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- W4244149147 abstract "This chapter illustrates the principal reason why derivative instruments are “popular” - they enable an institution to hedge risk exposure. It looks at the basic concepts necessary for an understanding of the bond basis, and introduces all the key topics. The chapter then introduces the basics of options including a primer on option pricing. It also provides an example of the risk hedging application of an interest-rate option. The most common approach is to consider the asset-swap spread. More sophisticated investors also consider the basis spread between the cash bond and the same-name credit default swap price, which is known as the basis. The chapter then reviews the use of interest-rate swaps from the point of view of the bond-market participant; this includes pricing and valuation and its use as a hedging tool. It finally reviews bond futures contracts and their use for trading and hedging purposes." @default.
- W4244149147 created "2022-05-12" @default.
- W4244149147 date "2018-02-24" @default.
- W4244149147 modified "2023-09-24" @default.
- W4244149147 title "Derivative Instruments and Hedging" @default.
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- W4244149147 doi "https://doi.org/10.1002/9781118791752.ch2" @default.
- W4244149147 hasPublicationYear "2018" @default.
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