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Derivatives: Markets, Strategies, and Applications provide a thorough explanation of derivatives from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and pricing models.
Including more than 300 end of chapter problems and web exercises at the end of most chapters, Derivatives is ideal for undergraduate, MBA, and courses in finance, and serves as an excellent reference for professionals in equity and debt management.
Key Features ¢ Extensive coverage of debt derivatives, including managing fixed income positions with Over the Counter (OTC) interest rate products and the derivation and use of the binomial interest rate tree. ¢ Three chapters on the binomial mode, covering the model`s derivation and the binomial pricing options on stocks, stocks with dividends, indexes, and currency ¢ CD included with each text contains derivative programs for evaluating derivative strategies and pricing ¢ Option strategies based on the black-scholes model ¢ Coverage of the use and pricing of exotic options ¢ Three supplemental appendices on exponents and logarithms, statistics, and bond fundamentals
Contents List of exhibits, Figures, and tables Preface Part I Option strategies and Markets 1. Option concepts and fundamental strategies 2. The option market 3. Option strategies Part II Option pricing 4. Fundamental option price relations 5. The binomial option pricing model 6. The binomial pricing 7. The binomial pricing of options on currencies and bonds 8. The black scholes option pricing model. 9. Applications of the option pricing model, The Greeks, and Exotic options Part III Futures and Futures option contracts 10. Future and forward contracts 11. Pricing Future and forward contracts 12. Options on futures contracts Part IV Managing Equity currency, and debt positions with derivatives 13. Managing Equity positions with stock index derivatives 14. Managing foreign currency positions with derivatives 15. Managing fixed income positions with interest rate derivatives 16. Managing fixed income positions with OTC Derivatives 17. Interest rate swaps Part V Swaps 18 Swap Derivatives:Forward Swaps and Swaptions 19 Swap Valuation 20 Currency and credit Swaps Part VI Embedded options and asset backed securities 21. Embedded options 22. Mortgage and Asset backed securities and their derivatives
Appendix A: Exponents and Logarithms Appendix B: Statistical concepts Appendix C : Bond Fundamentals Appendix D: Guide to Derivative Excel programs Glossary Glossary of Symbols ISBN
9780195301656
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Pages : 816
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