Title:
Derivatives : principles and practice
Personal Author:
Publication Information:
New York : McGraw-Hill Irwin, c2011
Physical Description:
xxii, 900, [25] p. : ill. ; 26 cm.
ISBN:
9780072949315
Subject Term:
Added Author:
Available:*
Library | Item Barcode | Call Number | Material Type | Item Category 1 | Status |
|---|---|---|---|---|---|
Searching... | 30000010339313 | HG6024.A3 S864 2011 | Open Access Book | Gift Book | Searching... |
Searching... | 30000010298074 | HG6024.A3 S864 2011 | Open Access Book | Book | Searching... |
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Summary
Summary
It has been the authors' experience that the overwhelming majority of students in MBA derivatives courses go on to careers where a deep conceptual, rather than solely mathematical, understanding of products and models is required. The first edition of Derivatives looks to create precisely such a blended approach, one that is formal and rigorous, yet intuitive and accessible.
The main body of this book is divided into six parts. Parts 1-3 cover, respectively, futures and forwards; options; and swaps. Part 4 examines term-structure modeling and the pricing of interest-rate derivatives, while Part 5 is concerned with credit derivatives and the modeling of credit risk. Part 6 discusses computational issues.
Table of Contents
| Chapter 1 Introduction |
| Part 1 Futures and Forwards |
| Chapter 2 Futures Markets |
| Chapter 3 Pricing Forwards and Futures I: The Basic Theory |
| Chapter 4 Pricing Forwards and Futures II |
| Chapter 5 Hedging with Futures & Forwards |
| Chapter 6 Interest-Rate Forwards & Futures |
| Part II Equity Derivatives |
| Chapter 7 Options Markets |
| Chapter 8 Options: Payoffs & Trading Strategies |
| Chapter 9 No-Arbitrage Restrictions on Option Prices |
| Chapter 10 Early Exercise and Put-Call Parity |
| Chapter 11 Option Pricing: An Introduction |
| Chapter 12 Binomial Option Pricing |
| Chapter 13 Implementing the Binomial Model |
| Chapter 14 The Black-Scholes Model |
| Chapter 15 The Mathematics of Black-Scholes |
| Chapter 16 Options Modeling: Beyond Black-Scholes |
| Chapter 17 Sensitivity Analysis: The Option "Greeks" |
| Chapter 18 Exotic Options I: Path-Independent Options |
| Chapter 19 Exotic Options II: Path-Dependent Options |
| Chapter 20 Value-at-Risk |
| Chapter 21 Convertible Bonds |
| Chapter 22 Real Options |
| Part III Swaps |
| Chapter 23 Interest-Rate Swaps and Floating Rate Products |
| Chapter 24 Equity Swaps |
| Chapter 25 Currency Swaps |
| Part IV Interest Rate Modeling |
| Chapter 26 The Term Structure of Interest Rates: Concepts |
| Chapter 27 Estimating the Yield Curve |
| Chapter 28 Modeling Term Structure Movements |
| Chapter 29 Factor Models of the Term Structure |
| Chapter 30 The Heath-Jarrow-Morton and Libor Market Models |
| Part V Credit Derivative Products |
| Chapter 31 Credit Derivative Products |
| Chapter 32 Structural Models of Default Risk |
| Chapter 33 Reduced Form Models of Default Risk |
| Chapter 34 Modeling Correlated Default |
| Part VI Computation |
| Chapter 35 Derivative Pricing with Finite Differencing |
| Chapter 36 Derivative Pricing with Monte Carol Simulation |
| Chapter 37 Using Octave |
