An Introduction to
Forward Rate Agreements and Interest Rate Futures
Overview
In this lecture we will cover the following:
Treasury futures
Forward rate agreements
Eurodollar contract
Although traders have specific needs for certain
derivative contra

Mergers and Acquisitions
Lecture 1b
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
M&A laws and regulations
Issuance of new securities (33 Act)
Regulation

Mergers and Acquisitions
Lecture 2a
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
Debrief Interview a CEO
Valuation
Value vs Price
Residual Cash Flow (RC

Group 4:Ghosh, Rituparna ; Zhang, Linghui
Liu, Jiazhuo ;Tu, Shuo-Ting ; Li,Teng
Introduction
The need for outside finance
Is the loan sufficient for the future
Contents
From a banks perspective
From Jones perspective
Conclusion
Introduction
Jones Electric

Mergers and Acquisitions
Lecture 2b
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
Due Diligence in Mergers &
Acquisitions
Think like an investor
3/7/17
Pro

Mergers and Acquisitions
Lecture 1a
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
Course Introduction
Does M&A Pay?
M&A History - Waves
10 Buyers Motivat

Mergers and Acquisitions
Lecture 2a
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
Record groupings
M&A Strategy (Chapt 6)
Deal Search (Chapt 7)
Due Dilig

Mergers and Acquisitions
Lecture 4a
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
Valuing Highly Levered Transactions
Valuing Liquidity Discount and Contro

Derivatives
Lecture 6
Chapter 13: Binomial Trees
Dr Arturo Balana
Spring 2017
Where business is taught with humanity in mind.
Agenda
Binomial Model
The Black-Scholes-Merton Model
Risk-Neutral Valuation
Two Period Binomial Model
Stocks Expected Return Irre

Derivatives
Lecture 1
Chapter 1: Introduction
Chapter 2: Mechanics of Futures Markets
Dr Arturo Balana
Spring 2017
Where business is taught with humanity in mind.
Course information
Instructor:
Prof. Arturo Balana
Email: [email protected]
Textbook: Hull J.

Group 4:Rituparna,Ghosh; Linghui ,Zhang
Jiazhuo ,Liu; Shuo-Ting ,Tu; Teng,Li
Introduction
The need for outside finance
Is the loan sufficient for the future
Contents
From a banks perspective
From Jones perspective
Conclusion
Introduction
Jones Electrical

Derivatives
Lecture 5
Chapter 10: Mechanics of Options Markets
Chapter11: Properties of Stock Options
Chapter 12: Trading Strategies Involving Options
Dr Arturo Balana
Spring 2017
Where business is taught with humanity in mind.
Agenda
Mechanics of Options

Derivatives
Lecture 6
Chapter 13: Binomial Trees
Dr Arturo Balana
Spring 2017
Where business is taught with humanity in mind.
Agenda
Binomial Model
The Black-Scholes-Merton Model
Risk-Neutral Valuation
Two Period Binomial Model
Stocks Expected Return Irre

Derivatives
Lecture 5
Chapter 10: Mechanics of Options Markets
Chapter11: Properties of Stock Options
Chapter 12: Trading Strategies Involving Options
Dr Arturo Balana
Spring 2017
Where business is taught with humanity in mind.
Agenda
Mechanics of Options

Derivatives
Lecture 4
Chapter 6: Interest Rate Futures
Chapter 7: Swaps
Dr Arturo Balana
Spring 2017
Where business is taught with humanity in mind.
Agenda
Interest rate futures
Swaps
Plain vanilla interest rate swaps
Using swaps to transform assets/liabi

Mergers and Acquisitions
Lecture 5a
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
M&A Transaction Structures
Choosing Form of Payment and
Financing
Accret

Mergers and Acquisitions
Lecture 4a
BU.231.740
By Professor Jim Kyung-Soo Liew
Email: [email protected]
Twitter: @ProfJimLiew
Where business is taught with humanity in mind.
Contents
Valuing Highly Levered Transactions
Valuing Liquidity Discount and Contro

