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”

• what is the concept duration??

2.3

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

• what is the Formel

2.3

Immunization at the duration date

Graphiken

2.3

Duration in portfolio management

2.3

Characteristics properties of the duration measure

2.3

Duration exercise

Anhand den Tutorials

2.3

Convexity of bonds

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

2.5

Basic comparison

2.5

Arbitrage-fee valuation of forwards and futures: investment assets

2.5

Arbitrage strategies with forwards and futures

Excercise

2.6 Options

Definitions

• an adoption

• American option

• European option

2.6

Payoff profiles and moneyless of options

2.6

Properties of plain vanilla options

2.6

Examples: Call option I

2.6

Examples: Call option II

2.6

Examples: Put option I

2.6

Examples: Put option II