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Derivatives,9780072949315
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Derivatives

by ;
Edition:
1st
ISBN13:

9780072949315

ISBN10:
0072949317
Media:
Hardcover
Pub. Date:
3/11/2010
Publisher(s):
McGraw-Hill/Irwin
List Price: $232.20

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Summary

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 illustrative purposes are used throughout to supplement the intuitive and formal presentations.The main body of this book is divided into six parts. Parts 1-3 cover, respectively, futures and forwards; options; and swaps. Part 4 examines term-structure modeling and the pricing of interest-rate derivatives, while Part 5 is concerned with credit derivatives and the modeling of credit risk. Part 6 discusses computational issues.

Table of Contents

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
Table of Contents provided by Publisher. All Rights Reserved.


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