Technical References to Derivative Financial Instruments
Bob Jensen at Trinity University

Audio overview http://www.cs.trinity.edu/~rjensen/000overview/133suma.htm 


You will find that at least two accounting firms publish pretty good books. KPMG has a large book with lots of examples. You can read about this at http://www.us.kpmg.com/fs/publications/banking/deriv.html 

PriceWaterhouseCoopers (PWC) has a 576 page book entitled "A Guide to Accounting for Derivative Instruments and Hedging Activities," 1999. I cannot find a web link to this book, although I am sure there must be a web link somewhere.

The FASB has a CD-ROM course at http://www.rutgers.edu/Accounting/raw/fasb/ 

The for-free IASC comparison study of IAS 39 versus SFAS 133 (by Paul Pacter) at http://www.iasc.org.uk/news/cen8_142.htm

Readers interested in downloading the Joint Working Group IASC Exposure Draft entitled Financial Instruments:  Issues Relating to Banks should follow the downloading instructions at http://www.iasc.org.uk/frame/cen3_112.htm.  (Trinity University students may find this on J:\courses\acct5341\iasc\jwgfinal.pdf ).

On December 14, 1999 the FASB issued Exposure Draft 204-B entitled Reporting Financial Instruments and Certain Related Assets and Liabilities at Fair Value.  This document can be downloaded from http://www.rutgers.edu/Accounting/raw/fasb/draft/draftpg.html (Trinity University students can find the document at J:\courses\acct5341\fasb\fvhtm.htm ).

The non-free FASB comparison study of all standards entitled The IASC-U.S. Comparison Project: A Report on the Similarities and Differences between IASC Standards and U.S. GAAP
SECOND EDITION, (October 1999) at http://www.rutgers.edu/Accounting/raw/fasb/IASC/iascus2d.html

Technical References  http://www.trinity.edu/rjensen/acct5341/speakers/references.htm

Published articles at http://www.schoolfp.cibc.com/articles/articles_body.htm 

Glossaries

Bob Jensen's SFAS 133 and IAS 39 Glossary and Transcriptions of Experts http://www.trinity.edu/rjensen/acct5341/speakers/133glosf.htm 

Comprehensive risk and trading glossary at http://risk.ifci.ch/SiteMap.htm

Related glossaries are listed at http://www.trinity.edu/rjensen/bookbus.htm


Tutorials from the Chicago Board of Options Exchange http://www.cboe.com/education/


From: Sandy Barnes [SMTP:sandy_barnes@ssrn.com] <mailto:[SMTP:sandy_barnes@ssrn.com]> Sent: Thursday, October 14, 1999 11:41 PM To: RBURR@TRINITY.EDU Subject: FEN Derivatives APS Vol. 6, No. 12, 10/07/1999

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“Agency Problems, Information Asymmetries, and Convertible Debt Security Design” Journal of Financial Intermediation, Vol. 7, No. 1 CRAIG M. LEWIS Vanderbilt University RICHARD J. ROGALSKI Dartmouth College, Amos Tuck School of Business Administration JAMES K. SEWARD University of Wisconsin at Madison Graduate School of Business

“Pricing Discrete Barrier Options with an Adaptive Mesh Model” Journal of Derivatives, Vol. 6, Summer 1999 DONG-HYUN AHN University of North Carolina at Chapel Hill STEPHEN FIGLEWSKI New York University BIN GAO University of North Carolina at Chapel Hill Department of Finance

“Convergence of Strategies: An Approach Using Clark-Haussmann’s Formula” Finance and Stochastics, Vol. 3 Iss. 3, May 1999 JAN PEDERSEN University of Aarhus

“On Dynamic Measures of Risk” Finance and Stochastics, Vol. 3, Iss. 4, August 1999 JAKSA CVITANIC Columbia University Dept. of Statistics IOANNIS KARATZAS Columbia University

“Options on the Minimum or the Maximum of Two Average Prices” Review of Derivatives Research, Forthcoming XUEPING WU City University of Hong Kong Department of Economics and Finance JIN E. ZHANG City University of Hong Kong Department of Economics and Finance

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“Agency Problems, Information Asymmetries, and Convertible Debt Security Design” Journal of Financial Intermediation, Vol. 7, No. 1 BY: CRAIG M. LEWIS Vanderbilt University RICHARD J. ROGALSKI Dartmouth College, Amos Tuck School of Business Administration JAMES K. SEWARD University of Wisconsin at Madison Graduate School of Business

