ESCP Europe

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..