- Item type
- Book
- Language
- English
- Publication year
- 2012
- Edition no.
- 8th ed.
- ISBN
- 978-0-273-75907-2
- Note
- Figures, glossary, tables
This book bridges the gap between the theory and practice of derivatives, and helps readers develop a solid working knowledge of how derivatives can be analyzed. It deals with a wide range of derivative products and provides complete coverage of keyanalytical material : mechanics of futures markets ; interest rates ; determination of forward and futures prices ; interest rate futures ; swaps ; mechanics of options markets ; properties of stock options ; binomial trees ; wiener processes and Itô's Lemma ; the black-scholes-Merton model ; options on stock indices, currencies ; futures options ; value at risk ; estimating volatilities and correlations ; credit risk ; credits derivatives ; exotic options ; weather, energy, and insurance derivatives ; swaps revisited ; real options ; etc...
Chapter 1. Introduction ---
Chapter 2. Mechanics of futures markets ---
Chapter 3. Hedging strategies using futures ---
Chapter 4. Interest rates ---
Chapter 5. Determination of forward and futures prices ---
Chapter 6. Interest rate futures ---
Chapter 7. Swaps ---
Chapter 8. Securitization and the credit crisis of 2007 ---
Chapter 9. Mechanics of options markets ---
Chapter 10. Properties of stock options ---
Chapter 11. Trading strategies involving options ---
Chapter 12. Binomial trees ---
Chapter 13. Wiener processes and Itos Lemma ---
Chapter 14. The Black-Scholes-Merton model ---
Chapter 15. Employee stock options ---
Chapter 16. Options on stock indices and currencies ---
Chapter 17. Options on futures ---
Chapter 18. Greek letters ---
Chapter 19. Volatility smiles ---
Chapter 20. Basic numerical procedures ---
Chapter 21. Value at risk ---
Chapter 22. Estimating volatilities and correlations ---
Chapter 23. Credit risk ---
Chapter 24. Credit derivatives ---
Chapter 25. Exotic options ---
Chapter 26. More on models and numerical procedures ---
Chapter 27. Martingales and measures ---
Chapter 28. Interest rate derivatives: the standard market models ---
Chapter 29. Convexity, timing, and Quanto adjustments ---
Chapter 30. Interest rate derivatives: models of the short rate ---
Chapter 31. Interest rate derivatives: HJM and LMM ---
Chapter 32. Swaps revisited ---
Chapter 33. Energy and commodity derivatives ---
Chapter 34. Real options --- Chapter 35. Derivatives mishaps and what we can learn from them --- Chapter 36. Derivatives markets in developing countries..