Group 4:Rituparna,Ghosh; Linghui ,Zhang
Jiazhuo ,Liu; Shuo-Ting ,Tu; Teng,Li
Introduction
The need for outside finance
Is the loan sufficient for the future
Contents
From a banks perspective
From Jones perspective
Conclusion
Introduction
Jones Electrical

Group 4:Rituparna,Ghosh; Linghui ,Zhang
Jiazhuo ,Liu; Shuo-Ting ,Tu; Teng,Li
Introduction
The need for outside finance
Is the loan sufficient for the future
Contents
From a banks perspective
From Jones perspective
Conclusion
Introduction
Jones Electrical

Futures Markets
What are Futures Exchanges?
A futures exchange is where futures contracts are traded.
Large US futures markets include:
Chicago Mercantile Exchange
CBOT, CME, NYMEX, KCBT
US Intercontinental Exchange
ICE US and IFED
Other large exch

Simple Hedging Strategies Using Futures
1
Overview
Hedging with futures
What is a hedge?
Short and long hedges of fixed-price risk
Definition of a perfect hedge
Simple hedges using futures
What leads to changing calendar spread values
Defining buying

The Determination of
Forward and Futures Prices
1
Overview
Determine forward prices for various
instruments
Determine how much profit an existing
forward and futures agreement has made a
party at a particular point in time
The relationship between forw

Interest Rates
Treasury Rates
Treasury rates are the rates an investor earns on
Treasury bills and Treasury bonds. These are the rates
a government uses to borrow in its own currency.
US Treasury rates at which US government borrows
Japanese Treasury r

Derivatives Spring 2016
BU.232.710
By Prof. Jim Liew
Where business is taught with humanity in mind.
Agenda
The Greeks
Naked and covered positions
Stop-Loss Strategy
Delta Hedging (Cost)
Theta
Gamma
Vega
Greek Taylor Series Expansion
The Greeks
A Example

Derivatives Spring 2016
BU.232.710
By Prof. Jim Liew
Where business is taught with humanity in mind.
Agenda
Swaps
Plain Vanilla interest rate swaps
Using swaps to transform assets/liabilities
Comparative advantage argument
Swap rates
Swap valuation

Derivatives Spring 2016
BU.232.710
By Prof. Jim Liew
Where business is taught with humanity in mind.
Agenda
Mechanics of Options Markets
Types of options (call/puts)
Option payoff diagrams
Comparative statics
Upper and lower bounds (no div, w/ div)
Put-Ca

Derivatives Spring 2016
BU.232.710
By Prof. Jim Liew
Where business is taught with humanity in mind.
Business with Humanity Aside
http:/
www.youtube.com/watch?v=PHe0bXAIuk0
&feature=youtu.be
Agenda
Binomial Model
The Black-Scholes-Merton Model
Risk-Neutra

Derivatives Spring 2016
BU.232.710
By Prof. Jim Liew
Where business is taught with humanity in mind.
Agenda
Interest Rates
Treasury Rates/LIBOR/REPOs
LIBOR Scandal
Yield ytm, coupon, par yield
Par/Premium/Discount
Yield curves
Zero rates, bootstrap, and f

Derivatives
Lecture 3
Chapter 4: Interest Rates
Dr Arturo Balana
Spring 2017
Where business is taught with humanity in mind.
Agenda
Interest Rates
Treasury Rates/LIBOR/REPOs
LIBOR Scandal
Yield ytm, coupon, par yield
Par/Premium/Discount
Yield curves
Zero

HEDGING
OPTIMAL (MINIMUM VARIANCE) HEDGE RATIO:
h =
S
F
S = standard deviation of S, the change in spot price
D = standard deviation of F, the change in the futures price
= coefficient of correlation between S and F
OPTIMAL NUMBER OF CONTRACTS TO HEDGE: