2. Financial Instruments (2.3-2.6)

2.3 Duration as a Risk Measure for Fixed Income Securities

Sensitivity of bond prices: coupon bonds vs. Zero bonds

2.3

Why do we need a special concept “duration”

Explain the Concept of duration and the bank´s benefit of using duration. Describe also the difference between the duration of a Coupon bond and a zero bond with the same maturity and the same (positive)Return.

2.3

What is effective maturity, i.e., duration?

• what is the Formel

2.3

Immunization at the duration date

Graphiken

Immunization= Schutz eines Portfolios vor Zinsänderungsrisiken

2.3

Characteristics properties of the duration measure

2.3

Duration exercise

Anhand den Tutorials

2.3

Convexity of bonds

DURATION IS ONLY VALID FOR SMALL INTEREST CHANGES!!!!!!!!!

2.3

Perspectives: interest rates sensitivity and bank management

2.4 Markets for Derivatives

Definition

• Derivative

• Underlying asset

What for types of categories of derivatives are there?

2.4

Global OTC derivatives markets

2.4

2.5 Forwards and Futures

Payoff profile

What is a long and a Short forward contract??

Meaning behind the Playoff of the long and the Short Position??

2.5 Basic comparison

Man muss 3 Nennen und Erklären Auswahl=2,3,4

2.5

Arbitrage-fee valuation of forwards and futures: investment assets

2.5

Arbitrage strategies with forwards and futures

Excercise

2.6 Options (Erklär Video auf ilias)

Definitions

• an Option

• American option

• European option

2.6Payoff profiles and moneyless of options

2.6

Properties of plain vanilla options

2.6

Examples: Call option I

2.6

Examples: Call option II

Erklärung:

2.6

Examples: Put option I

2.6

Examples: Put option II

Nenne Vorteil und die Sicherung von Long put und Long call Strategie