Contact: CRAIG M. LEWIS Email: Mailto:Craig.Lewis@owen.vanderbilt.edu Postal: Vanderbilt University 401 21st Ave. Nashville, TN 37235 USA Phone: (615)322-2626 Fax: (615)343-7177 Co-Auth: RICHARD J. ROGALSKI Email: Mailto:Richard.Rogalski@Dartmouth.EDU Postal: Dartmouth College, Amos Tuck School of Business Administration 100 Tuck Hall Hanover, NH 03755 USA Co-Auth: JAMES K. SEWARD Email: Mailto:jseward@bus.wisc.edu Postal: University of Wisconsin at Madison Graduate School of Business 975 University Avenue Madison, WI 53706 USA

ABSTRACT: This paper proposes and implements a security design framework to assess why corporate managers issue convertible debt. We examine three theories that make predictions about the design of convertible debt. Our results suggest that some issuers design convertible debt to mitigate asset substitution problems, while others design it to reduce adverse selection problems. We also find that issuers vary convertible debt security design over the business cycle in response to time-variation in asset substitution and adverse selection problems. Overall, the results indicate that corporate managers actively alter convertible debt security design to mitigate costly external finance problems.

JEL Classification: G32 ______________________________

“Pricing Discrete Barrier Options with an Adaptive Mesh Model” Journal of Derivatives, Vol. 6, Summer 1999 BY: DONG-HYUN AHN University of North Carolina at Chapel Hill STEPHEN FIGLEWSKI New York University BIN GAO University of North Carolina at Chapel Hill Department of Finance

Contact: STEPHEN FIGLEWSKI Email: Mailto:sfiglews@stern.nyu.edu Postal: New York University Suite 9-160 44 West 4th Street New York, NY 10012 USA Phone: 212-998-0712 Fax: 212-995-4220 Co-Auth: DONG-HYUN AHN Email: Mailto:ahnd@icarus.bschool.unc.edu Postal: University of North Carolina at Chapel Hill Campus Box 3490 Carroll Hall Chapel Hill, NC 27599-3490 USA Co-Auth: BIN GAO Email: Mailto:gaob@icarus.bschool.unc.edu Postal: University of North Carolina at Chapel Hill Department of Finance Chapel Hill, NC 27599-3490 USA

ABSTRACT: Many exotic derivatives do not have closed-form valuation equations, and must be priced using approximation methods. Where they can be applied, standard lattice techniques based on binomial and trinomial trees will achieve correct valuations asymptotically. They can also generally handle American exercise. But for many problems, including pricing barrier options, convergence may be slow and erratic, producing large errors even with thousands of time steps and millions of node calculations. Options with price barriers that are only monitored at discrete points in time present additional difficulty for lattice models. Standard tree methods increase accuracy by shrinking the time and price step size throughout the lattice, but this increases the number of calculations sharply and much of the additional computation is in regions of the tree where it makes little difference to accuracy. A previous paper, Figlewski and Gao [1999], introduced the Adaptive Mesh Model (AMM), a very flexible approach that greatly increases efficiency in trinomial lattices. Coarse time and price steps are used in most of the tree, but small sections of finer mesh are constructed to improve resolution in specific critical areas. This paper presents an especially effective AMM structure for pricing options with discrete barriers. In a basic example, an AMM with 60 time steps is ten times more accurate than a 5000-step trinomial, but runs more than 1000 times faster.

JEL Classification: G13, C63 ______________________________

“Convergence of Strategies: An Approach Using Clark-Haussmann’s Formula” Finance and Stochastics, Vol. 3 Iss. 3, May 1999 BY: JAN PEDERSEN University of Aarhus Contact: JAN PEDERSEN Email: Mailto:jan@imf.au.dk Postal: University of Aarhus Dept. of Mathematical Sciences DK-8000 Aarhus C, DENMARK

ABSTRACT: We consider a binomial model that converges towards a Black-Scholes model as the number of trading dates increases to infinity. The models considered are complete and hence every claim is generated by an appropriate trading strategy. Fixing a path dependent claim the paper treats weak and pathwise convergence of the corresponding strategy. It is well known that in a binomial model the generating strategy is easily expressed in terms of stock prices and prices of the claim. In contrast, the Black-Scholes model essentially only allows an explicit representation when the underlying claim is differentiable (in some sense), in which case the strategy is defined in terms of Clark-Haussmann’s Formula. Hence, attention is restricted to the case when the claim is differentiable. The strategy is then shown to be convergent and a (very simple) version of Clark-Haussmann’s Formula is established.

