D. Nitzsche LECTURE.

INVESTMENTS | BODIE, KANE, MARCUS Copyright © 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 15 The Term Structure.

© K. Cuthbertson and D. Nitzsche Figures for Chapter 16 SPOT FX : FUNDAMENTALS AND NOISE TRADERS (Investments : Spot and Derivatives Markets)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 15 INTEREST RATE DERIVATIVES (Financial Engineering : Derivatives and Risk Management)

Copyright © 2000 Addison Wesley Longman Slide #5-1 Chapter Five THE RISK AND TERM STRUCTURE OF INTEREST RATES.

© K. Cuthbertson and D. Nitzsche Figures for Chapter 1 Basic Concepts in Finance (Quantitative Financial Economics)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 21 OPTIONS MARKETS (Investments : Spot and Derivatives Markets)

Version 1.2 Copyright © 2000 by Harcourt, Inc. All rights reserved. Requests for permission to make copies of any part of the work should be mailed to:

© K. Cuthbertson and D. Nitzsche Figures for Chapter 15 THE FOREIGN EXCHANGE MARKET (Investments : Spot and Derivatives Markets)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 10 PORTFOLIO THEORY AND ASSET RETURNS (Investments : Spot and Derivatives Markets)

MANAGING THE FIXED INCOME PORTFOLIO CHAPTER NINETEEN Practical Investment Management Robert A. Strong.

Copyright  2007 McGraw-Hill Australia Pty Ltd PPTs t/a Investments, by Bodie, Ariff, da Silva Rosa, Kane & Marcus Slides prepared by Harminder Singh Chapter.

Lecture Presentation Software to accompany Investment Analysis and Portfolio Management Seventh Edition by Frank K. Reilly & Keith C. Brown Chapter 20.

© K. Cuthbertson and D. Nitzsche Figures for Chapter 5 BASIC STATISTICS (Investments : Spot and Derivatives Markets)

Managing Bond Portfolios

© K. Cuthbertson and D. Nitzsche Figures for Chapter 12 FUTURES OPTIONS (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 19 REAL OPTIONS (Financial Engineering : Derivatives and Risk Management)

Managing Bond Portfolios

© K. Cuthbertson and D. Nitzsche Figures for Chapter 3 INVESTMENT APPRAISAL (Investments : Spot and Derivatives Markets)

© K. Cuthbertson, D. Nitzsche1 Lecture Forward Rates and the Yield Curve The material in these slides is taken from Chapter 8 Investments: Spot and Derivatives.

© K. Cuthbertson and D. Nitzsche Figures for Chapter 11 VALUING FIRMS : CAPITAL STRUCTURE AND THE COST OF CAPITAL (Investments : Spot and Derivatives Markets)

CHAPTER 15 The Term Structure of Interest Rates. Information on expected future short term rates can be implied from the yield curve The yield curve is.

Michael R. Baye, Managerial Economics and Business Strategy, 3e. ©The McGraw-Hill Companies, Inc., 1999 Managerial Economics & Business Strategy Chapter.

Contemporary Investments: Chapter 10 Chapter 10 MANAGING BOND PORTFOLIOS What has happened to the volatility of bond prices? How does the term structure.

© K. Cuthbertson and D. Nitzsche Figures for Chapter 22 Empirical Evidence on the Term Structure (Quantitative Financial Economics)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 1 DERIVATIVES : AN OVERVIEW (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 12 EQUITY FINANCE AND STOCK VALUATION (Investments : Spot and Derivatives Markets)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 5 SHORT-TERM INTEREST RATE FUTURES (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 17 TECHNICAL TRADING RULES (Investments : Spot and Derivatives Markets)

© K.Cuthbertson, D. Nitzsche1 Version 1/9/2001 FINANCIAL ENGINEERING: DERIVATIVES AND RISK MANAGEMENT (J. Wiley, 2001) K. Cuthbertson and D. Nitzsche LECTURE.

© K. Cuthbertson and D. Nitzsche Figures for Chapter 4 CURRENCY FORWARDS AND FUTURES (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 7 BOND MARKETS (Investments : Spot and Derivatives Markets)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 23 VaR : MAPPING CASH FLOWS (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 17 ASSET PRICE DYNAMICS (Financial Engineering : Derivatives and Risk Management)

Term Structure MGT 4850 Spring 2009 University of Lethbridge.

© K. Cuthbertson and D. Nitzsche Figures for Chapter 7 OPTIONS MARKETS (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 22 MARKET RISK (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 18 PRICING INTEREST RATE DERIVATIVES (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 12 Stock Prices : The VAR Approach (Quantitative Financial Economics)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 6 MONEY MARKETS (Investments : Spot and Derivatives Markets)

© K. Cuthbertson and D. Nitzsche Figures for Chapter 8 FORWARD RATES, YIELD CURVES AND THE TERM STRUCTURE (Investments : Spot and Derivatives Markets)

Managing Bond Portfolios

© 2008 Pearson Education Canada5.1 Chapter 5 The Behaviour of Interest Rates.

Valuing risky debt The story teller makes no choice, soon you will not hear his voice. His job is to shed light and not to master. – Garcia, Hunter.

Chapter 11 Managing Fixed-Income Investments Irwin/McGraw-hill © The McGraw-Hill Companies, Inc., 1998 Managing Fixed Income Securities: Basic Strategies.

McGraw-Hill/Irwin Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved. Chapter 16 Managing Bond Portfolios.

INVESTMENTS | BODIE, KANE, MARCUS Chapter Fifteen The Term Structure of Interest Rates Copyright © 2014 McGraw-Hill Education. All rights reserved. No.

McGraw-Hill/Irwin Copyright © 2005 by The McGraw-Hill Companies, Inc. All rights reserved. Chapter 16 Managing Bond Portfolios.

Intermediate Investments F3031 Passive v. Active Bond Management Passive – assumes that market prices are fairly set and rather than attempting to beat.

1 Bond Portfolio Management Term Structure Yield Curve Expected return versus forward rate Term structure theories Managing bond portfolios Duration Convexity.

CHAPTER 16 Investments Managing Bond Portfolios Slides by Richard D. Johnson Copyright © 2008 by The McGraw-Hill Companies, Inc. All rights reserved McGraw-Hill/Irwin.

1 Interest Rate Futures Chapter 6. 2 Day Count Conventions in the U.S. (Page 127) Treasury Bonds:Actual/Actual (in period) Corporate Bonds:30/360 Money.

Chapter 11 Managing Bond Portfolios. Interest Rate Sensitivity (Duration we will cover in Finc420) The concept: Any security that gives an investor more.

Investments, 8 th edition Bodie, Kane and Marcus Slides by Susan Hine McGraw-Hill/Irwin Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights.

Fixed Income portfolio management: - quantifying & measuring interest rate risk Finance 30233, Fall 2010 S. Mann Interest rate risk measures: Duration.

McGraw-Hill/Irwin © 2007 The McGraw-Hill Companies, Inc., All Rights Reserved. Managing Bond Portfolios CHAPTE R 10.

Chapter 11 Managing Bond Portfolios 1. McGraw-Hill/Irwin © 2004 The McGraw-Hill Companies, Inc., All Rights Reserved. Interest Rate Risk A change in market.

 The McGraw-Hill Companies, Inc., 1999 INVESTMENTS Fourth Edition Bodie Kane Marcus Irwin/McGraw-Hill 16-1 Fixed-Income Portfolio Management Chapter.

Demand for Labour Demand for labour is a derived demand, which is determined by the demand for goods and services within the economy. When demand increases,

McGraw-Hill/Irwin Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights reserved Managing Bond Portfolios Chapter 16.

McGraw-Hill/Irwin © 2007 The McGraw-Hill Companies, Inc., All Rights Reserved. Managing Bond Portfolios CHAPTER 10.

Interest Rates Chapter 4 (part 2)

The Term Structure of Interest Rates

Managing Bond Portfolios

Figure 17. 1: An Example of a One-Factor Spot Rate Process Figure 17.1: An Example of a One-Factor Spot Rate Process. Actual Probabilities.

Managing Bond Portfolios

© K. Cuthbertson and D. Nitzsche

Managing Bond Portfolios

IV. Fixed-Income Securities

Presentation transcript:

© K. Cuthbertson and D. Nitzsche Figures for Chapter 9 BOND MARKET STRATEGIES (Investments : Spot and Derivatives Markets)

© K. Cuthbertson and D. Nitzsche Figure 9.1 : Duration and price changes Price Yield Actual price fall is less than that given by duration Actual price rise exceeds that given by duration P0P0 y-y- y0y0 y+y+

© K. Cuthbertson and D. Nitzsche Figure 9.2 : Cash flow matching L T-2 L T-1 LTLT (2) Bond A L T-2 - C A L T-1 - C A L T +M A (3) Bond B L T-2 - C A - C B C B + M B

© K. Cuthbertson and D. Nitzsche Figure 9.3 : Substitution swap Yield Time to maturity Yield curve QQ : Go long A, short B Wait for A and B to move back to yield curve, QQ Even if curve shifts to ZZ you still win with B Q Z Q Z A B