List of Tables. Sr. No. Table

Transcription

1 List of Tables Salient features of Centuries on Derivatives Effect of Stock and Index Futures on Cash Stock Market Effect of Stock and Index Options on Cash StockMarket Chronological Study showing percentages of derivative 25 users Summary of Equity Derivatives related literature Summary of literature related to Foreign Exchange 43 Derivatives Summary of literature related to Derivatives in General Currency wise access to onshore forward market by nonresidents Currency wise notional amounts outstanding in the OTC 57 Derivatives market from 2000 to Interest rates combination to two firms Calculation of QSD for the Swap deal Calculation of the net gain to the Bank Interest rates offered to two firms Calculation of QSD for the Swap deal Calculation of the net gain to the Bank for currency 61 Swap Inflows and outflows from Currency Swap Interest rates offered at different maturity periods Calculation of the Fixed agreed upon rate for interest 66 rate swap contract Distinction between futures and forwards The contract specifications for S & P Nifty Futures Calculation of arbitrage profit from nifty futures in bearish trend 74 xvi

2 Calculation of arbitrage profit form nifty futures in 74 bullish trend Calculations for Weighted beta of portfolio Calculation of Total Market Value Calculations of net gain from beta hedging Pay off and interest rate calculations for with and 81 without FRA contract LIBOR rates are available for various terms of maturity Year wise trading of interest rate futures at NSE Value of portfolio at expiration time T Example-1 of (Conversion) arbitrage for non- put-call 105 parity situation Example-2 of (Reverse Conversion) arbitrage for non- 105 put-call parity situation Call and Put Option Greek valuation formula The effective cost of borrowing with and without opting 119 for call option for different LIBOR The effective return on lending with and without opting 121 for Put option for different LIBOR LIBOR for different value dates maturity Calculations of net cash flows with and without interest 123 rate cap Calculation of net cash flows with and without collar Effective cost of loan with and without collar 125 (annualized) Term structure of interest rates Calculation of fixed rate for three-year swap The payoff from FRC and Range forward contract at 129 different exchange rates The contract value for FRC and Range forward contract 131 for different exchange rates The contract value of FRC and Participating Forward 133 Contract for different exchange rates Various option strategies Example of Strangle Strategy Calculation of Payoff from Strangle Strategy 141 xvii

3 Example of Strip Strategy Calculation of Payoff from Strip Strategy Example of Strap Strategy Calculation of Payoff from Strap Strategy Example of Bullish Vertical Spread using Call Strategy Calculation of Payoff from Bullish Vertical Spread 144 using Call Example of Bearish Vertical Spread using Call Strategy Calculation of Payoff from Bearish Vertical Spread 145 using Call Example of Long Butterfly Spread Strategy Calculation of Payoff from Long Butterfly Spread 147 Strategy Example of Ratio Spread Strategy Using Call Calculation of Payoff from Ratio Spread Strategy Using 149 Call Example of Box Strategy Calculation of Payoff from Box Strategy Example Bullish Calendar Spread Calculation of Payoff from Bullish Calendar Spread Transactions of derivatives entered into by P & G at 157 different dates Summary:1 of cases loss from derivatives Summary:2 of cases loss from derivatives Contract Specifications for Currency Futures at NSE RBI Reference Exchange rates for INR/$ and INR/ for 172 different dates Trading of OTC forex Derivatives (in %) 184 xviii

4 Sr. No. Table Trading of Equity Linked OTC Derivatives (in %) Trading of Equity Derivatives (in %) at NSE between and Trading of Equity Derivatives (in %) at NSE between and Division of OTC Derivatives Traded between Dec and June 2008 (in%) Division of Exchange Traded Derivatives between Dec and Sept., 2008 (in %) in World Reasons for not Using Derivatives Distribution of various objectives for using Derivatives Frequency distribution for using derivatives for arbitrage Frequency distribution for using derivatives for Speculation Frequency distribution for using derivatives for Hedging Use of derivatives for hedging less than one year Use of derivatives for hedging more than one year Various Concern for use of derivatives Degree of Concern for Credit risk for use of derivatives Degree of Concern for Market risk for use of derivatives Degree of Concern for Liquidity risk for use of derivatives Degree of Concern for Lack of Knowledge for use of 196 derivatives Proportion invested in Various Equity Derivatives Instruments Investors using Software for swap pricing Investors using Software for Option pricing Preference of investors for using software for Futures 200 pricing Reasons for not using Derivatives by Equity Investors Frequency distribution for various objectives of Derivatives Calculation of Chi-square for testing relationship of 203 frequency with objective of using derivatives Statistics for using derivatives with various objectives xix

5 Sr. No. Table Statistics for Concerns for various risks in trading with derivatives by investors Statistics for division of investment among various equity derivatives tools being used by investors Cross tabulation for testing hypothesis Chi square Calculation Spearman s rho Calculations using SPSS Percentages invested in Stock Derivatives Measures of Association (Eta) Cross tabulation (Using Software for Option pricing * Using software for Futures Pricing) Chi-Square Tests using SPSS Symmetric Measures ( Phi and Cramer s V) Correlations between purposes of using derivatives Correlations between timings of hedging Cross tabulation for frequency of valuing derivatives 212 and using documented policy for derivatives Chi-Square Tests using SPSS Symmetric Measures (Phi and Cramer s V) Ranks for various applications of Derivatives Test Statistics using SPSS Statistics for Hedging Horizon Ranks for Hedging Horizon Test Statistics for Chi-square using SPSS Descriptive Statistics for altering time or size of 215 derivatives position with market wide changes Ranks for responses to market wide factors change Test Statistics for Friedman Test using SPSS Statistics for One-Sample Kolmogorov-Smirnov Test 216 using SPSS Descriptive statistics for Friedman Test :( K related 216 samples) using SPSS Mean Ranks for not using Derivatives (using SPSS) Test Statistics for Friedman Test using SPSS Summary of Results of Hypotheses Testing xx