JEL Classification: G13 ______________________________

“On Dynamic Measures of Risk” Finance and Stochastics, Vol. 3, Iss. 4, August 1999 BY: JAKSA CVITANIC Columbia University Dept. of Statistics IOANNIS KARATZAS Columbia University

Contact: JAKSA CVITANIC Email: Mailto:cj@stat.columbia.edu Postal: Columbia University Dept. of Statistics 601 Mathematics Mail Code 4403 New York, NY 10027 USA Phone: (212)854-2262 Fax: (212)663-2454 Co-Auth: IOANNIS KARATZAS Email: Mailto:ik@math.columbia.edu Postal: Columbia University Departments of Mathematics and Statistics New York, NY 10032 USA ABSTRACT: In the context of complete financial markets, we study dynamic measures for the risk associated with hedging a given liability C at time t=T. This measure is defined as the maximum, over different probability measures (scenarios), of the minimum, over all admissible portfolio strategies, of the expected discounted loss of hedging C. The sets of admissible portfolios and of scenarios are general enough to incorporate capital requirements, and uncertainty about the actual values of stock-appreciation rates, respectively. For this latter purpose we discuss, in addition to the above “max-min” approach, a related measure of risk in a “Bayesian” framework. Risk-measures of this type were introduced by Artzner, Delbaen, Eber and Heath in a static setting, and were shown to possess certain desirable “coherence” properties.

JEL Classification: G11, G13, C73 ______________________________

“Options on the Minimum or the Maximum of Two Average Prices” Review of Derivatives Research, Forthcoming BY: XUEPING WU City University of Hong Kong Department of Economics and Finance JIN E. ZHANG City University of Hong Kong Department of Economics and Finance

Contact: XUEPING WU Email: Mailto:efxpwu@cityu.edu.hk Postal: City University of Hong Kong Department of Economics and Finance Tat Chee Avenue Kowloon, Hong Kong CHINA Phone: 852 2788 7577 Fax: 852 2788 8806 Co-Auth: JIN E. ZHANG Email: Mailto:efjzhang@cityu.edu.hk Postal: City University of Hong Kong Department of Economics and Finance Tat Chee Avenue Kowloon, Hong Kong CHINA

Note: This is a description of the paper and not the actual abstract. ABSTRACT: This paper analyzes and values European-style options on the minimum or the maximum of two average prices. In particular, we provide a closed-form pricing formula for the option with geometric averaging starting at any time before maturity. Our numerical evidence shows that the use of the closed-form solution derived in this paper in a variance-reduction technique dramatically improves the accuracy of the simulated price of an option with arithmetic averaging. The paper also discusses some parity relationships within the family of average-rate options, and finds the upper and lower bounds for the proposed options with arithmetic averaging. Options on the minimum or the maximum of two average prices are useful in practice in many ways. They are naturally applicable when firms are concerned with a hedging problem involving two average asset prices. A typical example is hedging average foreign account payables when either of two foreign currencies is allowed for payment. Other interesting risk-management applications presented include hedging production costs when prices of two substitutable inputs are stochastic, and hedging profit markups when input and output prices are stochastic. Moreover, the use of the proposed options is not limited to risk management. We demonstrate, for instance, that an option on the minimum of two average prices appropriately enters the payoff function of incentive contracts for executive compensation, a problem in the theory of corporate finance. This study is closely related to both the literature on average-rate options, or Asian options, first analyzed and valued by Kemna and Vorst (1990), and the literature on options on the minimum or the maximum of two risky assets, or Rainbow options, pioneered by Stulz (1982). Existing published research seems to indicate that both academics and practitioners have paid greater attention to the later-developed but ever-increasingly popular average-rate options than to options on the minimum or the maximum of two risky assets. Our work in this paper, which non-trivially solves the pricing of the options with two average prices, would bridge such a gap between these two lines of literature. At the very least, the options proposed by the paper should spawn wider and more interesting applications than those offered by the existing literature.

JEL Classification: G13

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