Derivatives
ISBN: 9780072949315 | 0072949317
Edition: 1stFormat: Hardcover
Publisher: McGraw-Hill/Irwin
Pub. Date: 3/11/2010
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The first edition of Derivatives is spent with a lot of effort throughout the book explaining what lies behind the formal mathematics of pricing and hedging. Questions ranging from 'how are forward prices determined?' to 'why does the Black-Scholes formula have the form it does?' are answered throughout the text. The authors of this first edition use verbal and pictorial expositions, and sometimes simple mathematical models, to explain the underlying principles before proceeding to a formal analysis. Extensive uses of numerical examples for ill... MORE
| Introduction | |
| Futures and Forwards | |
| Futures Markets | |
| Pricing Forwards and Futures I: The Basic Theory | |
| Pricing Forwards and Futures II | |
| Hedging with Futures & Forwards | |
| Interest-Rate Forwards & Futures | |
| Equity Derivatives | |
| Options Markets | |
| Options: Payoffs & Trading Strategies | |
| No-Arb... MORE | |
| Early Exercise and Put-Call Parity | |
| Option Pricing: An Introduction | |
| Binomial Option Pricing | |
| Implementing the Binomial Model | |
| The Black-Scholes Model | |
| The Mathematics of Black-Scholes | |
| Options Modeling: Beyond Black-Scholes | |
| Sensitivity Analysis: The Option “Greeks” | |
| Exotic Options I: Path-Independent Options | |
| Exotic Options II: Path-Dependent Options | |
| Value-at-Risk | |
| Convertible Bonds | |
| Real Options | |
| Swaps | |
| Interest-Rate Swaps and Floating Rate Products | |
| Equity Swaps | |
| Currency Swaps | |
| Interest Rate Modeling | |
| The Term Structure of Interest Rates: Concepts | |
| Estimating the Yield Curve | |
| Modeling Term Structure Movements | |
| Factor Models of the Term Structure | |
| The Heath-Jarrow-Morton and Libor Market Models | |
| Credit Derivative Products | |
| Credit Derivative Products | |
| Structural Models of Default Risk | |
| Reduced Form Models of Default Risk | |
| Modeling Correlated Default | |
| Computation | |
| Derivative Pricing with Finite Differencing | |
| Derivative Pricing with Monte Carol Simulation | |
| Using Octave | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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