Financial Instruments and Markets: A Casebook

Table of Contents

Acknowledgments

About the Authors

1 Introduction

Section 1: FIXED-INCOME SECURITIES

MODULE FI-1: FIXED-INCOME SECURITIES: CONCEPTS

2 Reading Note—Note on Bond Valuation and Returns

3 Case—Deutsche Bank: Finding Relative-Value Trades

4 Reading Note—Note on Duration and Convexity

5 Case—Ticonderoga: Inverse Floating Rate Bond

6 Case—100-Year Liabilities at Prudential Insurance

MODULE FI-2: FIXED-INCOME SECURITIES: APPLICATIONS

7 Case—Deutsche Bank: Discussing the Equity Risk Premium

8 Case—Swedish Lottery Bonds

9 Case—Bank Leu's Prima Cat Bond Fund

10 Case—Catastrophe Bonds at Swiss Re

11 Case—Mortgage Backs at Ticonderoga

12 Case—KAMCO and the Cross-Border Securitization of Korean Non-Performing Loans

13 Case—Nexgen: Structuring Collateralized Debt Obligations (CDOs)

14 Reading Note—Note on Forward Contracts and Swaps

15 Case—The Enron Odyssey (A): The Special Purpose of “SPEs”

Section 2: DERIVATIVE SECURITIES (EQUITY AND INTEREST RATE OPTIONS)

MODULE DS-1: EQUITY OPTIONS: CONCEPTS

16 Reading Note—Note on Basic Option Properties

17 Case—Dell Computer Corporation: Share Repurchase Program

18 Reading Note—Note on Option Valuation

19 Case—Sally Jameson—1999

MODULE DS-2: EQUITY OPTIONS: APPLICATIONS

20 Case—Pine Street Capital

21 Case—Tribune Company: The PHONES Proposal

22 Case—Cox Communications, Inc., 1999

23 Case—DigaMem Inc.

24 Case—ALZA and Bio-Electro Systems (A): Technological and Financial Innovation

MODULE DS-3: CREDIT DERIVATIVES

25 Reading Note—Note on ...