Derivatives

ISBN-10: 0072949317
ISBN-13: 9780072949315
Edition: 2011
List price: $166.99
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Description: The authors use verbal and pictorial expositions, and sometimes simple mathematical models, to explain the underlying principles of hedging and pricing before proceeding to a formal analysis. Extensive uses of numerical examples for illustrative  More...

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Book details

List price: $166.99
Copyright year: 2011
Publisher: McGraw-Hill Education
Publication date: 4/1/2010
Binding: Hardcover
Pages: 940
Size: 8.25" wide x 10.00" long x 1.50" tall
Weight: 4.048
Language: English

The authors use verbal and pictorial expositions, and sometimes simple mathematical models, to explain the underlying principles of hedging and pricing before proceeding to a formal analysis. Extensive uses of numerical examples for illustrative purposes are used throughout to supplement the presentations.

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-Arbitrage Restrictions on Option Prices
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

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